ORCL Options History — April 2010

In April 2010, ORCL traded between $25.46 and $26.48. ATM implied volatility averaged 18.8%, placing in the 17.7% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 5.7% (HV 20d: 13.1%). Max pain ranged from $25.00 to $26.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.55.

Notable Days

  • 2010-04-09: Highest Volume — 82,540 contracts
  • 2010-04-15: Largest IV spike — 22.3% change
  • 2010-04-16: Highest IV Rank — 26.2%
  • 2010-04-16: Largest Expected Move — 6.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.06$25.46$26.48$25.46$25.87
Max Pain$25.48$25.00$26.00$25.00$26.00
ATM IV18.8%15.4%21.5%18.3%19.1%
Expected Move5.8%5.2%6.2%5.2%5.5%
HV 20d13.1%10.1%14.6%14.6%11.8%
HV 60d18.1%16.6%19.3%19.3%16.6%
IV Rank17.7%6.6%26.2%15.8%18.4%
IV Percentile4.0%0.4%9.9%0.4%6.0%
Term Structure1.6%0.8%3.2%3.2%2.7%
VWIV20.3%18.4%21.7%18.5%19.9%
Skew 25d1.9%0.1%2.4%0.1%1.9%
Skew 10d4.0%-0.1%5.1%-0.1%4.4%
Call IV 25d19.5%17.7%20.6%18.5%18.6%
Put IV 25d21.3%18.6%23.0%18.6%20.5%
Bid-Ask Spread %4.312.866.003.554.87
Gamma HHI0.250.180.690.200.18
Net GEX18.7M10.2M66.8M10.2M13.0M
Net DEX-302.5M-378.7M-211.1M-211.1M-239.8M
Net VEX-3.1M-3.3M-2.9M-3.3M-2.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.550.081.170.970.39
Total Volume25,183.76210,46982,54029,65510,469
Total OI792,675.619718,312863,328839,875739,328

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-04-01$25.46$25.0018.3%5.2%14.6%15.8%18.5%0.1%3.2%10.2M-211.1M-3.3M0.973.5515,08814,567397,268442,607
2010-04-05$25.58$25.0018.4%6.0%14.4%16.4%21.2%2.3%1.1%12.0M-236.7M-3.2M0.265.1414,4843,777396,493443,234
2010-04-06$25.83$25.0017.9%5.9%14.1%14.6%21.0%2.2%1.3%16.3M-304.3M-3.2M0.905.0510,4939,415402,016444,462
2010-04-07$25.91$25.0017.6%6.1%14.0%13.7%21.2%2.0%1.3%16.2M-306.5M-3.1M0.264.2522,0605,790395,325447,954
2010-04-08$25.83$25.0018.0%6.1%14.1%15.0%21.7%2.4%1.2%15.4M-293.4M-3.2M1.173.9718,60721,795395,325447,954
2010-04-09$26.13$25.0015.4%5.9%14.1%6.6%20.9%2.1%1.1%21.7M-341.2M-3.2M0.082.8676,3436,197401,826461,502
2010-04-12$26.20$25.0017.3%6.1%14.0%12.8%21.4%1.8%1.3%21.9M-330.4M-3.2M0.254.6319,4704,844386,087460,398
2010-04-13$26.35$25.0017.4%6.1%13.8%13.1%21.1%2.1%1.1%22.8M-360.7M-3.2M0.754.0222,07516,484392,080460,725
2010-04-14$26.38$25.0017.5%6.1%13.7%13.5%21.1%2.2%1.0%22.6M-378.7M-3.1M0.453.1911,6605,284387,842451,866
2010-04-15$26.20$25.0021.5%6.2%13.7%26.2%21.5%2.2%0.8%22.4M-346.4M-3.1M0.374.2516,5286,191388,042453,971
2010-04-16$25.95$25.0021.5%6.2%14.2%26.2%21.4%1.9%1.0%66.8M-295.9M-3.1M0.634.8219,82812,411396,074456,089
2010-04-19$26.19$26.0020.4%5.9%14.1%22.8%20.4%2.2%0.9%14.1M-300.2M-3.0M0.553.0922,69812,500340,074378,238
2010-04-20$26.15$26.0019.5%5.6%13.3%19.8%19.5%1.8%1.4%15.0M-305.0M-3.0M0.332.9916,2535,393352,276386,077
2010-04-21$26.29$26.0019.0%5.4%12.1%18.2%18.7%1.7%1.7%15.0M-319.6M-3.0M0.343.1410,8373,655344,707383,919
2010-04-22$26.24$26.0019.4%5.6%11.6%19.6%19.4%1.6%1.8%15.2M-315.8M-3.0M0.675.438,2815,572347,452383,910
2010-04-23$26.48$26.0018.9%5.4%11.4%17.8%18.4%1.9%2.1%16.1M-353.2M-3.0M0.495.4511,5655,724347,466385,655
2010-04-26$26.47$26.0019.7%5.7%10.1%20.5%19.6%1.6%1.9%15.7M-345.5M-2.9M0.604.937,2024,355346,176387,548
2010-04-27$25.98$26.0021.1%6.0%12.2%24.9%21.3%1.8%1.4%13.2M-268.0M-3.0M0.816.008,7567,098348,638389,197
2010-04-28$25.86$26.0019.2%5.5%12.4%18.8%19.4%1.7%2.5%13.5M-239.8M-3.0M0.844.3211,7759,882350,358391,010
2010-04-29$25.97$26.0018.4%5.3%12.2%16.3%18.5%1.7%2.8%14.2M-259.3M-2.9M0.484.579,0954,358347,903387,116
2010-04-30$25.87$26.0019.1%5.5%11.8%18.4%19.9%1.9%2.7%13.0M-239.8M-2.9M0.394.877,5082,961348,029391,299