ORCL Options History — April 2011

In April 2011, ORCL traded between $33.40 and $35.96. ATM implied volatility averaged 20.6%, placing in the 10.6% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 1.3% (HV 20d: 19.3%). Max pain ranged from $31.00 to $34.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.61.

Notable Days

  • 2011-04-08: Highest Volume — 197,635 contracts
  • 2011-04-14: Largest IV spike — 15.2% change
  • 2011-04-04: Highest IV Rank — 20.9%
  • 2011-04-12: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.21$33.40$35.96$34.02$35.96
Max Pain$32.50$31.00$34.00$31.00$34.00
ATM IV20.6%18.4%23.5%21.7%19.8%
Expected Move6.1%5.3%6.8%6.2%5.7%
HV 20d19.3%14.9%26.6%26.6%15.7%
HV 60d24.4%23.0%25.0%24.4%23.3%
IV Rank10.6%3.7%20.9%16.3%7.7%
IV Percentile17.3%1.2%44.8%27.4%10.3%
Term Structure1.4%0.6%2.5%1.4%0.7%
VWIV22.0%19.7%24.5%22.8%21.2%
Skew 25d3.1%2.2%4.0%2.9%2.2%
Skew 10d6.9%5.3%9.3%6.4%5.5%
Call IV 25d20.3%17.9%22.3%20.7%19.3%
Put IV 25d23.4%20.8%26.1%23.7%21.5%
Bid-Ask Spread %4.753.246.034.453.31
Gamma HHI0.190.150.250.200.18
Net GEX18.6M10.4M21.9M20.3M20.9M
Net DEX-533.8M-737.5M-375.8M-603.9M-737.5M
Net VEX-3.9M-4.2M-3.7M-3.8M-4.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.610.041.320.270.73
Total Volume39,41914,993197,63552,35620,711
Total OI678,480.75576,012721,027688,047721,027

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-04-01$34.02$31.0021.7%6.2%26.6%16.3%22.8%2.9%1.4%20.3M-603.9M-3.8M0.274.4541,31111,045374,204313,843
2011-04-04$34.14$32.0023.5%6.7%25.2%20.9%23.8%3.6%0.8%20.3M-621.2M-3.8M0.455.1227,21412,347376,600316,334
2011-04-05$33.92$32.0021.5%6.5%24.6%15.9%23.6%3.5%1.1%21.1M-587.4M-3.8M0.414.4217,7797,357379,974318,636
2011-04-06$33.58$32.0020.7%6.5%25.0%13.8%23.5%3.5%1.2%20.7M-530.7M-3.8M0.446.0310,4424,551382,717320,385
2011-04-07$33.72$32.0020.5%6.6%22.0%13.1%23.8%3.6%1.1%21.1M-540.8M-3.8M0.565.5514,3617,996383,497319,966
2011-04-08$33.54$32.0020.9%6.6%22.2%10.6%24.0%4.0%1.2%20.8M-511.7M-3.8M0.045.83189,6987,937383,743322,470
2011-04-11$33.78$32.0022.5%6.6%21.7%15.1%24.5%3.3%1.2%20.9M-481.2M-3.8M0.825.4312,40610,133360,922326,707
2011-04-12$33.40$32.0020.7%6.8%21.5%10.0%23.9%3.6%1.2%21.9M-413.5M-3.8M0.455.0816,0287,205362,358331,161
2011-04-13$33.70$32.0018.4%6.4%17.1%3.7%22.9%3.1%1.5%20.6M-453.8M-3.8M0.725.079,4216,809357,871330,475
2011-04-14$33.80$32.0021.2%6.1%17.0%11.3%22.3%2.9%2.2%21.9M-467.4M-3.8M0.725.5511,8418,534357,982332,585
2011-04-15$34.18$33.0020.5%5.9%17.1%9.4%21.2%3.0%2.5%21.5M-568.8M-3.7M0.704.8921,95915,405361,762335,845
2011-04-18$33.63$33.0020.6%5.9%17.6%9.9%21.0%2.7%2.3%10.4M-375.8M-3.7M1.325.2613,92518,347302,348273,664
2011-04-19$33.67$33.0020.2%5.8%17.0%8.7%20.3%3.1%1.8%10.4M-376.6M-3.7M0.444.2424,40110,814307,303283,147
2011-04-20$34.11$33.0020.3%5.8%17.2%9.1%20.7%3.0%1.4%14.4M-446.9M-3.8M0.774.3233,35725,547322,641287,877
2011-04-21$34.75$33.0018.6%5.3%16.7%4.4%19.7%3.1%1.8%16.0M-549.0M-4.1M0.763.9230,47923,129345,657308,137
2011-04-25$34.83$33.0019.8%5.7%16.1%7.7%20.3%3.1%1.1%16.6M-567.5M-4.1M0.693.9218,88513,111356,546320,431
2011-04-26$34.97$33.0019.6%5.6%16.0%7.0%20.0%2.6%1.6%17.5M-600.4M-4.2M0.575.3915,0878,578365,033328,427
2011-04-27$35.25$33.0019.5%5.6%15.1%6.7%20.3%2.9%1.4%18.0M-623.6M-4.2M0.984.098,6188,458364,385330,752
2011-04-28$35.29$33.0021.0%6.0%14.9%10.9%20.9%2.5%0.6%16.4M-618.2M-4.2M0.353.2431,98311,171365,738336,465
2011-04-29$35.96$34.0019.8%5.7%15.7%7.7%21.2%2.2%0.7%20.9M-737.5M-4.1M0.733.3111,9598,752380,855340,172