ORCL Options History — November 2009

In November 2009, ORCL traded between $20.89 and $22.83. ATM implied volatility averaged 26.4%, placing in the 16.4% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 5.8% (HV 20d: 20.6%). Max pain ranged from $21.00 to $22.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.92.

Notable Days

2009-11-02: Highest Volume — 50,796 contracts
2009-11-12: Largest IV spike — 26.4% change
2009-11-30: Highest IV Rank — 22.9%
2009-11-06: Largest Expected Move — 8.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$22.01	$20.89	$22.83	$21.09	$22.08
Max Pain	$21.10	$21.00	$22.00	$21.00	$22.00
ATM IV	26.4%	22.9%	29.7%	27.5%	29.7%
Expected Move	7.9%	6.9%	8.9%	7.9%	8.5%
HV 20d	20.6%	18.8%	22.0%	20.0%	21.0%
HV 60d	20.1%	19.3%	21.4%	20.1%	21.3%
IV Rank	16.4%	11.5%	22.9%	17.0%	22.9%
IV Percentile	16.2%	2.0%	38.1%	18.3%	38.1%
Term Structure	0.7%	-3.0%	6.6%	4.8%	-3.0%
VWIV	28.1%	25.1%	30.2%	28.2%	29.5%
Skew 25d	3.9%	1.4%	5.1%	1.8%	3.5%
Skew 10d	8.2%	2.1%	11.0%	4.2%	7.3%
Call IV 25d	26.3%	23.2%	28.2%	27.6%	27.8%
Put IV 25d	30.2%	26.4%	33.0%	29.4%	31.4%
Bid-Ask Spread %	4.07	2.61	7.24	5.63	2.77
Gamma HHI	0.18	0.11	0.28	0.12	0.17
Net GEX	13.0M	5.0M	22.8M	6.9M	11.1M
Net DEX	-313.1M	-514.4M	-87.3M	-138.1M	-282.7M
Net VEX	-2.8M	-3.0M	-2.4M	-3.0M	-2.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.92	0.30	2.22	2.22	0.80
Total Volume	24,369.95	5,568	50,796	50,796	26,820
Total OI	1,095,310.85	1,020,426	1,146,571	1,056,579	1,042,112

Daily Data (20 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
2009-11-02	$21.09	$21.00	27.5%	7.9%	20.0%	17.0%	28.2%	1.8%	4.8%	6.9M	-138.1M	-3.0M	2.22	5.63	15,754	35,042	499,221	557,358
2009-11-03	$20.89	$21.00	27.1%	7.8%	20.3%	16.5%	28.0%	2.0%	5.3%	5.0M	-87.3M	-3.0M	1.21	5.70	20,917	25,328	504,030	579,539
2009-11-04	$20.90	$21.00	26.5%	7.6%	20.3%	15.8%	26.7%	1.5%	5.8%	5.6M	-95.5M	-3.0M	0.77	7.24	9,650	7,428	508,406	585,780
2009-11-05	$21.32	$21.00	25.1%	7.2%	21.1%	14.1%	25.1%	1.4%	6.6%	8.8M	-180.2M	-3.0M	1.32	4.46	17,271	22,802	511,968	588,391
2009-11-06	$21.42	$21.00	24.3%	8.9%	21.0%	13.1%	30.2%	4.8%	0.2%	9.2M	-199.3M	-3.0M	0.95	3.63	2,975	2,827	512,623	591,697
2009-11-09	$21.83	$21.00	23.6%	8.4%	21.9%	12.3%	29.7%	4.9%	-0.4%	13.5M	-287.4M	-2.9M	0.49	4.69	17,326	8,439	512,663	591,885
2009-11-10	$21.80	$21.00	23.1%	8.4%	21.8%	11.8%	29.4%	4.6%	-0.8%	12.2M	-273.0M	-2.9M	0.97	4.26	11,980	11,638	510,088	595,069
2009-11-11	$21.90	$21.00	22.9%	8.3%	21.4%	11.5%	29.3%	4.9%	-0.7%	13.5M	-299.7M	-2.8M	1.40	3.68	11,075	15,482	515,840	602,847
2009-11-12	$22.04	$21.00	28.9%	8.3%	21.4%	18.8%	29.0%	5.1%	-0.7%	14.3M	-329.7M	-2.9M	0.74	3.41	9,734	7,158	516,519	610,887
2009-11-13	$22.34	$21.00	28.3%	8.1%	20.4%	18.1%	29.5%	4.8%	-0.6%	17.9M	-393.4M	-2.9M	0.76	3.20	23,369	17,825	519,333	615,561
2009-11-16	$22.83	$21.00	27.2%	7.8%	19.5%	16.7%	28.1%	4.5%	0.9%	21.3M	-514.4M	-2.8M	0.57	3.85	23,677	13,478	517,965	621,808
2009-11-17	$22.80	$21.00	27.4%	7.9%	19.1%	17.0%	28.0%	4.4%	0.3%	21.3M	-503.4M	-2.8M	1.18	4.28	8,988	10,597	517,201	624,408
2009-11-18	$22.80	$21.00	26.8%	7.7%	18.8%	16.2%	28.3%	4.5%	0.9%	22.8M	-509.7M	-2.7M	0.81	3.99	7,298	5,935	516,633	625,607
2009-11-19	$22.39	$21.00	28.7%	8.2%	20.0%	18.5%	28.7%	4.4%	-1.6%	14.4M	-397.1M	-2.7M	1.04	3.61	11,849	12,297	516,988	626,563
2009-11-20	$22.34	$21.00	27.9%	8.0%	19.8%	17.5%	28.4%	4.3%	-1.2%	11.7M	-404.5M	-2.6M	0.34	4.18	10,801	3,626	518,381	628,190
2009-11-23	$22.60	$21.00	25.1%	7.2%	20.2%	16.5%	25.5%	4.7%	0.3%	12.9M	-385.4M	-2.5M	0.30	3.02	16,653	4,966	449,515	570,911
2009-11-24	$22.14	$21.00	26.1%	7.5%	21.5%	17.9%	26.0%	3.8%	-0.9%	11.8M	-299.5M	-2.5M	0.84	3.57	7,168	5,995	457,933	570,859
2009-11-25	$22.60	$21.00	24.2%	6.9%	20.1%	15.2%	26.0%	4.4%	0.4%	14.9M	-397.2M	-2.4M	1.45	2.61	7,221	10,442	459,912	573,321
2009-11-27	$22.09	$22.00	28.1%	8.1%	22.0%	20.7%	27.6%	3.7%	-2.3%	11.1M	-285.0M	-2.5M	0.34	3.66	4,150	1,418	461,109	577,096
2009-11-30	$22.08	$22.00	29.7%	8.5%	21.0%	22.9%	29.5%	3.5%	-3.0%	11.1M	-282.7M	-2.5M	0.80	2.77	14,888	11,932	462,132	579,980