ORCL Options History — January 2010

In January 2010, ORCL traded between $23.06 and $25.34. ATM implied volatility averaged 25.2%, placing in the 23.2% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 2.0% (HV 20d: 23.2%). Max pain ranged from $24.00 to $25.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 0.88.

Notable Days

  • 2010-01-13: Highest Volume — 541,289 contracts
  • 2010-01-22: Largest IV spike — 27.0% change
  • 2010-01-29: Highest IV Rank — 31.0%
  • 2010-01-29: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.50$23.06$25.34$24.85$23.06
Max Pain$24.11$24.00$25.00$24.00$24.00
ATM IV25.2%21.2%29.2%24.2%29.2%
Expected Move7.1%6.1%8.4%6.7%8.4%
HV 20d23.2%15.1%29.6%29.6%19.0%
HV 60d23.7%23.2%24.2%23.8%23.8%
IV Rank23.2%15.2%31.0%21.3%31.0%
IV Percentile17.0%0.4%47.2%7.1%47.2%
Term Structure3.2%2.4%3.9%2.9%3.5%
VWIV24.7%21.3%28.6%23.6%28.6%
Skew 25d4.3%3.5%5.6%4.1%4.4%
Skew 10d8.6%7.0%10.9%7.7%9.2%
Call IV 25d22.9%19.2%27.6%22.1%27.6%
Put IV 25d27.2%22.8%32.0%26.2%32.0%
Bid-Ask Spread %4.033.215.094.904.51
Gamma HHI0.290.130.570.360.13
Net GEX9.8M2.5M19.6M13.3M2.5M
Net DEX-345.0M-645.9M15.2M-645.9M15.2M
Net VEX-2.2M-2.4M-2.0M-2.2M-2.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.880.022.060.750.65
Total Volume62,848.05325,155541,28929,00129,020
Total OI821,890.579523,5141,092,9411,035,108621,176

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-01-04$24.85$24.0024.2%6.7%29.6%21.3%23.6%4.1%2.9%13.3M-645.9M-2.2M0.754.9016,55312,448451,743583,365
2010-01-05$24.82$24.0024.5%6.8%29.6%21.9%24.3%4.3%3.1%13.1M-645.7M-2.2M2.064.2711,01122,730451,162588,171
2010-01-06$24.46$24.0026.6%7.1%29.6%26.0%24.2%4.2%3.1%9.6M-532.8M-2.3M1.513.3611,52217,449450,767600,932
2010-01-07$24.38$24.0025.8%7.1%27.5%24.3%23.8%4.3%2.9%9.0M-532.3M-2.2M1.364.6213,34618,157453,580604,546
2010-01-08$24.68$25.0023.2%6.6%27.6%19.2%24.1%4.5%3.4%10.4M-599.7M-2.2M1.225.0911,54814,098454,736610,646
2010-01-11$24.69$25.0025.8%6.8%26.3%24.4%24.9%4.0%3.0%11.1M-604.4M-2.1M0.463.6819,5948,983455,624617,841
2010-01-12$24.56$24.0026.6%6.8%26.5%26.0%25.2%4.1%2.9%11.1M-532.0M-2.2M0.523.6327,91914,424452,799621,044
2010-01-13$24.80$24.0024.3%6.7%25.6%21.4%24.4%4.1%3.1%17.3M-626.1M-2.2M0.023.72532,8538,436467,985624,956
2010-01-14$25.34$24.0023.0%6.6%26.1%18.9%22.6%3.8%3.0%19.6M-387.5M-2.1M0.293.4249,11714,490316,605627,883
2010-01-15$25.24$24.0022.4%6.4%26.2%17.7%23.4%3.6%3.9%17.2M-395.4M-2.1M0.843.7836,07730,379319,086632,177
2010-01-19$25.33$24.0021.2%6.1%25.6%15.2%21.3%3.6%3.8%8.4M-240.4M-2.0M1.523.2111,06216,775231,215292,299
2010-01-20$25.06$24.0022.0%6.3%15.1%17.0%22.9%3.5%3.5%7.5M-208.7M-2.1M0.524.8530,13815,786235,018299,898
2010-01-21$24.83$24.0022.4%6.4%15.5%17.7%22.9%3.7%3.8%8.2M-200.7M-2.2M0.793.5215,20911,964252,723305,934
2010-01-22$24.15$24.0028.5%8.2%18.6%29.6%28.1%5.6%2.4%6.2M-123.9M-2.4M1.083.9027,80230,000257,474310,362
2010-01-25$24.03$24.0027.1%7.8%18.1%27.0%27.0%5.0%2.9%6.1M-104.2M-2.4M0.874.1514,33712,484269,779322,303
2010-01-26$23.88$24.0027.4%7.9%17.7%27.5%27.0%4.8%2.7%5.6M-82.3M-2.4M0.554.0824,10313,151275,327329,323
2010-01-27$23.86$24.0025.7%7.4%17.7%24.2%25.3%4.5%3.3%5.6M-79.3M-2.4M0.654.5215,2029,953278,374333,060
2010-01-28$23.47$24.0029.0%8.3%18.3%30.6%26.5%5.6%2.7%4.2M-29.8M-2.4M1.043.3712,75013,243280,674335,334
2010-01-29$23.06$24.0029.2%8.4%19.0%31.0%28.6%4.4%3.5%2.5M15.2M-2.4M0.654.5117,54811,472280,712340,464