ORCL Options History — June 2011

In June 2011, ORCL traded between $30.80 and $32.91. ATM implied volatility averaged 27.6%, placing in the 28.9% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded below realized volatility by 0.1% (HV 20d: 27.7%). Max pain ranged from $31.00 to $32.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 0.45.

Notable Days

  • 2011-06-23: Highest Volume — 158,498 contracts
  • 2011-06-24: Largest IV drop — 17.6% change
  • 2011-06-23: Highest IV Rank — 44.3%
  • 2011-06-23: Largest Expected Move — 9.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.93$30.80$32.91$32.88$32.91
Max Pain$31.59$31.00$32.00$32.00$32.00
ATM IV27.6%19.2%33.3%24.6%19.2%
Expected Move8.1%5.5%9.5%7.1%5.5%
HV 20d27.7%25.0%32.1%28.5%29.5%
HV 60d23.7%22.5%25.4%24.0%25.4%
IV Rank28.9%6.0%44.3%20.7%6.0%
IV Percentile70.2%4.0%94.8%56.7%4.0%
Term Structure-0.6%-4.8%3.5%3.0%3.1%
VWIV28.6%20.3%33.5%24.6%20.3%
Skew 25d4.3%3.1%5.6%3.7%3.4%
Skew 10d9.2%6.1%11.7%7.4%8.5%
Call IV 25d26.8%18.5%31.2%23.8%18.5%
Put IV 25d31.1%21.9%36.4%27.4%21.9%
Bid-Ask Spread %4.613.649.964.413.64
Gamma HHI0.110.100.150.110.15
Net GEX8.7M1.1M22.5M9.0M22.5M
Net DEX-139.8M-367.2M63.5M-216.7M-367.2M
Net VEX-4.5M-4.8M-4.2M-4.5M-4.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.450.210.710.260.51
Total Volume51,647.68211,629158,49849,71548,537
Total OI830,625664,129919,901799,362839,697

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-06-01$32.88$32.0024.6%7.1%28.5%20.7%24.6%3.7%3.0%9.0M-216.7M-4.5M0.264.4139,61110,104412,926386,436
2011-06-02$32.72$32.0025.0%7.2%27.5%21.8%26.5%3.4%3.5%8.2M-189.4M-4.5M0.404.1253,68721,436421,630391,299
2011-06-03$32.33$32.0025.9%8.4%27.3%24.2%29.1%4.4%-1.3%8.9M-165.3M-4.5M0.414.8317,7607,304447,929397,828
2011-06-06$32.19$32.0026.4%8.4%27.0%25.4%30.0%4.5%-1.2%8.4M-143.7M-4.5M0.324.1324,4307,883451,507399,957
2011-06-07$31.84$32.0025.4%8.3%26.7%22.8%29.4%4.3%-1.0%5.9M-75.3M-4.4M0.353.7236,92112,820453,087402,366
2011-06-08$31.25$32.0027.2%8.7%26.3%27.6%29.7%4.5%-1.2%4.6M-9.6M-4.3M0.564.2326,25214,686470,928408,874
2011-06-09$31.63$32.0028.5%8.2%26.7%31.4%30.4%4.7%-0.7%6.2M-70.1M-4.3M0.694.0815,31210,618478,646409,849
2011-06-10$31.18$32.0029.8%8.5%25.0%34.7%29.7%4.4%-0.8%3.4M11.7M-4.3M0.644.407,0824,547479,868415,504
2011-06-13$31.63$32.0029.6%8.5%25.9%34.2%30.0%4.6%-1.3%4.6M-68.4M-4.3M0.394.3514,4655,634480,151415,627
2011-06-14$32.08$32.0028.9%8.3%25.1%32.4%28.9%4.7%-1.4%8.3M-163.2M-4.3M0.274.5017,4994,668481,983417,604
2011-06-15$31.16$32.0031.5%9.0%26.8%39.5%30.9%4.7%-1.7%2.5M5.0M-4.2M0.324.0031,66910,032483,645418,965
2011-06-16$30.80$31.0032.6%9.3%26.9%42.5%32.8%5.3%-1.8%1.1M63.5M-4.2M0.614.5427,54616,819491,066422,236
2011-06-17$31.18$31.0031.5%9.0%26.4%39.4%30.9%5.6%-1.1%1.6M-37.2M-4.3M0.555.3831,05916,929492,897427,004
2011-06-20$31.91$31.0030.1%8.6%28.2%35.6%30.3%5.4%-2.4%6.7M-143.6M-4.4M0.264.2338,37210,009361,779302,350
2011-06-21$32.65$31.0028.1%8.1%27.4%30.2%29.4%4.7%-2.3%10.7M-261.5M-4.5M0.473.8837,47417,639378,918306,109
2011-06-22$32.20$31.0031.4%9.0%27.8%39.2%30.8%4.4%-4.2%9.7M-202.7M-4.5M0.215.3153,63511,398393,392316,256
2011-06-23$32.46$31.0033.3%9.5%28.0%44.3%33.5%3.9%-4.8%13.4M-281.4M-4.6M0.339.96119,27439,224420,896320,362
2011-06-24$31.14$31.0027.4%7.9%31.0%28.4%27.8%3.1%0.2%10.7M-86.0M-4.6M0.615.1577,86147,300463,090340,603
2011-06-27$31.58$31.0024.5%7.0%31.3%20.4%25.7%3.7%1.6%11.6M-125.8M-4.7M0.474.5441,31119,408465,599355,510
2011-06-28$32.34$31.0024.6%7.1%32.1%20.7%25.3%4.7%1.2%16.1M-260.8M-4.8M0.504.2027,06613,482464,041358,862
2011-06-29$32.43$32.0022.6%6.5%29.0%15.3%22.9%3.2%1.7%18.3M-287.1M-4.7M0.713.8827,74419,742465,199361,275
2011-06-30$32.91$32.0019.2%5.5%29.5%6.0%20.3%3.4%3.1%22.5M-367.2M-4.8M0.513.6432,13416,403472,661367,036