ORCL Options History — October 2009

In October 2009, ORCL traded between $20.34 and $22.42. ATM implied volatility averaged 25.5%, placing in the 14.6% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 5.9% (HV 20d: 19.6%). 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 0.84.

Notable Days

  • 2009-10-13: Highest Volume — 80,941 contracts
  • 2009-10-09: Largest IV drop — 14.7% change
  • 2009-10-30: Highest IV Rank — 18.9%
  • 2009-10-05: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.29$20.34$22.42$20.36$21.10
Max Pain$20.95$20.00$21.00$21.00$21.00
ATM IV25.5%21.9%29.0%28.6%29.0%
Expected Move7.6%6.4%8.5%8.2%8.3%
HV 20d19.6%15.9%23.1%23.1%20.0%
HV 60d20.4%19.5%21.8%21.8%20.2%
IV Rank14.6%10.1%18.9%18.2%18.9%
IV Percentile8.2%0.4%27.0%15.9%27.0%
Term Structure4.0%1.5%5.4%1.5%4.7%
VWIV26.3%21.8%29.4%28.3%29.4%
Skew 25d3.0%0.7%7.7%7.7%2.0%
Skew 10d7.4%-0.1%15.1%10.3%5.0%
Call IV 25d25.1%19.9%28.9%23.5%28.6%
Put IV 25d28.1%22.5%31.5%31.2%30.5%
Bid-Ask Spread %11.858.1916.6010.7814.22
Gamma HHI0.130.100.250.100.13
Net GEX6.6M724.9K12.5M724.9K7.3M
Net DEX-181.6M-379.7M4.8M2.3M-152.1M
Net VEX-2.9M-3.1M-2.8M-2.9M-3.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.840.192.360.582.36
Total Volume41,053.95518,09680,94126,17032,923
Total OI992,919.318928,2101,065,322928,2101,047,357

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-10-01$20.36$21.0028.6%8.2%23.1%18.2%28.3%7.7%1.5%724.9K2.3M-2.9M0.5810.7816,5439,627416,930511,280
2009-10-02$20.34$21.0028.1%8.1%23.0%17.7%27.0%3.5%1.9%1.0M681.8K-2.9M1.698.377,53312,724421,700512,777
2009-10-05$20.39$20.0028.4%8.5%21.6%18.0%29.3%3.0%3.6%796.0K4.8M-2.9M0.6015.8623,45414,072422,172517,483
2009-10-06$20.54$21.0025.9%8.3%21.9%15.0%29.3%2.6%3.5%1.4M-22.8M-2.9M0.4612.0716,9597,807434,889526,760
2009-10-07$20.57$21.0022.5%8.0%18.5%10.9%28.3%3.8%4.2%1.9M-25.9M-2.9M1.2316.6021,46826,316440,588523,222
2009-10-08$20.80$21.0025.6%8.0%18.6%14.7%28.7%2.7%4.2%2.7M-68.8M-3.0M0.6212.0025,79715,928451,440536,401
2009-10-09$20.74$21.0021.9%7.6%18.3%10.1%27.2%4.6%4.3%3.3M-67.5M-3.0M1.2614.3911,25114,128458,286539,194
2009-10-12$20.72$21.0024.3%7.4%18.4%13.0%26.5%4.1%4.2%3.0M-61.5M-2.9M1.0011.7418,16218,077459,147536,758
2009-10-13$20.91$21.0025.2%7.6%19.0%14.2%26.7%4.4%4.0%3.6M-108.5M-2.9M0.428.1957,18423,757467,084546,608
2009-10-14$21.19$21.0026.1%8.0%18.4%15.2%26.8%3.5%3.2%10.3M-210.7M-3.0M0.5512.8946,50425,399499,540552,403
2009-10-15$21.32$21.0026.6%7.6%15.9%15.8%26.3%4.8%4.0%7.9M-216.7M-3.0M0.8110.5418,50515,010495,634564,423
2009-10-16$21.81$21.0023.5%6.7%17.9%12.2%24.2%2.3%5.2%12.5M-352.4M-2.9M0.5510.4048,97426,994502,952562,370
2009-10-19$22.42$21.0022.6%6.5%20.2%11.1%21.8%2.5%4.9%9.3M-379.7M-2.8M1.388.9833,15145,698424,811533,437
2009-10-20$22.19$21.0023.2%6.6%20.4%11.8%22.5%2.8%3.7%9.1M-339.2M-2.9M0.7210.4814,10910,212432,739531,326
2009-10-21$22.03$21.0022.4%6.4%20.0%10.8%22.3%2.9%5.4%9.2M-317.5M-2.9M0.649.2620,90213,426434,539522,226
2009-10-22$22.19$21.0023.0%6.6%20.1%11.6%22.5%1.7%4.9%10.4M-340.4M-2.9M0.6010.5011,3046,792443,240523,607
2009-10-23$22.05$21.0025.7%7.4%19.3%14.9%24.7%3.2%3.5%9.5M-311.9M-3.0M0.199.7146,8799,066446,383524,368
2009-10-26$21.99$21.0026.7%7.6%18.9%16.0%26.5%2.3%2.9%11.3M-318.5M-3.0M0.4413.7317,4047,706469,800527,819
2009-10-27$21.87$21.0026.6%7.6%19.0%16.0%26.9%0.7%3.7%11.2M-299.7M-3.0M1.5215.437,51911,432481,802532,345
2009-10-28$21.30$21.0028.3%8.1%20.8%18.0%28.0%1.2%4.3%8.1M-189.6M-3.1M0.4911.9241,54320,268482,020540,945
2009-10-29$21.45$21.0026.9%7.7%18.8%16.3%26.1%0.9%5.2%10.4M-219.2M-3.0M0.2712.6524,0926,588499,833545,587
2009-10-30$21.10$21.0029.0%8.3%20.0%18.9%29.4%2.0%4.7%7.3M-152.1M-3.0M2.3614.229,78923,134498,808548,549