ORCL Options History — October 2010

In October 2010, ORCL traded between $26.90 and $29.38. ATM implied volatility averaged 22.2%, placing in the 26.6% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded below realized volatility by 3.8% (HV 20d: 26.0%). Max pain ranged from $26.00 to $28.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.93.

Notable Days

2010-10-01: Highest Volume — 107,707 contracts
2010-10-14: Largest IV spike — 22.9% change
2010-10-14: Highest IV Rank — 35.3%
2010-10-04: Largest Expected Move — 7.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$28.38	$26.90	$29.38	$27.23	$29.38
Max Pain	$27.33	$26.00	$28.00	$26.00	$28.00
ATM IV	22.2%	18.2%	24.4%	22.2%	24.0%
Expected Move	6.7%	6.3%	7.4%	6.4%	6.9%
HV 20d	26.0%	16.8%	38.8%	38.2%	18.2%
HV 60d	29.6%	28.7%	30.3%	30.1%	28.9%
IV Rank	26.6%	11.0%	35.3%	26.5%	33.6%
IV Percentile	21.9%	2.8%	37.7%	16.3%	36.5%
Term Structure	3.2%	2.7%	3.9%	3.9%	2.9%
VWIV	24.3%	22.6%	26.3%	26.3%	24.3%
Skew 25d	2.5%	1.6%	3.8%	1.6%	2.0%
Skew 10d	5.3%	2.9%	8.0%	2.9%	4.7%
Call IV 25d	22.9%	21.7%	24.7%	22.1%	23.2%
Put IV 25d	25.4%	23.4%	28.2%	23.7%	25.2%
Bid-Ask Spread %	4.46	3.02	7.31	4.74	4.39
Gamma HHI	0.17	0.12	0.23	0.13	0.19
Net GEX	14.8M	10.4M	22.8M	11.9M	15.1M
Net DEX	-666.0M	-831.2M	-400.8M	-511.9M	-811.5M
Net VEX	-3.7M	-4.0M	-3.4M	-4.0M	-3.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.93	0.17	1.46	0.17	0.73
Total Volume	34,104.143	5,946	107,707	107,707	15,931
Total OI	1,122,596.333	1,063,619	1,197,169	1,108,091	1,135,762

Daily Data (21 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2010-10-01	$27.23	$26.00	22.2%	6.4%	38.2%	26.5%	26.3%	1.6%	3.9%	11.9M	-511.9M	-4.0M	0.17	4.74	92,139	15,568	505,682	602,409
2010-10-04	$26.90	$27.00	23.0%	7.4%	38.8%	29.7%	26.1%	3.5%	3.2%	10.4M	-400.8M	-4.0M	0.81	5.65	13,167	10,720	496,707	608,976
2010-10-05	$27.30	$27.00	22.3%	7.3%	34.3%	27.0%	26.1%	3.8%	3.2%	12.4M	-483.6M	-4.0M	1.14	4.39	12,897	14,718	495,569	612,894
2010-10-06	$27.58	$27.00	21.4%	7.0%	34.1%	23.3%	25.7%	3.2%	3.3%	12.6M	-534.3M	-3.9M	0.82	4.06	16,591	13,600	495,082	616,889
2010-10-07	$27.69	$27.00	20.4%	6.9%	34.1%	19.7%	24.9%	3.3%	3.3%	14.5M	-563.3M	-3.9M	1.23	3.65	10,625	13,075	501,531	619,790
2010-10-08	$28.00	$27.00	18.2%	6.7%	33.1%	11.0%	24.7%	2.9%	3.3%	16.7M	-642.6M	-3.8M	1.33	4.24	24,339	32,408	502,827	621,553
2010-10-11	$27.85	$27.00	20.5%	6.9%	33.3%	19.8%	24.1%	2.9%	3.3%	16.0M	-636.8M	-3.7M	0.80	3.92	14,693	11,698	511,506	637,966
2010-10-12	$27.95	$27.00	19.4%	6.7%	33.2%	15.4%	23.9%	2.5%	3.7%	17.3M	-645.2M	-3.8M	1.32	3.76	15,289	20,256	521,272	642,485
2010-10-13	$28.60	$27.00	19.8%	6.6%	33.7%	17.3%	23.7%	2.3%	2.7%	20.4M	-821.1M	-3.5M	1.46	4.63	24,994	36,588	520,476	643,555
2010-10-14	$28.33	$27.00	24.4%	7.0%	33.3%	35.3%	24.2%	2.7%	2.8%	16.2M	-702.8M	-3.9M	1.10	4.97	18,231	20,063	520,343	661,142
2010-10-15	$28.90	$27.00	23.0%	6.6%	19.3%	30.0%	23.7%	2.6%	2.8%	22.8M	-831.2M	-3.7M	0.78	7.31	18,325	14,310	525,855	671,314
2010-10-18	$29.23	$27.00	23.0%	6.6%	19.5%	30.0%	23.2%	2.4%	2.9%	13.3M	-752.9M	-3.6M	0.91	4.45	18,183	16,477	466,371	597,248
2010-10-19	$29.13	$27.00	23.6%	6.8%	16.8%	32.2%	23.9%	1.9%	3.0%	13.3M	-733.1M	-3.7M	1.05	3.83	24,672	25,896	473,083	601,064
2010-10-20	$28.64	$28.00	22.5%	6.5%	17.9%	28.0%	23.2%	2.1%	3.4%	13.8M	-673.5M	-3.6M	0.93	3.88	16,364	15,180	481,248	612,133
2010-10-21	$28.82	$28.00	22.8%	6.5%	17.9%	29.1%	23.4%	2.1%	3.1%	12.3M	-670.6M	-3.8M	1.33	4.29	6,237	8,301	480,747	617,726
2010-10-22	$28.99	$28.00	22.1%	6.3%	17.6%	26.2%	22.6%	1.7%	3.6%	13.8M	-712.1M	-3.7M	0.55	4.48	3,844	2,102	484,689	619,004
2010-10-25	$28.84	$28.00	22.9%	6.6%	17.8%	29.6%	23.6%	2.2%	3.1%	13.4M	-685.9M	-3.6M	0.28	4.75	11,621	3,307	485,529	619,729
2010-10-26	$28.63	$28.00	22.6%	6.5%	18.0%	28.2%	23.2%	2.1%	3.3%	14.7M	-674.1M	-3.5M	0.76	3.02	9,194	7,001	490,957	620,851
2010-10-27	$28.70	$28.00	23.5%	6.7%	18.0%	31.8%	24.2%	2.5%	3.0%	14.3M	-682.5M	-3.4M	0.78	3.59	21,809	16,961	493,561	623,979
2010-10-28	$29.36	$28.00	24.1%	6.9%	18.5%	34.1%	24.5%	2.2%	3.0%	15.7M	-815.2M	-3.4M	1.22	5.73	12,957	15,856	502,533	632,486
2010-10-29	$29.38	$28.00	24.0%	6.9%	18.2%	33.6%	24.3%	2.0%	2.9%	15.1M	-811.5M	-3.4M	0.73	4.39	9,207	6,724	499,059	636,703