ORCL Options History — December 2009

In December 2009, ORCL traded between $21.91 and $25.01. ATM implied volatility averaged 29.0%, placing in the 28.5% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 2.9% (HV 20d: 26.1%). Max pain ranged from $20.00 to $22.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 0.67.

Notable Days

2009-12-18: Highest Volume — 210,923 contracts
2009-12-10: Largest IV drop — 26.7% change
2009-12-09: Highest IV Rank — 48.2%
2009-12-17: Largest Expected Move — 9.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$23.50	$21.91	$25.01	$22.44	$24.53
Max Pain	$20.27	$20.00	$22.00	$22.00	$20.00
ATM IV	29.0%	22.8%	40.8%	30.8%	23.4%
Expected Move	7.9%	6.5%	9.4%	8.8%	6.7%
HV 20d	26.1%	20.4%	32.4%	21.5%	29.5%
HV 60d	22.2%	20.4%	24.5%	21.2%	23.7%
IV Rank	28.5%	18.5%	48.2%	24.5%	19.7%
IV Percentile	30.2%	2.0%	77.0%	41.3%	4.8%
Term Structure	-0.8%	-3.5%	1.2%	-3.5%	0.2%
VWIV	28.3%	23.1%	34.4%	29.4%	25.3%
Skew 25d	4.5%	3.0%	5.6%	3.8%	4.6%
Skew 10d	10.0%	5.7%	13.5%	7.2%	11.0%
Call IV 25d	26.0%	21.7%	30.9%	28.3%	23.0%
Put IV 25d	30.5%	25.9%	35.5%	32.1%	27.6%
Bid-Ask Spread %	3.46	2.20	5.02	4.90	2.20
Gamma HHI	0.23	0.17	0.45	0.18	0.30
Net GEX	15.3M	9.4M	26.7M	13.2M	12.6M
Net DEX	-519.3M	-906.9M	-261.6M	-356.5M	-572.2M
Net VEX	-2.3M	-2.5M	-2.2M	-2.5M	-2.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.67	0.20	1.56	0.20	0.83
Total Volume	44,241	10,868	210,923	32,361	42,516
Total OI	1,056,652.409	958,577	1,191,125	1,052,455	1,016,781

Daily Data (22 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
2009-12-01	$22.44	$22.00	30.8%	8.8%	21.5%	24.5%	29.4%	3.8%	-3.5%	13.2M	-356.5M	-2.5M	0.20	4.90	27,058	5,303	465,682	586,773
2009-12-02	$22.66	$22.00	28.6%	8.2%	21.1%	24.6%	28.9%	3.0%	-1.7%	16.4M	-414.3M	-2.5M	0.21	3.16	20,171	4,153	480,525	584,000
2009-12-03	$22.64	$22.00	30.6%	8.8%	21.1%	27.7%	31.2%	3.7%	-3.2%	15.1M	-416.5M	-2.5M	0.48	4.41	12,958	6,244	478,008	585,569
2009-12-04	$22.83	$20.00	30.9%	8.0%	20.4%	28.2%	27.8%	5.3%	-0.3%	16.4M	-452.0M	-2.4M	0.29	3.32	20,005	5,842	477,457	587,576
2009-12-07	$22.48	$20.00	36.4%	8.2%	21.4%	40.5%	28.6%	5.1%	0.6%	15.0M	-387.1M	-2.4M	0.50	3.60	15,979	7,953	485,381	589,777
2009-12-08	$21.91	$20.00	38.7%	8.4%	22.7%	44.6%	34.4%	5.6%	0.2%	10.7M	-261.6M	-2.5M	1.56	3.39	10,717	16,770	485,143	591,703
2009-12-09	$21.95	$20.00	40.8%	8.6%	22.7%	48.2%	33.3%	5.6%	-0.1%	11.3M	-271.8M	-2.5M	0.59	3.20	15,891	9,437	488,749	590,241
2009-12-10	$22.59	$20.00	29.9%	8.6%	24.8%	30.2%	30.6%	5.1%	-1.2%	15.6M	-410.6M	-2.5M	0.77	4.06	22,137	17,068	493,124	592,751
2009-12-11	$22.78	$20.00	29.9%	8.6%	24.9%	32.5%	28.5%	5.2%	-1.1%	17.0M	-452.2M	-2.5M	0.42	3.64	19,511	8,229	501,283	600,636
2009-12-14	$23.31	$20.00	28.5%	8.2%	25.7%	29.7%	29.9%	4.7%	0.5%	20.1M	-585.8M	-2.4M	0.89	3.50	29,291	26,204	507,282	603,616
2009-12-15	$23.16	$20.00	31.6%	9.1%	24.8%	35.8%	30.7%	5.0%	-2.8%	19.9M	-553.3M	-2.4M	0.54	3.60	37,520	20,410	513,772	607,902
2009-12-16	$23.12	$20.00	31.4%	9.0%	24.8%	35.4%	31.4%	4.8%	-2.5%	20.4M	-538.4M	-2.3M	1.03	3.38	18,400	18,862	518,665	610,117
2009-12-17	$22.88	$20.00	32.9%	9.4%	25.1%	38.3%	32.4%	4.7%	-3.2%	19.3M	-478.8M	-2.4M	0.51	5.02	90,950	46,271	523,180	616,688
2009-12-18	$24.34	$20.00	25.5%	7.3%	32.4%	23.7%	25.8%	3.8%	1.2%	26.7M	-906.9M	-2.2M	0.54	3.25	137,341	73,582	559,081	632,044
2009-12-21	$24.43	$20.00	25.4%	7.3%	32.3%	23.6%	25.5%	4.2%	-0.6%	9.4M	-562.4M	-2.2M	0.65	3.11	33,221	21,696	408,381	550,196
2009-12-22	$24.46	$20.00	24.8%	7.1%	32.2%	22.4%	24.3%	4.4%	-0.5%	11.5M	-568.8M	-2.3M	0.87	3.47	9,034	7,889	424,878	554,601
2009-12-23	$24.73	$20.00	22.9%	6.6%	30.9%	18.6%	23.1%	3.9%	0.5%	11.8M	-634.4M	-2.2M	0.43	2.78	14,954	6,399	426,677	550,709
2009-12-24	$24.95	$20.00	22.8%	6.5%	30.4%	18.5%	23.8%	4.2%	0.5%	12.5M	-645.1M	-2.2M	0.71	2.62	6,359	4,509	427,655	551,118
2009-12-28	$24.97	$20.00	24.2%	6.9%	28.7%	21.2%	25.9%	4.6%	-0.3%	13.0M	-650.2M	-2.2M	0.24	3.17	20,188	4,824	432,842	552,519
2009-12-29	$25.01	$20.00	23.3%	6.7%	28.6%	19.4%	25.1%	3.5%	0.2%	13.9M	-660.8M	-2.2M	1.07	3.13	9,372	10,047	437,406	555,192
2009-12-30	$24.93	$20.00	23.9%	6.9%	28.6%	20.7%	25.7%	4.4%	-0.2%	13.7M	-645.7M	-2.2M	1.41	3.21	15,806	22,231	441,070	559,603
2009-12-31	$24.53	$20.00	23.4%	6.7%	29.5%	19.7%	25.3%	4.6%	0.2%	12.6M	-572.2M	-2.3M	0.83	2.20	23,287	19,229	443,267	573,514