ORCL Options History — September 2009

In September 2009, ORCL traded between $20.84 and $22.86. ATM implied volatility averaged 31.7%, placing in the 22.0% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded above realized volatility by 12.1% (HV 20d: 19.6%). Max pain ranged from $20.00 to $22.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.97.

Notable Days

  • 2009-09-16: Highest Volume — 178,055 contracts
  • 2009-09-17: Largest IV drop — 26.1% change
  • 2009-09-08: Highest IV Rank — 36.9%
  • 2009-09-16: Largest Expected Move — 11.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.77$20.84$22.86$21.94$20.84
Max Pain$21.57$20.00$22.00$20.00$21.00
ATM IV31.7%24.3%44.2%32.0%24.3%
Expected Move8.8%7.0%11.4%9.2%7.0%
HV 20d19.6%16.0%22.0%19.1%21.9%
HV 60d25.7%21.6%28.4%28.2%21.6%
IV Rank22.0%13.1%36.9%22.4%13.1%
IV Percentile23.2%0.4%62.3%24.6%0.4%
Term Structure0.7%-4.9%4.2%0.7%4.2%
VWIV31.0%24.8%39.6%32.9%25.3%
Skew 25d4.2%0.9%7.0%3.0%3.6%
Skew 10d7.5%-3.1%19.3%2.6%10.3%
Call IV 25d29.1%22.9%35.9%30.8%24.2%
Put IV 25d33.3%26.3%42.6%33.8%27.8%
Bid-Ask Spread %10.016.8714.9711.599.22
Gamma HHI0.140.100.180.160.10
Net GEX7.1M1.8M13.0M10.1M1.8M
Net DEX-278.0M-531.9M-57.0M-368.0M-57.0M
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 Ratio0.970.412.210.930.79
Total Volume45,205.3339,659178,05520,02625,780
Total OI959,982.619840,8511,134,622917,394920,247

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-09-01$21.94$20.0032.0%9.2%19.1%22.4%32.9%3.0%0.7%10.1M-368.0M-2.9M0.9311.5910,4009,626439,445477,949
2009-09-02$21.77$20.0034.0%9.8%17.7%24.7%34.3%2.9%-0.0%9.3M-341.4M-2.9M2.218.3814,83032,708444,223482,255
2009-09-03$21.56$20.0034.2%9.8%17.6%25.0%34.9%5.4%-0.3%8.0M-286.4M-3.0M0.486.8722,51510,879449,081506,976
2009-09-04$21.97$22.0037.2%9.7%18.5%28.5%34.8%5.7%1.0%9.9M-365.3M-3.0M0.9210.3425,47223,388460,198513,016
2009-09-08$21.88$22.0044.2%10.1%18.2%36.9%36.1%7.0%-0.8%8.4M-336.8M-3.0M0.7414.9714,07510,439458,423520,821
2009-09-09$22.52$22.0041.4%9.3%20.6%33.6%33.0%4.8%0.2%10.4M-457.8M-2.8M0.4710.6025,35711,993460,640525,512
2009-09-10$22.76$22.0032.4%9.3%18.7%22.8%31.8%5.9%-0.1%11.8M-508.8M-2.8M0.4213.8714,0125,856469,116527,082
2009-09-11$22.86$22.0032.5%9.3%18.7%22.9%32.7%5.1%0.0%13.0M-531.9M-2.8M0.7310.1118,88813,704475,305530,674
2009-09-14$22.72$22.0033.8%9.7%18.9%24.4%35.0%6.0%-1.5%12.2M-494.3M-2.8M0.418.0719,3947,968479,385538,381
2009-09-15$22.66$22.0035.2%10.1%16.0%26.1%34.9%5.3%-2.3%12.4M-491.5M-2.8M1.958.9328,14955,015483,334542,461
2009-09-16$22.13$22.0039.9%11.4%18.4%31.8%39.6%6.7%-4.9%7.1M-332.7M-2.9M0.8210.6497,75580,300488,240578,949
2009-09-17$21.52$22.0029.5%8.5%20.8%19.3%29.9%2.8%2.2%4.3M-160.4M-2.8M0.799.2671,69656,495518,564611,455
2009-09-18$21.62$22.0028.3%8.1%20.7%17.9%29.3%3.4%3.2%7.8M-205.5M-2.8M1.349.9017,65423,677521,601613,021
2009-09-21$21.57$22.0026.9%7.7%20.4%16.2%28.3%2.9%1.7%4.2M-186.0M-2.8M0.979.0615,21214,691385,162455,689
2009-09-22$21.41$22.0028.6%8.2%20.2%18.3%27.6%2.2%0.3%3.8M-159.9M-2.8M1.739.7011,24119,419390,174459,220
2009-09-23$21.13$22.0027.8%8.0%20.5%17.2%27.3%2.7%0.9%2.9M-115.1M-2.8M0.677.7021,89114,565392,620477,076
2009-09-24$21.17$22.0027.7%7.9%20.6%17.2%27.3%4.3%0.9%3.1M-125.1M-2.9M0.578.266,1423,517397,406482,088
2009-09-25$20.86$22.0024.7%7.1%21.0%13.6%24.8%3.2%3.7%2.1M-84.7M-2.8M1.029.9518,11118,535395,327481,709
2009-09-28$21.17$21.0025.9%7.4%22.0%15.0%25.6%0.9%3.0%2.7M-114.4M-2.9M0.8311.9618,12315,001403,540493,523
2009-09-29$21.12$21.0025.3%7.3%21.6%14.3%25.1%3.5%3.1%2.8M-114.1M-2.9M1.6110.849,51015,329410,431499,316
2009-09-30$20.84$21.0024.3%7.0%21.9%13.1%25.3%3.6%4.2%1.8M-57.0M-2.9M0.799.2214,38411,396412,223508,024