ORCL Options History — July 2010

In July 2010, ORCL traded between $21.55 and $24.64. ATM implied volatility averaged 24.2%, placing in the 32.4% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded below realized volatility by 1.9% (HV 20d: 26.0%). Max pain ranged from $22.00 to $24.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.78.

Notable Days

  • 2010-07-29: Highest Volume — 51,781 contracts
  • 2010-07-12: Largest IV spike — 15.8% change
  • 2010-07-01: Highest IV Rank — 54.2%
  • 2010-07-01: Largest Expected Move — 8.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.53$21.55$24.64$21.55$23.64
Max Pain$22.71$22.00$24.00$22.00$24.00
ATM IV24.2%20.4%30.1%30.1%22.6%
Expected Move7.1%5.9%8.6%8.6%6.5%
HV 20d26.0%23.6%28.7%27.1%25.1%
HV 60d28.3%26.3%29.4%26.3%28.7%
IV Rank32.4%17.3%54.2%54.2%24.9%
IV Percentile29.5%9.9%78.6%78.6%18.7%
Term Structure2.9%0.7%5.2%0.7%4.1%
VWIV25.5%21.1%33.3%33.3%24.8%
Skew 25d5.7%4.5%10.7%6.6%5.7%
Skew 10d12.5%9.3%24.7%13.9%12.8%
Call IV 25d23.2%19.8%29.2%29.2%21.9%
Put IV 25d28.9%24.7%35.8%35.8%27.6%
Bid-Ask Spread %4.252.5314.882.973.24
Gamma HHI0.150.120.210.130.14
Net GEX4.8M-3.1M10.1M-3.1M2.1M
Net DEX-67.7M-213.7M169.1M169.1M-35.8M
Net VEX-3.2M-3.3M-3.1M-3.1M-3.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.780.133.571.541.03
Total Volume24,655.3817,70551,78129,35729,083
Total OI802,156.619756,674841,368781,773841,368

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-07-01$21.55$22.0030.1%8.6%27.1%54.2%33.3%6.6%0.7%-3.1M169.1M-3.1M1.542.9711,54717,810343,050438,723
2010-07-02$21.83$22.0028.0%8.0%25.4%47.5%30.4%5.8%2.0%-2.9M139.9M-3.1M0.556.069,8165,421343,081442,522
2010-07-06$22.32$22.0028.5%8.6%25.6%49.0%28.8%6.3%1.5%-1.3M80.7M-3.1M0.814.8019,10115,424346,736443,861
2010-07-07$23.09$22.0024.9%7.7%28.1%37.3%27.7%6.0%2.2%3.6M-28.1M-3.2M0.744.2317,18612,750352,637445,168
2010-07-08$23.22$22.0023.4%7.7%27.7%32.6%25.6%5.5%2.2%4.4M-40.0M-3.2M0.413.3820,3008,343355,382449,672
2010-07-09$23.37$22.0021.7%7.5%25.9%26.8%25.5%5.5%2.6%5.9M-64.0M-3.3M0.133.4425,5723,245365,731455,795
2010-07-12$23.38$22.0025.1%7.6%24.9%38.0%26.4%5.6%2.6%7.0M-58.1M-3.2M0.564.1522,06612,309359,359454,898
2010-07-13$23.71$23.0023.9%7.1%25.3%34.2%25.8%5.2%2.8%8.4M-103.5M-3.2M0.364.6915,0095,408357,939458,457
2010-07-14$23.94$23.0022.4%7.2%24.3%29.3%25.3%5.6%2.6%9.4M-137.2M-3.2M0.313.5220,0596,190359,694459,141
2010-07-15$23.83$23.0024.8%7.1%24.4%37.0%26.1%5.4%2.5%10.1M-117.8M-3.2M0.623.569,4885,906363,516460,851
2010-07-16$23.27$23.0027.1%7.8%25.9%40.5%26.8%5.2%2.7%4.1M-45.4M-3.2M0.702.9011,3007,916365,085462,653
2010-07-19$23.59$23.0023.1%6.6%26.3%26.4%25.4%5.9%3.2%3.1M-56.2M-3.1M0.613.3616,85710,215330,294426,380
2010-07-20$23.92$23.0022.5%6.4%26.6%24.4%22.7%5.3%2.9%4.6M-104.4M-3.2M0.363.8411,9664,304338,289431,418
2010-07-21$23.56$23.0023.8%6.8%27.0%29.1%23.3%5.4%3.1%3.4M-52.7M-3.2M0.594.4819,91011,835340,584432,800
2010-07-22$24.31$23.0023.2%6.7%28.7%27.0%22.1%4.6%2.9%6.0M-154.3M-3.2M0.422.9116,0736,815344,579439,637
2010-07-23$24.50$23.0022.6%6.5%27.3%25.0%21.6%4.7%3.5%6.9M-176.5M-3.2M0.493.1911,0615,373351,745442,832
2010-07-26$24.64$23.0020.7%5.9%26.7%18.2%21.1%4.9%3.8%8.4M-213.7M-3.1M0.533.2712,3836,597357,200443,298
2010-07-27$24.57$23.0020.4%5.9%26.4%17.3%22.1%4.9%4.0%8.7M-195.7M-3.2M0.873.857,2996,340364,075446,821
2010-07-28$24.28$23.0022.5%6.5%23.6%24.7%22.8%4.5%3.8%8.0M-165.6M-3.1M1.172.533,5544,151362,896450,518
2010-07-29$23.70$23.0025.9%7.4%25.0%36.4%28.2%10.7%5.2%5.0M-61.6M-3.2M3.5714.8811,32740,454365,089451,515
2010-07-30$23.64$24.0022.6%6.5%25.1%24.9%24.8%5.7%4.1%2.1M-35.8M-3.2M1.033.2414,32614,757365,356476,012