ORCL Options History — August 2009

In August 2009, ORCL traded between $21.21 and $22.32. ATM implied volatility averaged 29.2%, placing in the 19.0% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 7.1% (HV 20d: 22.1%). Max pain ranged from $20.00 to $21.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.67.

Notable Days

  • 2009-08-12: Highest Volume — 36,768 contracts
  • 2009-08-13: Largest IV spike — 26.3% change
  • 2009-08-17: Highest IV Rank — 25.6%
  • 2009-08-17: Largest Expected Move — 9.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.83$21.21$22.32$22.30$21.88
Max Pain$20.19$20.00$21.00$21.00$20.00
ATM IV29.2%24.8%34.7%27.3%29.9%
Expected Move8.7%7.5%9.9%7.8%8.6%
HV 20d22.1%19.9%24.3%24.2%20.2%
HV 60d28.8%28.1%29.3%28.6%28.2%
IV Rank19.0%13.7%25.6%16.7%19.8%
IV Percentile14.6%0.8%30.2%9.9%17.9%
Term Structure2.2%-0.5%6.9%5.4%2.6%
VWIV30.1%26.0%34.0%27.8%29.7%
Skew 25d4.4%3.1%6.5%4.0%3.8%
Skew 10d9.4%4.1%17.4%8.4%12.4%
Call IV 25d28.2%22.2%31.6%26.1%28.0%
Put IV 25d32.6%28.7%36.2%30.1%31.8%
Bid-Ask Spread %9.176.9014.699.699.64
Gamma HHI0.180.140.360.150.17
Net GEX10.0M7.0M17.7M9.8M10.2M
Net DEX-361.5M-420.2M-270.3M-417.7M-356.8M
Net VEX-2.9M-3.0M-2.8M-2.9M-2.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.670.221.400.890.84
Total Volume16,525.3815,65836,76819,29717,312
Total OI910,732.762871,745937,637887,496915,122

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-08-03$22.30$21.0027.3%7.8%24.2%16.7%27.8%4.0%5.4%9.8M-417.7M-2.9M0.899.6910,1979,100425,934461,562
2009-08-04$21.89$21.0026.2%7.5%23.4%15.3%26.0%3.7%5.5%8.9M-360.0M-3.0M0.398.6010,7264,169429,776466,312
2009-08-05$21.44$21.0027.8%8.0%24.3%17.3%26.5%6.5%5.7%7.9M-301.8M-3.0M0.7114.699,2926,579435,610465,515
2009-08-06$21.21$21.0027.1%7.8%24.2%16.5%26.5%4.3%6.9%7.0M-270.3M-3.0M0.369.8918,9256,900436,755467,069
2009-08-07$21.43$20.0027.1%9.4%24.3%16.4%32.0%4.6%1.8%8.2M-315.4M-3.0M0.468.365,5322,571442,381466,373
2009-08-10$21.25$20.0028.7%9.7%24.3%18.4%33.3%5.5%0.6%7.3M-281.7M-2.9M0.798.864,3503,415443,281466,834
2009-08-11$21.28$20.0027.8%9.5%24.2%17.2%33.2%5.0%1.1%7.4M-290.2M-2.9M0.618.0210,1276,174443,290468,516
2009-08-12$21.88$20.0024.8%9.1%21.5%13.7%31.5%4.0%0.8%9.9M-382.9M-2.9M1.037.9218,13818,630443,932471,481
2009-08-13$21.99$20.0031.3%9.0%21.5%21.5%32.9%4.1%1.5%10.9M-397.0M-3.0M0.539.494,6132,431452,813480,800
2009-08-14$21.96$20.0031.3%9.0%21.4%21.5%31.8%4.9%0.9%10.5M-384.6M-2.9M1.247.353,6624,539451,281477,890
2009-08-17$21.40$20.0034.7%9.9%23.1%25.6%34.0%4.4%-0.5%8.0M-303.4M-2.9M0.617.985,1193,126450,881477,766
2009-08-18$21.58$20.0032.2%9.2%22.2%22.6%32.7%4.4%0.6%8.3M-318.8M-2.8M0.309.714,3551,303447,922478,903
2009-08-19$21.78$20.0031.7%9.1%22.3%22.0%31.5%3.8%1.1%10.5M-355.7M-2.8M0.498.6711,7725,779448,151478,809
2009-08-20$21.94$20.0030.3%8.7%21.1%20.3%29.5%5.0%2.4%14.4M-385.9M-2.8M0.478.5011,0845,158449,361480,022
2009-08-21$22.11$20.0029.7%8.5%21.2%19.5%29.8%4.2%2.8%17.7M-419.3M-2.8M0.227.6125,3795,665453,827483,810
2009-08-24$22.32$20.0030.3%8.7%20.7%20.2%29.4%4.8%0.9%10.0M-420.2M-2.8M0.319.1520,9686,582415,684456,061
2009-08-25$22.23$20.0028.9%8.3%20.3%18.6%28.6%3.1%2.1%10.8M-415.4M-2.8M0.699.018,0965,548428,876460,252
2009-08-26$22.20$20.0029.0%8.3%20.0%18.7%29.1%4.7%1.2%10.8M-407.5M-2.8M0.7911.029,9807,895429,238463,787
2009-08-27$22.16$20.0028.6%8.2%19.9%18.3%29.2%4.3%2.0%10.8M-404.3M-2.8M0.8811.479,0747,971433,733467,736
2009-08-28$22.16$20.0028.7%8.2%19.9%18.4%28.0%3.5%1.5%11.0M-402.3M-2.8M1.406.906,1638,634436,321471,721
2009-08-31$21.88$20.0029.9%8.6%20.2%19.8%29.7%3.8%2.6%10.2M-356.8M-2.9M0.849.649,4297,883437,371477,751