ORCL Options History — November 2010

In November 2010, ORCL traded between $27.05 and $29.53. ATM implied volatility averaged 26.3%, placing in the 42.8% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 7.6% (HV 20d: 18.7%). 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 6 of 21 days. Put/call ratio averaged 0.98.

Notable Days

  • 2010-11-16: Highest Volume — 44,821 contracts
  • 2010-11-11: Largest IV spike — 22.9% change
  • 2010-11-30: Highest IV Rank — 63.2%
  • 2010-11-30: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.33$27.05$29.53$29.13$27.05
Max Pain$26.38$26.00$28.00$28.00$26.00
ATM IV26.3%22.1%31.4%24.3%31.4%
Expected Move7.8%6.5%9.0%7.0%9.0%
HV 20d18.7%15.1%22.7%17.8%20.9%
HV 60d28.2%27.6%29.2%29.0%28.0%
IV Rank42.8%26.3%63.2%34.9%63.2%
IV Percentile53.3%18.3%89.3%40.1%89.3%
Term Structure-0.1%-3.2%4.2%2.9%-3.2%
VWIV27.9%22.8%32.1%24.7%32.1%
Skew 25d3.0%1.9%4.0%2.2%3.5%
Skew 10d6.8%3.7%10.4%6.1%7.0%
Call IV 25d26.5%22.4%30.9%23.9%30.9%
Put IV 25d29.5%24.3%34.5%26.1%34.5%
Bid-Ask Spread %4.903.547.564.675.26
Gamma HHI0.180.130.210.180.14
Net GEX13.5M7.9M17.2M14.7M8.6M
Net DEX-603.3M-845.3M-349.0M-758.8M-349.0M
Net VEX-3.3M-3.5M-3.0M-3.3M-3.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.980.421.840.730.42
Total Volume26,802.2387,77244,82113,28928,936
Total OI1,162,539.9521,101,4061,218,8941,138,0391,126,879

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-11-01$29.13$28.0024.3%7.0%17.8%34.9%24.7%2.2%2.9%14.7M-758.8M-3.3M0.734.677,6745,615499,632638,407
2010-11-02$29.53$28.0022.8%6.5%17.7%29.0%23.6%2.4%3.5%15.9M-845.3M-3.2M0.613.6114,3508,821500,683639,094
2010-11-03$29.20$28.0022.8%6.5%18.3%29.0%23.1%2.3%4.2%16.1M-786.7M-3.3M1.543.698,48513,066506,613642,279
2010-11-04$29.47$28.0022.9%6.6%18.4%29.5%22.8%1.9%3.9%15.9M-811.9M-3.5M0.753.9517,91913,508508,077645,515
2010-11-05$29.25$26.0022.1%7.5%18.5%26.3%26.8%2.6%-0.1%16.5M-782.7M-3.5M0.964.1910,87810,410513,464648,394
2010-11-08$29.04$26.0022.5%7.7%18.7%28.0%27.5%3.0%-0.3%17.2M-775.0M-3.2M0.784.319,7677,592515,557651,387
2010-11-09$28.74$26.0022.2%7.7%19.2%26.8%28.6%2.6%-0.3%16.3M-709.6M-3.2M1.615.3410,82117,464518,969654,339
2010-11-10$28.69$26.0022.5%7.7%17.4%27.7%27.3%2.7%-0.4%15.4M-686.7M-3.2M0.574.1318,77910,706519,828665,755
2010-11-11$28.57$26.0027.6%7.9%17.1%48.1%29.5%3.0%-0.8%15.4M-662.3M-3.3M0.985.9817,44317,080527,464665,970
2010-11-12$28.32$26.0029.1%8.3%15.7%53.8%29.3%3.0%-1.2%13.3M-579.5M-3.5M1.264.7916,95821,450528,592667,613
2010-11-15$28.40$26.0028.9%8.3%15.1%53.2%30.4%2.7%-1.3%14.4M-625.7M-3.3M1.307.568,28910,778534,838675,283
2010-11-16$27.58$26.0029.4%8.4%18.1%55.1%30.8%3.4%-1.3%7.9M-382.3M-3.5M1.116.1221,19323,628534,658676,897
2010-11-17$27.91$26.0028.8%8.3%18.0%52.7%30.9%3.6%-1.2%11.8M-499.0M-3.3M1.325.1911,73715,458538,732680,162
2010-11-18$28.31$26.0027.6%7.9%18.6%48.0%28.1%2.7%-0.6%15.0M-614.4M-3.2M0.925.3714,95113,691541,554677,037
2010-11-19$28.15$26.0026.2%7.5%18.5%42.5%28.0%3.1%0.0%13.6M-596.9M-3.2M1.113.7919,77421,974540,489674,355
2010-11-22$28.05$26.0026.6%7.6%18.5%44.0%27.0%2.4%0.1%12.8M-529.2M-3.2M0.443.5417,5137,712483,788617,618
2010-11-23$27.19$26.0028.7%8.2%21.2%52.4%28.9%3.7%-1.3%8.6M-362.9M-3.3M0.744.6816,44412,220488,543616,359
2010-11-24$27.74$26.0026.1%7.5%22.7%42.2%26.5%3.7%-0.6%12.5M-484.1M-3.1M0.834.7117,02314,163490,316622,389
2010-11-26$27.49$26.0028.8%8.3%20.8%52.9%28.3%3.7%-1.6%11.3M-435.2M-3.1M0.685.514,6313,141494,945624,581
2010-11-29$27.22$26.0030.7%8.8%20.9%60.1%31.6%4.0%-2.9%10.0M-392.2M-3.0M1.846.537,33313,472492,000624,284
2010-11-30$27.05$26.0031.4%9.0%20.9%63.2%32.1%3.5%-3.2%8.6M-349.0M-3.0M0.425.2620,4248,512494,948631,931