ORCL Options History — February 2011

In February 2011, ORCL traded between $32.18 and $33.68. ATM implied volatility averaged 22.4%, placing in the 18.1% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 0.3% (HV 20d: 22.1%). Max pain ranged from $29.00 to $31.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 0.76.

Notable Days

2011-02-01: Highest Volume — 53,417 contracts
2011-02-22: Largest IV spike — 20.4% change
2011-02-24: Highest IV Rank — 30.9%
2011-02-24: Largest Expected Move — 7.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$32.96	$32.18	$33.68	$33.24	$32.90
Max Pain	$30.05	$29.00	$31.00	$31.00	$30.00
ATM IV	22.4%	19.4%	27.3%	21.6%	24.7%
Expected Move	6.6%	5.8%	7.8%	6.2%	7.1%
HV 20d	22.1%	19.8%	26.4%	20.6%	24.2%
HV 60d	20.5%	19.1%	21.0%	21.0%	20.2%
IV Rank	18.1%	10.4%	30.9%	15.9%	24.1%
IV Percentile	34.2%	11.5%	63.5%	27.0%	53.6%
Term Structure	2.2%	1.2%	3.4%	1.2%	3.3%
VWIV	23.6%	21.0%	27.7%	22.1%	25.3%
Skew 25d	4.2%	2.8%	5.3%	2.8%	5.3%
Skew 10d	9.1%	6.2%	13.4%	6.2%	11.2%
Call IV 25d	21.6%	19.7%	25.3%	20.6%	23.1%
Put IV 25d	25.8%	23.1%	30.2%	23.4%	28.4%
Bid-Ask Spread %	5.26	3.99	6.48	5.28	5.48
Gamma HHI	0.18	0.16	0.25	0.16	0.16
Net GEX	14.4M	10.9M	18.8M	13.8M	13.9M
Net DEX	-556.6M	-756.5M	-369.2M	-600.1M	-471.3M
Net VEX	-3.2M	-3.5M	-3.0M	-3.0M	-3.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.76	0.29	1.78	0.95	0.56
Total Volume	25,561.053	10,126	53,417	53,417	19,135
Total OI	640,643.789	596,259	698,841	596,259	652,032

Daily Data (19 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
2011-02-01	$33.24	$31.00	21.6%	6.2%	20.6%	15.9%	22.1%	2.8%	1.2%	13.8M	-600.1M	-3.0M	0.95	5.28	27,426	25,991	326,666	269,593
2011-02-02	$33.14	$31.00	21.2%	6.1%	20.6%	15.1%	21.4%	3.1%	1.3%	13.4M	-588.4M	-3.1M	0.76	4.34	8,338	6,340	334,727	280,473
2011-02-03	$32.99	$31.00	20.3%	5.8%	19.8%	12.6%	21.0%	3.5%	2.3%	13.5M	-553.7M	-3.1M	0.48	5.18	10,807	5,171	334,287	282,915
2011-02-04	$32.62	$29.00	19.5%	6.4%	20.4%	10.6%	23.4%	4.3%	1.9%	13.6M	-507.4M	-3.2M	1.59	4.52	9,191	14,593	338,058	285,106
2011-02-07	$32.98	$30.00	19.6%	6.2%	20.5%	10.7%	22.1%	4.2%	2.3%	12.7M	-553.8M	-3.1M	0.73	5.55	13,837	10,049	338,892	291,921
2011-02-08	$33.03	$30.00	19.6%	6.4%	20.5%	10.9%	23.4%	4.3%	2.0%	15.2M	-577.1M	-3.1M	0.46	3.99	7,919	3,656	345,368	293,008
2011-02-09	$32.89	$30.00	19.4%	6.4%	20.6%	10.4%	21.7%	4.4%	1.8%	15.5M	-557.0M	-3.1M	0.29	5.44	11,707	3,383	347,017	293,249
2011-02-10	$33.26	$30.00	22.4%	6.4%	20.7%	18.3%	23.0%	4.1%	1.8%	15.7M	-625.6M	-3.0M	0.37	6.11	7,373	2,753	347,825	293,762
2011-02-11	$33.47	$30.00	22.6%	6.5%	20.7%	18.7%	24.0%	4.7%	1.6%	14.9M	-632.8M	-3.1M	0.46	4.83	8,852	4,115	348,779	294,365
2011-02-14	$33.29	$30.00	22.6%	6.5%	20.9%	18.5%	23.3%	3.9%	2.1%	14.8M	-640.3M	-3.0M	0.82	4.91	18,951	15,592	348,581	296,246
2011-02-15	$32.76	$29.00	22.4%	6.4%	21.9%	18.1%	23.8%	4.1%	2.3%	16.2M	-574.4M	-3.0M	0.84	5.93	18,098	15,151	360,526	298,029
2011-02-16	$33.11	$30.00	22.1%	6.3%	22.1%	17.4%	22.5%	3.7%	2.3%	17.3M	-641.2M	-3.1M	0.73	4.78	27,324	20,012	366,725	305,169
2011-02-17	$33.01	$30.00	22.3%	6.4%	20.9%	17.7%	22.7%	3.6%	2.2%	18.8M	-635.6M	-3.2M	0.55	4.69	14,030	7,659	378,022	316,074
2011-02-18	$33.68	$30.00	20.9%	6.0%	21.9%	14.3%	22.2%	3.8%	2.9%	16.1M	-756.5M	-3.2M	0.57	6.48	22,403	12,828	381,398	317,443
2011-02-22	$32.53	$30.00	25.2%	7.2%	25.4%	25.5%	26.2%	4.3%	3.0%	12.8M	-428.7M	-3.3M	1.32	5.62	20,232	26,759	324,215	280,938
2011-02-23	$32.18	$30.00	27.3%	7.8%	25.7%	30.8%	26.4%	4.9%	2.3%	10.9M	-369.2M	-3.4M	0.52	5.45	19,880	10,330	330,721	295,286
2011-02-24	$32.25	$30.00	27.3%	7.8%	25.5%	30.9%	27.7%	5.0%	2.7%	11.3M	-387.6M	-3.4M	0.68	6.45	10,026	6,787	336,743	299,678
2011-02-25	$32.95	$30.00	24.7%	7.1%	26.4%	24.0%	26.8%	4.9%	3.4%	13.8M	-474.5M	-3.5M	1.78	5.01	6,827	12,135	339,880	298,515
2011-02-28	$32.90	$30.00	24.7%	7.1%	24.2%	24.1%	25.3%	5.3%	3.3%	13.9M	-471.3M	-3.4M	0.56	5.48	12,300	6,835	339,573	312,459