ORCL Options History — March 2011

In March 2011, ORCL traded between $30.20 and $33.43. ATM implied volatility averaged 29.0%, placing in the 35.3% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded below realized volatility by 0.4% (HV 20d: 29.4%). Max pain ranged from $30.00 to $32.00. Net GEX was positive for 21 of 23 trading days. Term structure was in contango for 8 of 23 days. Put/call ratio averaged 0.67.

Notable Days

2011-03-25: Highest Volume — 150,823 contracts
2011-03-25: Largest IV drop — 29.6% change
2011-03-16: Highest IV Rank — 60.9%
2011-03-16: Largest Expected Move — 11.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$32.01	$30.20	$33.43	$31.66	$33.43
Max Pain	$31.17	$30.00	$32.00	$30.00	$31.00
ATM IV	29.0%	21.6%	38.8%	28.5%	22.1%
Expected Move	8.5%	6.2%	11.1%	8.2%	6.3%
HV 20d	29.4%	24.9%	32.1%	28.0%	26.1%
HV 60d	23.1%	21.3%	24.4%	21.7%	24.4%
IV Rank	35.3%	16.1%	60.9%	34.2%	17.4%
IV Percentile	70.3%	27.4%	98.8%	74.2%	29.4%
Term Structure	-1.6%	-5.3%	4.1%	2.1%	1.3%
VWIV	30.5%	22.9%	38.5%	29.8%	23.0%
Skew 25d	4.9%	2.1%	7.2%	6.0%	2.5%
Skew 10d	9.7%	4.1%	15.4%	15.4%	6.3%
Call IV 25d	28.1%	20.8%	36.0%	27.4%	20.8%
Put IV 25d	33.0%	23.3%	43.1%	33.4%	23.3%
Bid-Ask Spread %	3.98	2.92	5.10	5.10	4.22
Gamma HHI	0.16	0.11	0.24	0.14	0.18
Net GEX	9.6M	-3.2M	17.4M	8.8M	17.4M
Net DEX	-305.6M	-491.8M	-17.0M	-282.3M	-487.9M
Net VEX	-3.6M	-4.0M	-3.4M	-3.4M	-3.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.67	0.20	1.46	0.64	0.72
Total Volume	54,630.174	29,250	150,823	33,765	29,250
Total OI	686,772.522	542,513	798,319	654,888	678,542

Daily Data (23 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
2011-03-01	$31.66	$30.00	28.5%	8.2%	28.0%	34.2%	29.8%	6.0%	2.1%	8.8M	-282.3M	-3.4M	0.64	5.10	20,565	13,200	344,546	310,342
2011-03-02	$32.12	$30.00	27.1%	7.8%	24.9%	30.4%	30.6%	5.5%	3.1%	11.1M	-347.9M	-3.4M	1.46	4.22	15,152	22,193	349,693	314,256
2011-03-03	$33.03	$30.00	24.4%	7.0%	27.1%	23.5%	25.8%	5.2%	4.1%	14.2M	-491.8M	-3.4M	0.20	4.27	43,765	8,680	351,446	329,010
2011-03-04	$32.77	$32.00	24.1%	8.3%	27.2%	22.5%	30.2%	5.3%	-1.8%	14.1M	-438.5M	-3.5M	0.34	3.75	41,903	14,043	356,088	331,866
2011-03-07	$32.10	$32.00	27.8%	9.0%	27.9%	32.3%	31.2%	5.8%	-2.7%	14.3M	-362.4M	-3.4M	0.51	4.19	19,952	10,168	367,541	330,987
2011-03-08	$32.74	$32.00	25.2%	8.5%	28.5%	25.4%	30.9%	5.5%	-2.2%	15.4M	-440.8M	-3.4M	0.37	3.50	26,418	9,765	361,547	334,584
2011-03-09	$32.79	$32.00	26.0%	8.7%	28.5%	27.6%	31.7%	5.5%	-2.5%	14.6M	-447.0M	-3.4M	0.49	3.97	29,557	14,616	364,600	339,111
2011-03-10	$31.80	$32.00	33.1%	9.5%	30.5%	46.1%	34.1%	5.4%	-3.7%	9.8M	-292.1M	-3.6M	0.61	4.08	29,300	17,817	373,248	346,781
2011-03-11	$31.91	$32.00	32.6%	9.4%	30.2%	44.9%	33.3%	5.1%	-3.8%	10.9M	-318.9M	-3.5M	0.57	4.06	28,274	16,057	379,800	352,325
2011-03-14	$31.59	$32.00	33.2%	9.5%	30.1%	46.3%	33.6%	5.3%	-4.1%	6.4M	-253.9M	-3.5M	0.38	3.69	28,228	10,727	377,334	356,572
2011-03-15	$31.17	$31.00	34.6%	9.9%	30.3%	50.1%	34.9%	5.5%	-4.4%	3.0M	-186.7M	-3.4M	0.91	4.88	39,501	35,750	378,950	359,491
2011-03-16	$30.20	$31.00	38.8%	11.1%	31.7%	60.9%	38.5%	7.1%	-5.3%	-3.2M	-17.0M	-3.5M	0.73	3.53	50,579	36,831	379,547	375,226
2011-03-17	$30.55	$31.00	34.8%	10.0%	31.7%	50.5%	35.2%	7.0%	-3.9%	-924.1K	-85.6M	-3.5M	0.69	4.60	32,222	22,390	400,353	387,226
2011-03-18	$30.76	$31.00	34.2%	9.8%	32.0%	48.9%	34.2%	7.2%	-4.0%	4.0M	-113.5M	-3.5M	0.64	3.65	28,677	18,382	406,562	391,757
2011-03-21	$31.42	$31.00	31.2%	8.9%	32.1%	41.0%	30.5%	6.3%	-2.5%	3.8M	-169.9M	-3.5M	0.57	3.83	41,200	23,584	288,492	254,021
2011-03-22	$31.13	$31.00	31.8%	9.1%	30.0%	42.8%	31.9%	4.3%	-3.3%	4.3M	-150.3M	-3.6M	1.12	3.92	34,648	38,888	304,169	263,842
2011-03-23	$31.41	$31.00	33.0%	9.4%	30.1%	45.7%	32.8%	4.7%	-3.9%	5.2M	-182.4M	-3.8M	0.48	4.22	24,457	11,847	315,741	285,596
2011-03-24	$32.14	$31.00	33.4%	9.6%	31.3%	46.8%	33.6%	4.2%	-5.0%	8.1M	-295.5M	-3.9M	0.66	2.92	67,475	44,866	329,650	291,217
2011-03-25	$32.64	$31.00	23.5%	6.7%	30.8%	21.0%	24.5%	2.1%	1.0%	16.2M	-428.6M	-4.0M	0.52	3.67	99,155	51,668	376,629	310,431
2011-03-28	$32.56	$31.00	23.1%	6.6%	30.8%	20.1%	24.1%	2.5%	1.2%	13.1M	-361.0M	-3.9M	0.84	3.46	18,825	15,823	363,683	311,161
2011-03-29	$33.16	$31.00	22.0%	6.3%	28.0%	17.1%	22.9%	2.1%	1.8%	15.4M	-450.8M	-3.9M	0.58	4.23	18,526	10,817	363,369	319,179
2011-03-30	$33.05	$31.00	21.6%	6.2%	27.7%	16.1%	23.8%	2.6%	2.1%	14.7M	-425.0M	-3.9M	1.41	3.51	16,938	23,815	364,776	324,481
2011-03-31	$33.43	$31.00	22.1%	6.3%	26.1%	17.4%	23.0%	2.5%	1.3%	17.4M	-487.9M	-3.9M	0.72	4.22	17,023	12,227	366,258	312,284