ORCL Options History — March 2010

In March 2010, ORCL traded between $24.50 and $26.04. ATM implied volatility averaged 24.3%, placing in the 30.3% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 7.6% (HV 20d: 16.7%). Max pain ranged from $24.00 to $25.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 7 of 23 days. Put/call ratio averaged 0.75.

Notable Days

2010-03-25: Highest Volume — 161,585 contracts
2010-03-11: Largest IV spike — 45.0% change
2010-03-25: Highest IV Rank — 59.2%
2010-03-25: Largest Expected Move — 9.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$25.24	$24.50	$26.04	$24.74	$25.71
Max Pain	$24.83	$24.00	$25.00	$24.00	$25.00
ATM IV	24.3%	18.4%	31.6%	24.8%	18.4%
Expected Move	7.3%	5.3%	9.1%	7.1%	5.3%
HV 20d	16.7%	13.3%	23.5%	23.2%	14.3%
HV 60d	21.6%	18.8%	24.4%	24.4%	19.2%
IV Rank	30.3%	11.4%	59.2%	22.4%	16.3%
IV Percentile	24.9%	0.4%	73.0%	16.3%	0.4%
Term Structure	-1.0%	-5.4%	5.5%	0.3%	2.8%
VWIV	25.9%	19.0%	31.6%	25.1%	19.0%
Skew 25d	2.8%	-0.6%	4.1%	3.8%	0.6%
Skew 10d	6.3%	-0.4%	8.8%	8.5%	1.3%
Call IV 25d	24.6%	18.7%	30.9%	24.0%	18.7%
Put IV 25d	27.4%	19.4%	31.8%	27.8%	19.4%
Bid-Ask Spread %	5.16	2.92	19.10	5.80	3.97
Gamma HHI	0.22	0.13	0.30	0.21	0.20
Net GEX	9.4M	4.9M	15.3M	6.3M	13.1M
Net DEX	-253.4M	-343.4M	-165.4M	-202.2M	-270.1M
Net VEX	-3.0M	-3.4M	-2.7M	-2.8M	-3.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.75	0.16	3.63	0.98	0.64
Total Volume	43,709.391	14,691	161,585	17,738	20,728
Total OI	782,844.304	648,389	855,797	734,569	839,928

Daily Data (23 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
2010-03-01	$24.74	$24.00	24.8%	7.1%	23.2%	22.4%	25.1%	3.8%	0.3%	6.3M	-202.2M	-2.8M	0.98	5.80	8,945	8,793	323,732	410,837
2010-03-02	$24.58	$24.00	25.2%	7.2%	23.5%	23.1%	25.9%	3.7%	-0.0%	5.8M	-175.9M	-2.8M	0.55	5.81	9,475	5,216	328,555	415,843
2010-03-03	$24.50	$24.00	22.5%	6.5%	22.3%	17.9%	21.8%	3.0%	4.1%	5.9M	-165.4M	-2.8M	1.00	19.10	24,137	24,248	329,848	416,186
2010-03-04	$24.76	$24.00	20.0%	5.7%	22.5%	13.0%	21.0%	2.4%	5.5%	6.9M	-212.6M	-2.7M	0.90	16.75	9,953	8,964	330,294	420,874
2010-03-05	$24.95	$25.00	19.2%	7.4%	19.7%	11.4%	25.5%	3.5%	-1.2%	7.8M	-228.6M	-2.7M	0.16	3.88	24,585	3,974	330,283	422,069
2010-03-08	$24.70	$25.00	19.5%	7.5%	19.4%	12.1%	26.6%	3.4%	-1.8%	9.0M	-212.4M	-2.7M	0.91	3.76	8,071	7,363	341,501	421,937
2010-03-09	$24.88	$25.00	19.2%	7.6%	17.9%	11.4%	27.2%	3.9%	-1.7%	7.9M	-233.6M	-2.7M	0.81	3.80	12,369	10,039	335,881	424,226
2010-03-10	$24.87	$25.00	19.0%	7.7%	17.2%	11.7%	28.8%	3.6%	-2.0%	8.3M	-234.7M	-2.7M	1.49	3.73	11,067	16,508	340,380	428,239
2010-03-11	$25.14	$25.00	27.5%	7.9%	15.7%	29.6%	27.7%	4.0%	-2.2%	9.5M	-277.0M	-2.7M	3.63	4.05	7,357	26,735	344,494	439,524
2010-03-12	$25.05	$25.00	27.7%	7.9%	15.8%	42.0%	28.5%	3.6%	-2.4%	8.9M	-256.2M	-2.8M	0.81	3.83	19,981	16,144	346,554	456,302
2010-03-15	$25.28	$25.00	28.5%	8.2%	15.9%	44.4%	29.0%	3.6%	-3.0%	10.8M	-293.9M	-2.9M	0.30	4.24	19,496	5,877	356,452	467,890
2010-03-16	$25.21	$25.00	27.9%	8.0%	15.3%	42.6%	28.2%	3.7%	-3.0%	11.4M	-303.8M	-2.9M	0.46	4.15	22,335	10,288	367,272	469,548
2010-03-17	$25.47	$25.00	28.5%	8.2%	14.8%	45.2%	28.3%	3.4%	-3.4%	12.7M	-343.4M	-2.9M	0.74	4.93	19,104	14,146	368,897	472,339
2010-03-18	$25.38	$25.00	27.9%	8.0%	14.3%	44.8%	28.2%	3.7%	-3.1%	10.1M	-316.4M	-2.9M	0.46	2.94	19,003	8,812	367,650	478,243
2010-03-19	$25.19	$25.00	27.6%	7.9%	14.3%	46.1%	27.7%	4.1%	-2.9%	9.9M	-286.2M	-2.9M	0.49	2.94	33,564	16,533	376,824	478,973
2010-03-22	$25.56	$25.00	26.6%	7.6%	13.5%	42.7%	27.7%	3.8%	-2.0%	4.9M	-193.8M	-2.9M	0.55	3.17	41,390	22,616	275,398	372,991
2010-03-23	$25.99	$25.00	26.9%	7.7%	13.3%	44.0%	27.6%	2.6%	-2.5%	7.5M	-261.4M	-3.0M	0.26	3.54	66,520	17,363	299,912	384,663
2010-03-24	$25.76	$25.00	28.9%	8.3%	13.5%	50.2%	29.2%	1.9%	-3.8%	9.1M	-260.3M	-3.2M	0.34	3.70	42,090	14,168	338,631	396,966
2010-03-25	$26.04	$25.00	31.6%	9.1%	13.8%	59.2%	31.6%	0.9%	-5.4%	13.0M	-339.5M	-3.3M	0.60	4.72	101,114	60,471	374,782	398,790
2010-03-26	$25.69	$25.00	20.6%	5.9%	14.4%	23.4%	20.8%	-0.6%	1.5%	15.3M	-287.1M	-3.4M	0.46	3.23	79,669	37,035	405,315	431,641
2010-03-29	$25.57	$25.00	20.6%	5.9%	14.6%	23.5%	21.2%	0.8%	1.6%	11.9M	-244.6M	-3.4M	0.51	2.92	28,410	14,420	397,160	435,692
2010-03-30	$25.54	$25.00	19.6%	5.6%	14.3%	20.2%	20.0%	0.8%	2.2%	11.2M	-229.9M	-3.3M	0.23	3.79	21,388	4,852	400,971	440,932
2010-03-31	$25.71	$25.00	18.4%	5.3%	14.3%	16.3%	19.0%	0.6%	2.8%	13.1M	-270.1M	-3.3M	0.64	3.97	12,614	8,114	400,016	439,912