ORCL Options History — August 2010

In August 2010, ORCL traded between $21.84 and $24.49. ATM implied volatility averaged 27.4%, placing in the 41.6% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 4.0% (HV 20d: 23.4%). Max pain ranged from $23.00 to $24.00. Net GEX was positive for 8 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 1.01.

Notable Days

  • 2010-08-25: Highest Volume — 36,819 contracts
  • 2010-08-12: Largest IV spike — 24.1% change
  • 2010-08-24: Highest IV Rank — 58.5%
  • 2010-08-24: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.21$21.84$24.49$24.29$21.84
Max Pain$23.73$23.00$24.00$24.00$23.00
ATM IV27.4%21.4%32.3%22.1%31.1%
Expected Move8.1%6.1%9.3%6.3%8.9%
HV 20d23.4%19.6%27.1%26.2%19.6%
HV 60d25.9%24.2%27.9%27.9%24.2%
IV Rank41.6%20.7%58.5%23.3%54.5%
IV Percentile57.4%12.7%89.7%14.7%83.7%
Term Structure0.6%-1.3%4.7%3.7%-0.7%
VWIV28.5%20.5%32.7%22.2%32.3%
Skew 25d6.6%3.9%8.0%4.8%7.1%
Skew 10d13.4%9.0%15.8%10.9%14.1%
Call IV 25d25.8%19.0%29.3%19.9%29.3%
Put IV 25d32.4%22.9%36.4%24.7%36.4%
Bid-Ask Spread %3.912.915.453.913.82
Gamma HHI0.150.110.190.180.16
Net GEX542.7K-5.1M8.6M6.9M-5.1M
Net DEX25.2M-186.1M202.3M-154.7M202.3M
Net VEX-3.2M-3.3M-3.0M-3.1M-3.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.010.305.160.521.47
Total Volume21,0408,88736,81922,61336,742
Total OI892,109.227848,992961,308848,992896,770

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-08-02$24.29$24.0022.1%6.3%26.2%23.3%22.2%4.8%3.7%6.9M-154.7M-3.1M0.523.9114,8487,765370,741478,251
2010-08-03$24.21$24.0021.4%6.1%25.6%20.8%21.9%4.8%3.7%6.9M-132.3M-3.2M0.413.546,3162,571375,874475,983
2010-08-04$24.49$24.0021.4%6.1%23.3%20.7%20.5%3.9%4.0%8.6M-186.1M-3.1M0.633.178,3405,249376,597476,459
2010-08-05$24.29$24.0022.6%6.5%23.6%24.8%23.1%5.4%4.7%7.4M-151.3M-3.2M5.163.584,51723,319379,252478,192
2010-08-06$24.38$24.0021.6%7.8%23.5%21.3%26.9%6.4%0.2%7.7M-157.3M-3.2M0.804.047,4145,927380,293491,188
2010-08-09$24.26$24.0022.9%8.0%23.6%25.9%29.3%6.6%-0.2%6.9M-133.7M-3.2M0.584.216,0193,519382,020494,404
2010-08-10$24.29$24.0022.4%7.8%23.2%24.0%25.0%6.7%0.6%7.5M-140.2M-3.1M0.903.7517,15915,385383,996495,440
2010-08-11$23.66$24.0024.9%8.3%24.9%32.9%31.1%7.4%0.1%3.4M-32.0M-3.2M1.593.007,30711,623393,618504,336
2010-08-12$22.94$24.0030.9%8.9%27.1%53.8%31.4%7.9%-0.9%-2.2M94.3M-3.2M0.693.5715,16410,438396,135511,387
2010-08-13$22.66$24.0030.5%8.7%26.2%52.3%32.7%7.4%-0.3%-3.9M136.1M-3.1M0.733.1618,94713,790397,697512,457
2010-08-16$22.72$24.0030.3%8.7%25.6%51.5%30.8%8.0%-0.2%-4.1M125.9M-3.2M1.073.9117,26118,461407,068519,551
2010-08-17$23.05$24.0029.6%8.5%25.7%49.1%29.9%7.1%0.2%-2.0M70.9M-3.3M1.104.3313,74315,178418,345529,562
2010-08-18$23.09$24.0028.9%8.3%25.2%46.7%29.8%6.7%0.6%-2.3M61.6M-3.3M0.963.334,9284,734420,578534,633
2010-08-19$23.00$24.0029.7%8.5%22.1%49.4%30.3%6.9%0.2%-4.0M81.6M-3.3M0.842.917,4056,222421,838535,631
2010-08-20$23.02$24.0029.0%8.3%21.8%47.0%29.1%7.1%0.9%-1.4M74.2M-3.3M0.904.409,0368,136423,751537,557
2010-08-23$22.84$24.0028.9%8.3%21.6%46.7%28.7%6.1%-0.1%-1.7M77.4M-3.2M0.554.599,8515,369363,242487,418
2010-08-24$22.41$23.0032.3%9.3%22.3%58.5%30.0%7.7%-1.3%-3.0M131.9M-3.2M0.394.1415,5876,006366,982490,943
2010-08-25$22.42$23.0031.6%9.1%22.2%56.1%30.5%7.2%-0.7%-2.7M125.9M-3.2M1.043.8418,06818,751373,699493,617
2010-08-26$22.25$23.0031.9%9.1%20.9%57.2%30.8%6.9%-1.0%-3.5M153.1M-3.2M0.515.458,1324,174376,395505,471
2010-08-27$22.51$23.0027.5%7.9%21.6%41.8%30.3%6.3%1.1%-3.0M121.2M-3.2M1.094.756,2496,837377,414504,594
2010-08-30$22.02$23.0031.7%9.1%19.6%56.5%31.0%6.7%-0.6%-4.6M185.3M-3.0M0.304.7012,5933,800380,074506,950
2010-08-31$21.84$23.0031.1%8.9%19.6%54.5%32.3%7.1%-0.7%-5.1M202.3M-3.0M1.473.8214,87921,863388,323508,447