ORCL Options History — July 2011

In July 2011, ORCL traded between $30.58 and $34.09. ATM implied volatility averaged 24.4%, placing in the 20.1% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded below realized volatility by 4.6% (HV 20d: 29.0%). Max pain ranged from $32.00 to $32.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.76.

Notable Days

  • 2011-07-07: Highest Volume — 93,355 contracts
  • 2011-07-11: Largest IV spike — 32.7% change
  • 2011-07-29: Highest IV Rank — 50.6%
  • 2011-07-29: Largest Expected Move — 8.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.37$30.58$34.09$33.05$30.58
Max Pain$32.00$32.00$32.00$32.00$32.00
ATM IV24.4%17.8%35.6%19.3%35.6%
Expected Move7.2%5.5%8.9%5.5%8.9%
HV 20d29.0%25.7%30.7%29.1%28.3%
HV 60d26.7%25.3%28.5%25.3%28.1%
IV Rank20.1%2.2%50.6%6.2%50.6%
IV Percentile49.9%0.4%98.4%4.4%98.4%
Term Structure2.6%1.7%3.2%2.9%1.7%
VWIV25.7%20.1%31.8%20.1%31.8%
Skew 25d3.8%2.7%4.9%3.6%4.1%
Skew 10d8.1%5.8%10.2%9.0%8.6%
Call IV 25d23.8%18.2%30.2%18.2%30.2%
Put IV 25d27.7%21.8%34.4%21.8%34.4%
Bid-Ask Spread %4.603.646.256.254.97
Gamma HHI0.130.100.190.150.10
Net GEX13.4M-1.1M32.4M23.1M1.5M
Net DEX-249.7M-652.1M61.8M-400.8M61.8M
Net VEX-4.7M-4.9M-4.5M-4.8M-4.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.760.261.360.470.75
Total Volume45,327.214,23593,35548,48932,622
Total OI866,133.85808,317929,711845,652919,174

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-07-01$33.05$32.0019.3%5.5%29.1%6.2%20.1%3.6%2.9%23.1M-400.8M-4.8M0.476.2532,87815,611475,792369,860
2011-07-05$33.06$32.0020.2%6.4%29.1%8.7%23.1%4.0%2.7%23.6M-405.7M-4.7M0.764.0918,19413,780478,796372,161
2011-07-06$33.21$32.0018.4%6.4%28.7%3.8%23.1%3.6%2.9%26.1M-453.8M-4.7M0.533.8925,13313,250482,439376,566
2011-07-07$34.09$32.0018.9%6.4%28.8%5.3%22.3%3.0%2.9%29.7M-652.1M-4.7M0.463.6463,86629,489491,618380,465
2011-07-08$33.94$32.0017.8%6.3%28.8%2.2%23.0%2.7%3.2%32.4M-617.2M-4.9M0.403.9138,45915,427510,453391,208
2011-07-11$33.14$32.0023.6%7.0%29.8%18.1%24.9%3.1%3.1%22.8M-359.9M-4.8M0.644.4918,94012,169490,563394,806
2011-07-12$32.60$32.0023.2%7.3%30.2%16.8%26.1%3.1%2.4%14.3M-248.0M-4.8M0.944.1321,20819,912494,485398,569
2011-07-13$32.69$32.0021.1%7.2%29.9%11.2%27.9%3.5%2.6%15.8M-265.2M-4.9M1.354.3914,80220,003497,495403,909
2011-07-14$32.05$32.0027.3%7.8%28.8%27.9%29.4%4.4%2.2%1.5M-132.9M-4.8M0.945.7629,08727,305499,390414,349
2011-07-15$32.09$32.0025.7%7.4%28.4%23.8%25.6%3.9%3.1%-1.1M-149.7M-4.8M0.823.8943,68035,916505,433424,278
2011-07-18$31.49$32.0027.8%8.0%29.0%29.3%26.8%4.8%2.9%6.0M-99.7M-4.6M0.834.7123,49319,552445,706362,611
2011-07-19$32.64$32.0024.8%7.1%30.7%21.1%25.1%4.9%2.7%13.1M-276.3M-4.9M0.773.6921,25316,378457,369369,039
2011-07-20$32.08$32.0025.5%7.3%30.2%23.0%24.7%4.6%2.5%10.4M-190.1M-4.7M0.305.9037,14111,320458,175368,839
2011-07-21$32.47$32.0025.4%7.3%30.1%22.8%25.1%3.7%2.6%12.7M-257.2M-4.7M0.694.3518,57912,889453,210372,005
2011-07-22$32.55$32.0023.2%6.7%30.0%16.9%24.9%3.7%3.0%11.9M-263.1M-4.7M1.034.6910,97211,356453,789375,814
2011-07-25$32.21$32.0025.5%7.3%26.0%23.2%25.5%3.9%2.2%9.9M-200.7M-4.6M1.344.396,0758,160449,229379,588
2011-07-26$32.15$32.0026.3%7.5%25.7%25.2%25.3%3.7%2.4%8.2M-178.3M-4.6M0.265.0555,95714,293450,809383,917
2011-07-27$30.71$32.0029.1%8.4%29.1%33.0%29.4%4.2%1.7%1.9M47.9M-4.5M0.494.1843,58921,312477,795392,297
2011-07-28$30.66$32.0029.2%8.4%29.0%33.2%29.8%4.2%2.0%4.3M47.7M-4.5M1.365.5513,76818,726495,549405,127
2011-07-29$30.58$32.0035.6%8.9%28.3%50.6%31.8%4.1%1.7%1.5M61.8M-4.6M0.754.9718,65813,964499,870419,304