ORCL Options History — December 2010

In December 2010, ORCL traded between $27.65 and $31.76. ATM implied volatility averaged 28.3%, placing in the 42.4% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 5.5% (HV 20d: 22.9%). Max pain ranged from $25.00 to $26.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.78.

Notable Days

2010-12-17: Highest Volume — 169,084 contracts
2010-12-15: Largest IV drop — 48.2% change
2010-12-13: Highest IV Rank — 100.0%
2010-12-02: Largest Expected Move — 8.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$30.36	$27.65	$31.76	$27.65	$31.30
Max Pain	$25.14	$25.00	$26.00	$26.00	$25.00
ATM IV	28.3%	19.0%	53.8%	30.6%	20.7%
Expected Move	6.9%	5.4%	8.8%	8.8%	5.9%
HV 20d	22.9%	18.9%	25.6%	22.0%	18.9%
HV 60d	22.5%	19.7%	26.5%	26.0%	20.3%
IV Rank	42.4%	9.3%	100.0%	59.8%	13.6%
IV Percentile	54.4%	6.3%	100.0%	84.1%	15.9%
Term Structure	0.7%	-4.4%	2.7%	-3.8%	2.7%
VWIV	24.8%	20.0%	31.3%	31.2%	21.2%
Skew 25d	2.5%	1.6%	3.9%	3.9%	2.0%
Skew 10d	5.4%	3.4%	9.5%	9.5%	4.7%
Call IV 25d	23.6%	18.7%	30.3%	30.1%	19.8%
Put IV 25d	26.0%	20.6%	34.0%	34.0%	21.8%
Bid-Ask Spread %	4.81	2.65	7.21	7.21	3.80
Gamma HHI	0.26	0.17	0.32	0.17	0.24
Net GEX	22.1M	12.3M	25.8M	12.3M	22.4M
Net DEX	-959.7M	-1.38B	-476.0M	-476.0M	-988.9M
Net VEX	-2.9M	-3.2M	-2.5M	-3.1M	-3.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.78	0.21	1.87	0.21	1.07
Total Volume	51,714.818	11,716	169,084	47,131	15,106
Total OI	1,159,167.273	1,038,140	1,295,560	1,138,852	1,137,031

Daily Data (22 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
2010-12-01	$27.65	$26.00	30.6%	8.8%	22.0%	59.8%	31.2%	3.9%	-3.8%	12.3M	-476.0M	-3.1M	0.21	7.21	38,870	8,261	503,561	635,291
2010-12-02	$28.10	$26.00	30.8%	8.8%	22.8%	60.5%	31.2%	3.5%	-4.4%	17.6M	-594.1M	-3.1M	0.71	4.89	21,681	15,301	527,366	635,837
2010-12-03	$28.81	$26.00	30.1%	8.6%	24.4%	57.9%	31.3%	3.0%	-4.3%	20.8M	-746.3M	-3.1M	0.48	5.19	32,205	15,621	536,583	644,877
2010-12-06	$28.73	$25.00	33.3%	7.5%	24.3%	70.5%	26.6%	3.4%	1.4%	21.1M	-745.5M	-3.0M	1.07	5.87	14,351	15,426	537,930	644,741
2010-12-07	$29.05	$25.00	33.3%	7.5%	24.6%	70.6%	26.3%	3.2%	1.5%	23.4M	-820.6M	-2.9M	0.60	6.14	21,413	12,823	540,906	642,660
2010-12-08	$29.23	$25.00	33.7%	7.3%	24.3%	72.3%	25.3%	3.0%	1.6%	24.6M	-868.5M	-2.9M	0.28	5.19	18,672	5,320	545,903	646,660
2010-12-09	$29.26	$25.00	33.7%	7.3%	24.3%	72.2%	25.9%	3.2%	1.4%	25.7M	-875.1M	-2.8M	0.80	5.84	11,489	9,150	547,996	646,057
2010-12-10	$29.95	$25.00	35.8%	7.3%	25.5%	80.5%	26.3%	2.5%	1.0%	25.1M	-1.00B	-2.9M	0.69	5.65	30,227	20,955	545,193	646,897
2010-12-13	$30.41	$25.00	50.4%	7.8%	25.5%	100.0%	27.6%	2.2%	-0.0%	24.0M	-1.11B	-2.7M	0.32	6.56	89,440	28,797	550,008	651,229
2010-12-14	$30.51	$25.00	53.8%	7.5%	25.5%	100.0%	27.6%	2.4%	-0.4%	25.8M	-1.13B	-2.7M	0.65	5.08	52,808	34,243	566,033	663,070
2010-12-15	$30.49	$25.00	27.9%	8.0%	22.4%	32.4%	27.9%	2.6%	-0.9%	24.5M	-1.11B	-2.8M	0.39	5.17	43,933	17,015	571,646	677,270
2010-12-16	$30.27	$25.00	28.7%	8.2%	22.7%	34.5%	29.1%	2.5%	-1.5%	25.2M	-1.07B	-2.8M	0.75	7.20	85,837	64,060	585,501	679,648
2010-12-17	$31.46	$25.00	21.8%	6.3%	25.6%	16.7%	22.3%	1.9%	2.7%	19.4M	-1.38B	-2.5M	0.36	3.76	124,490	44,594	596,614	698,946
2010-12-20	$31.68	$25.00	20.7%	5.9%	25.3%	13.7%	21.6%	1.8%	1.9%	18.8M	-993.6M	-2.7M	0.36	3.84	35,947	13,001	464,115	574,025
2010-12-21	$31.76	$25.00	19.9%	5.7%	25.1%	11.6%	21.0%	1.6%	1.9%	19.3M	-1.02B	-2.8M	0.37	3.96	32,763	12,146	477,207	578,882
2010-12-22	$31.66	$25.00	19.0%	5.4%	21.2%	9.3%	20.2%	1.8%	2.0%	21.5M	-1.03B	-2.9M	0.51	2.89	20,191	10,395	493,287	584,258
2010-12-23	$31.54	$25.00	19.1%	5.5%	21.0%	9.4%	20.6%	2.3%	2.2%	23.2M	-1.03B	-3.0M	1.13	3.32	13,696	15,485	506,319	586,030
2010-12-27	$31.66	$25.00	19.9%	5.7%	20.3%	11.7%	20.9%	2.2%	1.9%	22.4M	-1.04B	-3.0M	1.64	3.92	7,488	12,249	504,837	588,780
2010-12-28	$31.57	$25.00	19.7%	5.6%	19.6%	11.1%	20.4%	1.9%	2.3%	23.0M	-1.05B	-2.9M	1.05	4.27	14,790	15,507	505,195	594,046
2010-12-29	$31.50	$25.00	19.9%	5.7%	19.3%	11.7%	20.0%	1.6%	2.7%	22.5M	-1.03B	-3.1M	1.77	2.65	4,235	7,481	513,736	603,947
2010-12-30	$31.29	$25.00	20.7%	5.9%	19.2%	13.7%	21.3%	2.0%	2.4%	23.0M	-997.8M	-3.1M	1.87	3.34	10,552	19,712	514,218	607,344
2010-12-31	$31.30	$25.00	20.7%	5.9%	18.9%	13.6%	21.2%	2.0%	2.7%	22.4M	-988.9M	-3.2M	1.07	3.80	7,299	7,807	516,824	620,207