ORCL Options History — January 2011

In January 2011, ORCL traded between $30.95 and $32.92. ATM implied volatility averaged 20.0%, placing in the 12.0% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 5.1% (HV 20d: 14.9%). Max pain ranged from $25.00 to $31.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.76.

Notable Days

  • 2011-01-13: Highest Volume — 642,846 contracts
  • 2011-01-13: Largest IV spike — 33.5% change
  • 2011-01-13: Highest IV Rank — 18.9%
  • 2011-01-10: Largest Expected Move — 6.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.70$30.95$32.92$31.62$32.03
Max Pain$29.80$25.00$31.00$25.00$31.00
ATM IV20.0%17.0%22.7%19.5%21.4%
Expected Move6.0%5.5%6.6%5.6%6.1%
HV 20d14.9%9.0%18.8%17.5%16.4%
HV 60d19.7%19.1%20.6%20.4%19.8%
IV Rank12.0%4.0%18.9%10.7%15.6%
IV Percentile15.1%0.4%33.7%9.9%25.0%
Term Structure1.7%0.6%2.9%2.4%1.6%
VWIV21.6%20.3%22.9%20.5%21.9%
Skew 25d3.0%1.4%4.1%1.5%4.1%
Skew 10d6.9%2.8%9.4%2.8%9.4%
Call IV 25d20.0%18.7%21.7%19.5%20.3%
Put IV 25d23.0%20.3%25.3%21.0%24.4%
Bid-Ask Spread %4.012.965.474.014.33
Gamma HHI0.220.160.290.230.18
Net GEX21.2M13.4M27.5M22.1M13.4M
Net DEX-746.9M-1.07B-428.7M-1.07B-428.7M
Net VEX-3.1M-3.3M-3.0M-3.1M-3.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.760.021.490.580.81
Total Volume60,336.3515,992642,84625,08317,052
Total OI977,539.35544,2841,220,9861,139,010591,121

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-01-03$31.62$25.0019.5%5.6%17.5%10.7%20.5%1.5%2.4%22.1M-1.07B-3.1M0.584.0115,8499,234517,122621,888
2011-01-04$31.48$25.0020.0%5.7%17.6%11.9%20.9%2.0%2.6%23.1M-1.01B-3.2M1.183.279,46611,152520,576626,366
2011-01-05$31.04$25.0019.1%5.5%18.6%9.4%20.8%1.4%2.6%24.3M-938.5M-3.2M0.593.8421,82512,946522,090631,245
2011-01-06$31.17$25.0019.5%5.6%18.6%10.5%20.3%1.7%2.9%23.7M-958.7M-3.2M1.153.3718,34921,022524,711638,118
2011-01-07$31.03$31.0018.9%6.4%18.8%9.0%22.6%3.8%1.5%22.8M-915.8M-3.3M0.914.9716,92715,442526,822652,874
2011-01-10$31.04$31.0019.7%6.6%17.2%11.1%22.9%3.7%1.5%24.2M-935.9M-3.2M0.815.4714,96712,098539,595660,022
2011-01-11$30.99$31.0018.0%6.4%16.5%6.6%22.6%3.7%1.4%24.6M-925.8M-3.3M0.904.2711,42510,275543,686668,750
2011-01-12$30.95$31.0017.0%6.2%16.5%4.0%22.3%3.6%1.4%24.5M-904.2M-3.2M0.715.1914,23610,091544,159672,547
2011-01-13$31.18$31.0022.7%6.5%16.6%18.9%22.8%3.8%1.0%23.4M-952.0M-3.2M0.024.57630,91311,933543,926677,060
2011-01-14$31.25$31.0021.6%6.2%16.3%15.9%21.8%3.2%1.2%26.7M-557.6M-3.2M0.744.3811,4178,474414,900681,580
2011-01-18$31.53$31.0021.1%6.1%9.3%14.8%22.4%3.0%0.6%26.6M-640.3M-3.0M0.293.4517,4195,016416,751683,227
2011-01-19$31.60$31.0020.5%5.9%9.0%13.2%21.2%3.2%1.3%26.8M-662.0M-3.0M0.863.6713,47911,647418,571683,508
2011-01-20$32.31$31.0021.1%6.0%12.0%14.7%22.2%3.1%1.5%27.5M-789.7M-3.0M0.563.7434,87619,600419,895690,047
2011-01-21$32.51$31.0020.2%5.8%12.0%12.3%21.5%2.7%1.8%17.7M-796.4M-3.1M0.323.1249,44815,841412,890696,010
2011-01-24$32.40$31.0020.3%5.8%12.0%12.6%20.6%3.4%1.7%14.3M-485.7M-3.0M0.583.3917,28310,062308,395235,889
2011-01-25$32.29$31.0020.2%5.8%12.1%12.5%21.2%2.9%2.1%14.8M-478.2M-3.1M0.954.328,2217,771314,565241,515
2011-01-26$32.56$31.0019.3%5.5%12.3%10.1%20.3%2.9%2.0%14.5M-503.7M-3.1M1.122.9611,21312,520314,350245,408
2011-01-27$32.92$31.0019.2%5.5%12.6%9.8%20.9%2.7%2.0%14.1M-550.4M-3.1M0.684.0312,6098,585318,143253,740
2011-01-28$32.00$31.0021.7%6.2%16.4%16.3%21.9%3.6%1.8%14.1M-433.6M-3.2M1.493.8018,47527,569322,013256,712
2011-01-31$32.03$31.0021.4%6.1%16.4%15.6%21.9%4.1%1.6%13.4M-428.7M-3.1M0.814.339,4217,631325,565265,556