ORCL Options History — February 2010

In February 2010, ORCL traded between $23.11 and $24.87. ATM implied volatility averaged 26.4%, placing in the 25.5% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 2.8% (HV 20d: 23.6%). Max pain ranged from $23.00 to $24.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 0.77.

Notable Days

2010-02-03: Highest Volume — 115,052 contracts
2010-02-11: Largest IV spike — 24.4% change
2010-02-12: Highest IV Rank — 35.2%
2010-02-08: Largest Expected Move — 9.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$23.91	$23.11	$24.87	$23.22	$24.65
Max Pain	$23.37	$23.00	$24.00	$24.00	$24.00
ATM IV	26.4%	22.6%	31.3%	27.1%	23.3%
Expected Move	7.9%	6.5%	9.5%	7.8%	6.7%
HV 20d	23.6%	18.8%	25.5%	18.8%	24.4%
HV 60d	24.8%	23.7%	25.4%	23.7%	24.5%
IV Rank	25.5%	18.0%	35.2%	27.0%	19.5%
IV Percentile	26.4%	3.2%	60.3%	30.2%	7.5%
Term Structure	-0.1%	-3.6%	5.0%	3.5%	1.3%
VWIV	28.2%	23.6%	33.6%	27.5%	24.7%
Skew 25d	4.4%	2.7%	6.0%	3.8%	3.3%
Skew 10d	9.3%	5.8%	12.7%	7.2%	8.8%
Call IV 25d	26.2%	22.2%	30.4%	25.8%	23.1%
Put IV 25d	30.6%	24.9%	36.4%	29.6%	26.4%
Bid-Ask Spread %	5.05	3.51	16.34	4.47	16.34
Gamma HHI	0.17	0.13	0.23	0.13	0.20
Net GEX	5.2M	1.4M	12.3M	2.4M	5.1M
Net DEX	-95.2M	-253.7M	36.0M	13.1M	-177.6M
Net VEX	-2.6M	-3.0M	-2.3M	-2.3M	-2.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.77	0.21	1.79	1.05	0.72
Total Volume	41,577.895	16,622	115,052	32,966	18,772
Total OI	709,486.053	624,545	766,947	624,545	732,180

Daily Data (19 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
2010-02-01	$23.22	$24.00	27.1%	7.8%	18.8%	27.0%	27.5%	3.8%	3.5%	2.4M	13.1M	-2.3M	1.05	4.47	16,067	16,899	279,394	345,151
2010-02-02	$23.76	$24.00	24.3%	7.0%	20.2%	21.4%	25.6%	2.7%	3.6%	5.2M	-63.1M	-2.4M	0.57	4.56	18,309	10,443	284,513	350,679
2010-02-03	$23.75	$24.00	22.6%	6.5%	20.2%	18.0%	23.6%	2.7%	4.4%	5.6M	-60.1M	-2.4M	0.88	5.31	61,088	53,964	291,843	354,195
2010-02-04	$23.11	$24.00	26.2%	7.5%	21.7%	25.1%	25.6%	3.4%	5.0%	1.6M	24.6M	-2.9M	1.10	6.26	24,692	27,055	337,712	403,248
2010-02-05	$23.55	$23.00	25.1%	8.8%	23.0%	23.0%	33.6%	5.7%	-2.0%	3.8M	-41.8M	-3.0M	1.11	4.71	37,680	41,915	347,477	419,470
2010-02-08	$23.12	$23.00	26.8%	9.5%	23.1%	26.4%	32.9%	6.0%	-3.6%	1.4M	35.4M	-2.8M	0.88	4.72	33,344	29,218	337,418	413,022
2010-02-09	$23.51	$23.00	24.5%	8.8%	24.2%	21.7%	31.0%	5.6%	-2.4%	4.4M	-34.3M	-2.6M	0.50	3.89	16,996	8,445	321,409	394,795
2010-02-10	$23.11	$23.00	25.1%	9.2%	24.7%	23.0%	31.8%	5.6%	-2.8%	1.8M	36.0M	-2.5M	0.21	4.30	24,814	5,322	322,807	399,310
2010-02-11	$23.35	$23.00	31.2%	9.0%	24.8%	35.0%	30.6%	5.7%	-2.6%	3.3M	-714.9K	-2.6M	0.23	4.35	21,659	4,893	327,859	399,693
2010-02-12	$23.41	$23.00	31.3%	9.0%	23.1%	35.2%	29.6%	5.3%	-2.2%	3.7M	-22.3M	-2.6M	0.31	4.60	14,943	4,698	336,731	400,937
2010-02-16	$23.81	$23.00	30.0%	8.6%	24.3%	32.5%	31.0%	5.5%	-2.6%	7.1M	-91.2M	-2.6M	0.29	3.84	12,892	3,730	345,976	401,560
2010-02-17	$24.18	$23.00	29.0%	8.3%	25.1%	30.6%	29.2%	4.9%	-2.0%	9.7M	-181.7M	-2.6M	0.89	3.84	15,226	13,494	350,722	401,598
2010-02-18	$24.52	$23.00	26.2%	7.5%	25.5%	25.1%	27.4%	4.3%	-0.6%	12.3M	-253.7M	-2.5M	1.02	3.82	13,806	14,077	355,147	403,272
2010-02-19	$24.32	$23.00	26.8%	7.7%	25.5%	26.4%	27.3%	4.5%	-0.8%	8.7M	-201.8M	-2.5M	0.70	3.70	33,710	23,723	350,374	405,915
2010-02-22	$24.81	$23.00	25.5%	7.3%	24.4%	23.7%	26.4%	4.3%	-0.4%	6.0M	-205.6M	-2.7M	0.39	3.51	16,346	6,418	283,024	362,029
2010-02-23	$24.48	$23.00	26.9%	7.7%	24.9%	26.5%	26.7%	3.9%	0.1%	6.0M	-179.5M	-2.6M	1.79	5.31	16,139	28,850	289,199	366,228
2010-02-24	$24.77	$24.00	24.5%	7.0%	25.0%	21.7%	25.1%	3.6%	1.0%	5.4M	-195.0M	-2.7M	0.86	4.19	12,896	11,063	295,871	382,874
2010-02-25	$24.87	$24.00	24.5%	7.0%	25.0%	21.8%	25.5%	3.3%	0.5%	5.7M	-210.1M	-2.7M	1.09	4.27	36,508	39,886	299,355	387,248
2010-02-26	$24.65	$24.00	23.3%	6.7%	24.4%	19.5%	24.7%	3.3%	1.3%	5.1M	-177.6M	-2.9M	0.72	16.34	10,885	7,887	322,706	409,474