ORCL Options History — May 2010

In May 2010, ORCL traded between $21.91 and $26.01. ATM implied volatility averaged 29.9%, placing in the 53.6% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 2.4% (HV 20d: 27.5%). Max pain ranged from $24.00 to $26.00. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.88.

Notable Days

  • 2010-05-04: Highest Volume — 59,980 contracts
  • 2010-05-07: Largest IV spike — 26.9% change
  • 2010-05-20: Highest IV Rank — 88.9%
  • 2010-05-20: Largest Expected Move — 11.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.54$21.91$26.01$26.01$22.57
Max Pain$24.30$24.00$26.00$26.00$24.00
ATM IV29.9%18.8%40.8%18.8%27.7%
Expected Move8.6%5.4%11.7%5.4%7.9%
HV 20d27.5%11.8%33.5%11.8%33.5%
HV 60d20.4%15.5%22.7%15.5%22.6%
IV Rank53.6%17.5%88.9%17.5%46.4%
IV Percentile66.3%4.8%99.2%4.8%57.5%
Term Structure1.3%-2.4%3.5%2.6%3.5%
VWIV30.7%19.3%40.5%19.3%28.5%
Skew 25d5.3%1.8%9.1%1.8%4.8%
Skew 10d10.6%3.9%18.2%4.0%8.9%
Call IV 25d28.4%18.3%37.0%18.3%27.6%
Put IV 25d33.7%20.1%46.1%20.1%32.3%
Bid-Ask Spread %5.413.5314.445.155.85
Gamma HHI0.110.090.190.190.11
Net GEX1.9M-4.8M14.5M14.5M-2.3M
Net DEX51.5M-259.3M226.1M-259.3M102.5M
Net VEX-3.0M-3.1M-2.9M-2.9M-3.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.880.132.490.130.28
Total Volume31,288.411,78159,98020,31515,278
Total OI792,127.6742,614838,691742,614833,122

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-05-03$26.01$26.0018.8%5.4%11.8%17.5%19.3%1.8%2.6%14.5M-259.3M-2.9M0.135.1517,9532,362351,220391,394
2010-05-04$24.97$26.0023.8%6.8%18.5%33.7%23.9%2.7%1.1%8.4M-105.5M-2.9M0.464.6840,98818,992353,177391,412
2010-05-05$24.94$25.0023.4%6.7%18.4%32.6%23.5%2.4%2.0%8.5M-100.0M-3.0M0.764.8514,48411,041359,857394,080
2010-05-06$23.91$25.0028.8%8.2%23.3%49.9%29.2%2.0%0.0%3.5M25.2M-3.0M0.7314.4423,57017,267359,035399,779
2010-05-07$23.41$24.0036.5%10.0%23.3%75.1%35.1%6.0%-0.2%2.1M69.2M-3.1M1.175.5817,78020,839366,153402,683
2010-05-10$24.39$24.0029.3%8.5%28.5%51.5%29.1%5.1%1.3%5.7M-29.9M-3.1M1.214.4212,09114,623366,153402,683
2010-05-11$24.19$24.0027.8%8.3%28.3%46.7%29.5%4.8%1.7%3.6M8.9M-3.0M2.494.816,73516,792373,379415,915
2010-05-12$24.60$24.0024.1%7.6%29.3%34.6%26.5%4.7%2.3%6.5M-58.1M-3.1M0.564.7614,8928,357374,051416,479
2010-05-13$24.24$24.0027.5%7.9%29.5%45.8%27.2%4.6%2.1%3.8M-826.6K-3.0M2.483.534,96412,286378,142419,956
2010-05-14$23.78$24.0029.1%8.3%29.9%51.0%30.3%5.5%1.5%1.7M54.7M-3.0M0.584.2021,04712,113378,827419,522
2010-05-17$23.74$24.0029.6%8.5%29.5%52.6%30.0%5.4%1.4%1.9M65.7M-3.0M0.624.279,2235,736384,377426,988
2010-05-18$23.43$24.0032.4%9.3%29.7%61.8%32.5%5.9%0.3%722.7K96.8M-2.9M0.564.437,5374,244383,633423,814
2010-05-19$23.19$24.0033.7%9.7%29.4%65.8%36.7%6.3%0.3%-133.4K120.8M-2.9M1.145.1717,92220,458383,547423,099
2010-05-20$22.35$24.0040.8%11.7%31.3%88.9%40.5%9.1%-2.4%-2.3M196.9M-3.0M1.455.9512,85418,677394,015439,149
2010-05-21$22.16$24.0037.1%10.6%30.6%77.0%36.9%8.4%-0.7%-4.2M226.1M-2.9M1.005.1624,93724,892393,483445,208
2010-05-24$22.28$24.0035.8%10.3%30.9%72.7%36.4%7.2%1.2%-3.3M154.9M-3.0M0.755.0824,19818,032340,558429,966
2010-05-25$22.20$24.0033.4%9.6%30.7%65.0%37.1%8.5%2.4%-3.6M166.3M-3.0M0.585.0732,78719,069356,375434,333
2010-05-26$21.91$24.0031.5%9.0%30.7%58.9%32.6%5.8%2.1%-4.8M191.3M-2.9M0.295.9836,72110,704363,746443,926
2010-05-27$22.58$24.0027.1%7.8%33.4%44.4%28.4%5.1%3.1%-2.6M103.4M-3.1M0.394.849,5513,772384,075445,241
2010-05-28$22.57$24.0027.7%7.9%33.5%46.4%28.5%4.8%3.5%-2.3M102.5M-3.1M0.285.8511,9783,300386,739446,383