ORCL Options History — July 2009

In July 2009, ORCL traded between $20.18 and $22.33. ATM implied volatility averaged 27.3%, placing in the 12.2% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded below realized volatility by 7.8% (HV 20d: 35.1%). Max pain ranged from $20.00 to $21.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.92.

Notable Days

  • 2009-07-08: Highest Volume — 50,442 contracts
  • 2009-07-16: Largest IV spike — 108.0% change
  • 2009-07-16: Highest IV Rank — 17.4%
  • 2009-07-09: Largest Expected Move — 9.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.43$20.18$22.33$21.74$22.13
Max Pain$20.73$20.00$21.00$20.00$21.00
ATM IV27.3%13.4%33.7%24.3%25.3%
Expected Move8.2%7.0%9.7%7.0%7.3%
HV 20d35.1%25.3%39.7%35.6%25.3%
HV 60d29.6%29.2%30.2%29.4%29.6%
IV Rank12.2%0.0%17.4%1.3%14.3%
IV Percentile9.2%0.0%26.2%1.2%2.4%
Term Structure3.9%2.4%6.4%3.8%6.4%
VWIV28.7%24.8%34.1%25.3%24.8%
Skew 25d3.9%0.0%5.7%3.5%4.0%
Skew 10d9.1%2.1%15.5%8.9%15.5%
Call IV 25d26.9%22.9%31.2%24.1%22.9%
Put IV 25d30.8%26.2%36.3%27.6%26.9%
Bid-Ask Spread %10.556.9514.846.959.02
Gamma HHI0.150.100.290.170.15
Net GEX8.3M4.6M13.6M9.3M9.5M
Net DEX-329.6M-440.1M-158.3M-415.6M-397.9M
Net VEX-3.0M-3.2M-3.0M-3.0M-3.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.920.342.960.590.59
Total Volume20,266.0917,85950,44215,99412,495
Total OI899,916.773832,938961,666895,330885,988

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-07-01$21.74$20.0024.3%7.0%35.6%1.3%25.3%3.5%3.8%9.3M-415.6M-3.0M0.596.9510,0865,908440,164455,166
2009-07-02$21.04$20.0025.6%7.3%37.5%3.0%25.4%0.0%3.9%7.3M-297.0M-3.1M0.6510.5313,9749,047442,604456,392
2009-07-06$20.67$20.0027.8%8.8%38.1%6.0%31.1%5.3%2.4%6.2M-232.7M-3.1M2.9611.087,79723,088445,330455,707
2009-07-07$20.18$20.0033.0%9.6%38.9%13.1%34.0%4.2%2.7%4.6M-158.3M-3.1M1.7511.276,91912,074447,455457,474
2009-07-08$20.57$20.0031.0%9.4%39.5%10.4%32.9%4.8%2.4%6.5M-232.0M-3.1M1.4010.1321,05129,391450,520458,590
2009-07-09$20.32$21.0033.7%9.7%39.5%14.1%34.1%5.7%2.6%5.3M-176.9M-3.2M1.1211.3214,08815,710459,342476,742
2009-07-10$20.49$21.0029.7%9.5%39.5%8.6%33.0%4.4%3.8%6.1M-207.4M-3.2M0.5314.8412,6196,697466,181485,749
2009-07-13$20.72$21.0030.9%9.1%39.7%10.2%32.4%5.2%3.0%7.5M-235.9M-3.1M1.0611.517,3867,793459,942486,813
2009-07-14$20.63$21.0030.5%8.8%38.1%9.7%32.1%4.5%2.7%7.5M-228.8M-3.1M1.3014.095,6547,328461,351487,624
2009-07-15$21.51$20.0013.4%8.2%39.2%0.0%29.4%4.9%2.8%12.5M-407.1M-3.1M0.739.2013,5119,870463,665489,128
2009-07-16$21.64$21.0027.9%8.0%39.1%17.4%28.4%3.1%3.5%12.1M-440.1M-3.0M0.9212.2413,79312,757468,754492,912
2009-07-17$21.74$21.0026.1%7.5%38.9%15.2%27.1%5.4%4.5%13.6M-435.6M-3.0M0.548.5514,5397,796460,588493,595
2009-07-20$21.51$21.0026.6%7.6%38.7%15.8%27.3%3.5%3.7%6.5M-307.8M-3.0M1.0413.036,4256,678397,407435,531
2009-07-21$21.93$21.0025.9%7.4%36.7%15.0%26.0%2.7%5.0%7.6M-366.4M-3.0M0.4110.0917,6637,297400,591439,301
2009-07-22$21.75$21.0026.2%7.5%36.8%15.4%26.5%4.3%4.9%7.7M-348.0M-3.0M1.0510.667,4597,848409,452443,402
2009-07-23$22.20$21.0027.0%7.7%29.1%16.3%26.9%3.7%4.6%8.6M-406.0M-3.0M0.6110.6524,57214,970412,178448,476
2009-07-24$22.33$21.0027.1%7.8%28.6%16.4%26.7%3.0%4.3%9.0M-426.1M-3.0M0.459.016,5582,943418,160453,111
2009-07-27$21.98$21.0027.7%7.9%28.4%17.2%27.8%3.1%4.1%8.2M-365.4M-3.0M0.9711.446,2996,130412,707454,107
2009-07-28$22.24$21.0027.2%7.8%28.4%16.5%27.0%4.3%4.3%9.0M-404.5M-3.0M0.687.495,8974,010414,732456,556
2009-07-29$22.01$21.0027.2%7.8%28.6%16.5%27.5%3.6%5.2%8.6M-369.4M-3.0M0.469.205,3792,480417,608459,127
2009-07-30$22.14$21.0026.5%7.6%28.2%15.7%26.0%2.8%5.8%9.2M-393.0M-3.0M0.349.678,8792,996419,060458,887
2009-07-31$22.13$21.0025.3%7.3%25.3%14.3%24.8%4.0%6.4%9.5M-397.9M-3.0M0.599.027,8374,658424,978461,010