ORCL Options History — June 2010

In June 2010, ORCL traded between $21.46 and $23.20. ATM implied volatility averaged 30.0%, placing in the 54.0% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded above realized volatility by 1.3% (HV 20d: 28.7%). Max pain ranged from $22.00 to $23.00. Net GEX was positive for 4 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 1.00.

Notable Days

  • 2010-06-18: Highest Volume — 73,207 contracts
  • 2010-06-25: Largest IV drop — 28.7% change
  • 2010-06-24: Highest IV Rank — 69.0%
  • 2010-06-07: Largest Expected Move — 10.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.47$21.46$23.20$22.20$21.46
Max Pain$22.23$22.00$23.00$23.00$22.00
ATM IV30.0%24.7%34.6%33.0%33.5%
Expected Move8.8%7.1%10.2%9.4%9.6%
HV 20d28.7%26.1%33.3%33.3%27.3%
HV 60d24.8%22.7%26.3%22.7%26.3%
IV Rank54.0%36.7%69.0%63.5%65.2%
IV Percentile72.8%28.6%94.8%89.3%92.5%
Term Structure-0.3%-3.4%4.2%1.9%-0.7%
VWIV31.1%25.6%37.4%32.8%30.7%
Skew 25d6.2%4.2%8.6%5.6%7.5%
Skew 10d12.8%7.7%18.0%11.5%15.8%
Call IV 25d28.6%24.2%33.2%31.3%29.3%
Put IV 25d34.9%29.0%41.8%36.8%36.8%
Bid-Ask Spread %4.772.966.154.973.34
Gamma HHI0.130.110.170.120.14
Net GEX-1.9M-5.8M1.0M-3.3M-3.3M
Net DEX89.1M-46.7M232.6M145.6M181.1M
Net VEX-2.9M-3.1M-2.8M-3.0M-3.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.000.153.080.261.26
Total Volume25,913.3648,20673,20718,13529,880
Total OI819,784.955692,275900,765841,432766,666

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-06-01$22.20$23.0033.0%9.4%33.3%63.5%32.8%5.6%1.9%-3.3M145.6M-3.0M0.264.9714,4463,689394,442446,990
2010-06-02$22.64$23.0027.5%7.9%32.3%45.6%31.9%5.5%4.2%-1.7M89.6M-3.1M0.634.885,0293,177401,255448,019
2010-06-03$22.84$23.0026.8%7.7%32.6%43.5%27.7%4.2%3.9%-1.3M64.3M-3.0M1.044.205,6735,908400,481448,445
2010-06-04$22.13$22.0032.6%10.2%31.2%62.2%35.8%8.3%-2.1%-3.6M149.5M-3.0M1.545.425,6388,695401,913452,022
2010-06-07$21.70$22.0033.3%10.2%31.1%64.7%35.1%8.6%-2.1%-5.0M206.6M-2.9M0.284.7212,0733,331403,661457,064
2010-06-08$21.76$22.0031.4%9.9%26.4%58.3%37.4%8.3%-1.7%-5.3M212.1M-2.8M2.134.0911,31124,048406,748457,344
2010-06-09$21.54$22.0031.2%9.8%26.4%57.7%35.9%8.4%-1.6%-5.8M232.6M-2.8M2.255.724,3889,869409,549463,942
2010-06-10$22.20$22.0032.3%9.3%28.3%61.3%32.6%7.1%-0.9%-2.9M145.2M-2.9M1.116.154,2674,747410,125458,527
2010-06-11$22.69$22.0029.3%8.4%29.6%51.7%30.2%5.9%0.2%-2.8M85.6M-2.9M0.495.956,5213,189411,532457,820
2010-06-14$22.69$22.0029.9%8.6%29.0%53.5%31.1%6.4%-0.4%-2.2M80.3M-2.8M0.416.0111,0074,492413,044458,614
2010-06-15$23.20$22.0028.1%8.0%30.3%47.6%27.4%6.0%0.0%-479.0K-10.5M-2.9M0.155.4822,5053,382420,515459,656
2010-06-16$23.18$22.0028.1%8.1%30.0%47.7%26.6%6.1%-0.2%-1.0M-13.1M-2.9M0.404.5714,3415,682427,859461,387
2010-06-17$23.07$22.0027.9%8.0%29.8%47.0%28.4%6.1%0.0%-3.4M-1.3M-2.8M1.005.929,0319,061435,954462,437
2010-06-18$23.20$22.0027.4%7.9%26.5%45.4%27.2%6.1%0.3%-738.9K-46.7M-2.9M3.084.7617,95155,256438,010462,755
2010-06-21$23.09$22.0028.7%8.2%26.3%49.6%28.8%5.7%-2.1%1.0M13.5M-3.0M1.085.1214,64815,869295,936396,339
2010-06-22$22.89$22.0030.8%8.8%26.6%56.3%30.8%4.9%-2.9%1.0M26.5M-3.0M0.314.5715,8644,891304,246395,309
2010-06-23$22.68$23.0031.7%9.1%26.8%59.3%33.9%4.8%-2.8%979.0K42.6M-3.1M1.083.4812,41713,393312,374396,652
2010-06-24$22.22$23.0034.6%9.9%27.4%69.0%34.5%4.7%-3.4%-179.0K84.8M-3.0M1.103.1623,98726,391318,051404,403
2010-06-25$22.66$22.0024.7%7.1%26.1%36.7%25.6%4.8%2.0%694.0K56.0M-3.1M0.385.3530,27011,394330,412420,120
2010-06-28$22.45$22.0027.8%8.0%26.4%46.9%27.1%5.1%0.7%-42.0K75.5M-3.1M0.284.2236,85910,215333,874420,510
2010-06-29$21.75$22.0030.7%8.8%28.1%56.1%33.2%7.5%0.3%-1.6M140.1M-3.1M1.722.9612,99622,313345,775424,492
2010-06-30$21.46$22.0033.5%9.6%27.3%65.2%30.7%7.5%-0.7%-3.3M181.1M-3.0M1.263.3413,24616,634335,314431,352