ORCL Options History — May 2011

In May 2011, ORCL traded between $32.99 and $36.37. ATM implied volatility averaged 22.5%, placing in the 14.9% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 0.7% (HV 20d: 21.8%). Max pain ranged from $32.00 to $34.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.77.

Notable Days

  • 2011-05-04: Highest Volume — 66,868 contracts
  • 2011-05-23: Largest IV spike — 13.7% change
  • 2011-05-23: Highest IV Rank — 23.4%
  • 2011-05-23: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.54$32.99$36.37$36.37$34.22
Max Pain$32.38$32.00$34.00$34.00$32.00
ATM IV22.5%19.6%25.6%20.6%20.3%
Expected Move6.6%5.8%7.3%5.9%5.8%
HV 20d21.8%15.1%25.8%15.1%25.3%
HV 60d24.1%22.8%25.4%23.3%22.9%
IV Rank14.9%7.0%23.4%9.8%8.9%
IV Percentile35.3%7.5%60.7%16.7%13.5%
Term Structure2.8%0.7%4.4%0.7%4.4%
VWIV23.5%20.8%25.8%20.8%21.0%
Skew 25d3.3%2.2%4.2%2.2%2.6%
Skew 10d7.4%5.5%9.0%6.3%5.5%
Call IV 25d22.0%19.6%24.2%19.7%19.6%
Put IV 25d25.3%21.9%28.3%21.9%22.2%
Bid-Ask Spread %4.013.065.234.234.49
Gamma HHI0.130.110.170.170.13
Net GEX14.5M8.4M19.4M19.2M16.0M
Net DEX-474.3M-779.4M-229.8M-779.4M-442.1M
Net VEX-4.5M-4.6M-4.2M-4.2M-4.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.770.351.890.590.35
Total Volume32,163.23811,26966,86846,73135,403
Total OI783,524.095727,959837,823727,959795,775

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-05-02$36.37$34.0020.6%5.9%15.1%9.8%20.8%2.2%0.7%19.2M-779.4M-4.2M0.594.2329,40817,323384,402343,557
2011-05-03$36.14$34.0021.0%6.0%15.5%11.0%21.4%2.5%1.0%19.4M-740.9M-4.3M1.573.7610,82017,001392,897349,446
2011-05-04$35.25$34.0022.6%6.5%18.1%15.1%22.6%2.9%1.3%16.6M-587.6M-4.4M0.903.3335,26731,601387,329358,069
2011-05-05$34.67$34.0023.1%6.6%18.8%16.6%24.0%3.7%1.2%13.9M-482.7M-4.5M0.725.2312,6979,087396,090373,405
2011-05-06$34.87$32.0021.5%6.7%18.9%12.2%23.4%3.7%2.8%15.9M-519.7M-4.6M0.504.1622,50811,346400,453374,430
2011-05-09$35.20$32.0021.4%6.7%18.9%11.9%23.9%3.6%2.8%18.3M-593.7M-4.4M0.654.666,8464,423407,168376,887
2011-05-10$35.62$32.0019.6%6.3%19.1%7.0%24.8%3.1%3.1%18.1M-650.9M-4.5M1.894.356,82712,906402,862378,270
2011-05-11$34.98$32.0020.8%6.7%19.9%10.2%24.0%3.6%2.9%17.0M-550.3M-4.5M0.534.2423,54512,422404,339386,620
2011-05-12$35.73$32.0022.1%6.3%20.9%14.0%24.4%3.3%3.4%19.0M-689.6M-4.4M0.874.1214,17012,390409,574393,108
2011-05-13$35.19$32.0023.6%6.8%21.9%17.9%23.6%3.5%3.1%17.3M-582.8M-4.5M0.964.108,7418,390412,296396,047
2011-05-16$34.18$32.0025.2%7.2%24.2%22.4%25.2%3.8%2.5%13.5M-386.5M-4.4M0.625.1123,19814,365410,888396,320
2011-05-17$33.94$32.0025.2%7.2%23.6%22.3%25.8%3.7%2.2%10.4M-327.8M-4.5M0.473.5034,25116,080409,700401,738
2011-05-18$33.91$32.0023.7%6.8%23.6%18.2%24.2%3.5%2.8%12.3M-333.0M-4.6M0.413.8129,43712,188422,473403,688
2011-05-19$34.50$32.0022.9%6.6%23.9%16.0%23.1%3.0%3.2%15.9M-472.3M-4.5M0.533.6015,8878,353430,202405,300
2011-05-20$34.27$32.0022.5%6.5%23.1%15.0%23.6%3.1%3.5%14.9M-443.8M-4.5M0.534.1214,8217,918432,059405,764
2011-05-23$33.16$32.0025.6%7.3%25.7%23.4%25.4%4.2%2.5%8.5M-262.8M-4.4M0.683.6231,56921,582380,303353,254
2011-05-24$33.04$32.0024.7%7.1%25.6%20.9%24.7%3.9%2.9%8.6M-246.7M-4.5M1.223.0613,69516,717388,404363,144
2011-05-25$32.99$32.0023.2%6.6%25.3%16.8%23.8%3.6%3.7%8.4M-229.8M-4.5M0.733.5916,94712,297392,443374,269
2011-05-26$33.40$32.0022.2%6.4%25.8%14.2%22.1%3.5%3.9%9.6M-282.6M-4.6M0.513.6516,9508,559400,536377,504
2011-05-27$33.70$32.0020.5%5.9%25.0%9.5%21.8%2.9%4.2%12.7M-355.8M-4.6M0.963.458,9358,558403,929379,064
2011-05-31$34.22$32.0020.3%5.8%25.3%8.9%21.0%2.6%4.4%16.0M-442.1M-4.5M0.354.4926,2829,121410,716385,059