ORCL Options History — June 2009

In June 2009, ORCL traded between $19.69 and $21.63. ATM implied volatility averaged 30.7%, placing in the 10.0% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 4.5% (HV 20d: 26.2%). Max pain ranged from $18.00 to $21.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.65.

Notable Days

2009-06-24: Highest Volume — 163,590 contracts
2009-06-11: Largest IV spike — 30.2% change
2009-06-23: Highest IV Rank — 22.7%
2009-06-23: Largest Expected Move — 11.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$20.64	$19.69	$21.63	$19.92	$21.42
Max Pain	$19.64	$18.00	$21.00	$18.00	$20.00
ATM IV	30.7%	24.8%	40.1%	28.1%	26.5%
Expected Move	9.1%	7.6%	11.5%	8.1%	7.6%
HV 20d	26.2%	18.9%	36.0%	25.7%	35.3%
HV 60d	33.0%	27.2%	41.7%	41.6%	29.4%
IV Rank	10.0%	2.0%	22.7%	6.5%	4.3%
IV Percentile	16.1%	1.2%	50.0%	5.6%	2.4%
Term Structure	1.0%	-3.8%	5.8%	5.3%	3.3%
VWIV	32.0%	25.4%	40.1%	27.7%	25.4%
Skew 25d	4.2%	2.1%	6.6%	4.3%	6.1%
Skew 10d	7.6%	-1.6%	18.5%	15.7%	9.5%
Call IV 25d	30.1%	21.4%	39.4%	26.2%	21.4%
Put IV 25d	34.3%	27.5%	42.0%	30.5%	27.5%
Bid-Ask Spread %	11.13	6.71	17.65	10.00	13.72
Gamma HHI	0.23	0.12	0.45	0.23	0.16
Net GEX	12.6M	4.3M	20.2M	13.2M	8.2M
Net DEX	-427.1M	-572.9M	-164.6M	-387.4M	-361.6M
Net VEX	-3.0M	-3.2M	-2.8M	-3.1M	-3.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.65	0.15	2.88	0.42	0.48
Total Volume	36,077.318	10,362	163,590	33,401	23,050
Total OI	960,700.409	746,440	1,062,395	987,335	886,647

Daily Data (22 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2009-06-01	$19.92	$18.00	28.1%	8.1%	25.7%	6.5%	27.7%	4.3%	5.3%	13.2M	-387.4M	-3.1M	0.42	10.00	23,449	9,952	530,863	456,472
2009-06-02	$20.35	$18.00	29.1%	8.3%	25.4%	7.8%	29.3%	2.2%	5.8%	14.6M	-468.7M	-3.1M	0.52	9.32	25,267	13,129	536,525	461,913
2009-06-03	$20.34	$18.00	30.5%	8.8%	25.5%	9.8%	30.3%	2.2%	4.8%	13.7M	-462.6M	-3.1M	0.77	6.71	16,391	12,653	537,147	467,485
2009-06-04	$20.61	$18.00	28.7%	8.2%	25.7%	7.3%	31.1%	4.1%	4.5%	13.4M	-491.8M	-3.1M	2.88	9.83	12,618	36,324	531,265	475,652
2009-06-05	$20.71	$19.00	27.8%	9.7%	21.4%	6.0%	34.1%	4.4%	-0.1%	14.0M	-500.8M	-3.1M	0.38	17.65	9,796	3,727	528,992	486,991
2009-06-08	$20.87	$20.00	28.7%	9.8%	21.0%	7.2%	33.9%	4.6%	-1.3%	14.3M	-539.8M	-2.9M	0.48	11.93	7,245	3,475	525,592	471,123
2009-06-09	$20.99	$20.00	27.5%	9.3%	20.8%	5.6%	32.3%	4.7%	0.0%	14.4M	-572.9M	-2.9M	0.32	12.92	14,974	4,829	527,793	472,369
2009-06-10	$20.74	$20.00	24.8%	9.1%	21.1%	2.0%	32.1%	5.9%	0.4%	15.6M	-517.6M	-2.9M	0.52	12.38	12,400	6,399	533,724	475,504
2009-06-11	$20.94	$20.00	32.3%	9.3%	19.3%	12.2%	32.7%	4.8%	-0.6%	14.7M	-562.8M	-2.9M	0.43	10.97	7,271	3,091	538,378	477,285
2009-06-12	$20.85	$20.00	31.3%	9.0%	18.9%	10.8%	32.5%	6.4%	0.1%	14.6M	-539.7M	-2.9M	0.81	10.15	6,908	5,585	533,856	478,306
2009-06-15	$20.22	$20.00	33.5%	9.6%	22.9%	13.8%	33.8%	3.9%	-0.3%	16.5M	-422.5M	-2.9M	0.72	10.26	16,213	11,669	535,082	479,611
2009-06-16	$19.69	$20.00	34.2%	9.8%	23.9%	14.7%	34.2%	6.0%	-0.9%	15.8M	-312.1M	-2.9M	0.16	11.97	32,163	5,104	539,200	486,305
2009-06-17	$19.94	$20.00	34.4%	9.9%	24.2%	15.0%	34.2%	6.6%	-0.6%	20.2M	-395.6M	-2.8M	1.02	12.84	11,243	11,499	556,055	485,018
2009-06-18	$20.25	$20.00	36.6%	10.5%	24.5%	18.1%	35.9%	4.1%	-1.7%	18.4M	-466.5M	-2.9M	0.15	7.81	43,015	6,250	552,445	493,068
2009-06-19	$20.66	$20.00	34.4%	9.8%	23.6%	15.0%	35.3%	3.7%	-1.7%	11.8M	-546.5M	-2.9M	0.24	11.78	32,936	8,003	566,115	496,280
2009-06-22	$19.97	$20.00	37.5%	10.8%	27.4%	19.3%	37.3%	3.6%	-2.2%	4.3M	-180.7M	-2.9M	0.57	10.56	19,486	11,114	365,425	381,015
2009-06-23	$19.87	$20.00	40.1%	11.5%	26.6%	22.7%	40.1%	2.6%	-3.8%	4.3M	-164.6M	-3.0M	0.81	11.23	53,590	43,233	375,612	387,656
2009-06-24	$21.26	$20.00	29.6%	8.5%	35.2%	8.5%	29.9%	2.8%	2.0%	8.7M	-369.7M	-3.0M	0.65	9.08	99,393	64,197	407,294	412,461
2009-06-25	$21.63	$20.00	26.7%	7.6%	35.4%	4.5%	28.4%	3.5%	2.8%	9.3M	-416.6M	-3.2M	0.63	13.03	16,685	10,544	449,217	448,037
2009-06-26	$21.24	$20.00	26.8%	7.7%	36.0%	4.7%	26.6%	3.6%	2.6%	7.4M	-329.8M	-3.2M	0.84	8.69	14,694	12,411	428,235	448,374
2009-06-29	$21.50	$21.00	26.8%	7.7%	35.8%	4.7%	26.0%	2.1%	2.7%	8.7M	-386.5M	-3.1M	0.58	11.94	7,437	4,289	445,994	463,028
2009-06-30	$21.42	$20.00	26.5%	7.6%	35.3%	4.3%	25.4%	6.1%	3.3%	8.2M	-361.6M	-3.1M	0.48	13.72	15,615	7,435	432,420	454,227