ORCL Options History — September 2010

In September 2010, ORCL traded between $22.48 and $27.49. ATM implied volatility averaged 26.8%, placing in the 43.2% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded below realized volatility by 7.6% (HV 20d: 34.5%). Max pain ranged from $22.00 to $26.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.86.

Notable Days

  • 2010-09-17: Highest Volume — 283,694 contracts
  • 2010-09-07: Largest IV spike — 23.3% change
  • 2010-09-07: Highest IV Rank — 61.8%
  • 2010-09-02: Largest Expected Move — 8.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.65$22.48$27.49$22.62$26.85
Max Pain$24.43$22.00$26.00$23.00$26.00
ATM IV26.8%22.6%33.2%27.5%22.6%
Expected Move7.6%6.5%8.7%7.9%6.5%
HV 20d34.5%23.6%42.0%23.7%38.6%
HV 60d28.7%24.7%31.8%25.2%30.0%
IV Rank43.2%28.4%61.8%41.8%28.4%
IV Percentile52.9%21.8%92.9%57.1%21.8%
Term Structure0.7%-1.6%2.9%0.0%2.9%
VWIV26.6%22.8%29.4%29.4%22.8%
Skew 25d3.8%1.0%6.3%6.3%1.0%
Skew 10d8.6%3.7%13.4%11.4%3.7%
Call IV 25d25.1%23.3%27.6%26.1%23.4%
Put IV 25d29.0%24.4%32.9%32.4%24.4%
Bid-Ask Spread %4.082.786.113.575.40
Gamma HHI0.150.120.190.140.12
Net GEX9.0M-3.2M14.0M-1.7M11.0M
Net DEX-348.1M-854.5M124.2M95.2M-440.5M
Net VEX-3.4M-4.0M-3.0M-3.2M-4.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.860.291.501.291.22
Total Volume64,168.0485,741283,69427,38729,548
Total OI993,324.571905,5371,107,136905,5371,090,218

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-09-01$22.62$23.0027.5%7.9%23.7%41.8%29.4%6.3%0.0%-1.7M95.2M-3.2M1.293.5711,95415,433391,926513,611
2010-09-02$22.48$23.0030.3%8.7%23.6%51.7%28.9%5.6%-0.7%-3.2M124.2M-3.1M0.413.044,0821,659395,906517,294
2010-09-03$22.92$22.0027.0%7.7%24.9%40.0%27.6%6.1%0.6%-1.1M60.4M-3.1M0.775.9519,25914,778396,406514,666
2010-09-07$24.27$22.0033.2%8.2%32.8%61.8%28.1%5.0%-0.6%6.2M-180.7M-3.2M0.643.9958,47737,213403,446512,092
2010-09-08$24.14$23.0033.1%8.2%32.9%61.6%27.9%5.4%-0.1%5.9M-159.0M-3.2M1.044.4919,27020,120424,530526,655
2010-09-09$24.33$23.0028.1%8.1%31.5%48.8%26.6%5.5%-0.0%7.1M-196.3M-3.2M0.493.4813,4416,553433,601535,170
2010-09-10$25.05$23.0026.9%7.7%30.5%45.1%27.0%5.0%0.2%10.1M-337.2M-3.2M0.744.1831,01123,023440,226538,122
2010-09-13$25.11$23.0027.4%7.9%29.9%47.1%27.3%5.2%-0.3%12.9M-360.8M-3.1M0.713.7329,47220,856452,241535,360
2010-09-14$25.38$24.0028.1%8.0%30.0%49.9%27.6%4.8%-0.6%13.2M-399.0M-3.1M0.584.6742,00524,416455,802541,872
2010-09-15$25.74$24.0027.8%8.0%29.9%48.8%29.1%4.6%-0.7%14.0M-468.2M-3.2M0.913.6853,82249,008469,821548,907
2010-09-16$25.36$25.0030.0%8.6%30.8%57.5%29.3%4.8%-1.6%11.6M-396.1M-3.2M0.954.8187,20083,191479,712572,976
2010-09-17$27.48$25.0026.0%7.4%40.6%41.5%26.2%2.4%1.7%12.8M-854.5M-3.0M0.563.73182,368101,326502,757604,379
2010-09-20$27.49$25.0025.5%7.3%40.6%39.8%25.8%2.6%0.4%11.7M-539.5M-3.4M0.646.1151,04032,828416,351520,568
2010-09-21$26.82$26.0024.4%7.0%42.0%35.5%24.9%2.7%1.3%11.5M-444.6M-3.6M1.232.7824,59430,279439,593536,562
2010-09-22$27.20$26.0024.9%7.1%40.8%37.5%25.9%2.6%1.7%11.8M-496.9M-3.7M1.504.1614,57321,927446,256546,727
2010-09-23$27.12$26.0025.4%7.3%40.9%39.3%26.0%2.6%1.6%11.3M-477.2M-3.8M1.003.4112,32912,283449,083556,531
2010-09-24$26.96$26.0023.9%6.8%40.8%33.3%24.6%2.1%2.0%11.6M-455.8M-3.7M1.503.6427,23340,887452,678560,023
2010-09-27$26.95$26.0024.6%7.0%40.9%36.0%26.1%2.8%1.7%10.1M-435.5M-3.8M0.873.075,8285,047462,507578,371
2010-09-28$27.19$26.0023.2%6.7%39.3%30.7%23.9%1.9%2.7%11.0M-471.0M-3.8M0.814.8216,53613,372462,456580,518
2010-09-29$27.17$26.0023.5%6.7%38.9%31.8%23.8%1.9%2.5%10.9M-477.2M-3.7M0.292.9145,89813,390468,215585,681
2010-09-30$26.85$26.0022.6%6.5%38.6%28.4%22.8%1.0%2.9%11.0M-440.5M-4.0M1.225.4013,32316,225498,239591,979