ORCL Options History — August 2011

In August 2011, ORCL traded between $24.78 and $30.19. ATM implied volatility averaged 47.5%, placing in the 56.3% IV rank vs the trailing year. The 30-day expected move averaged 12.8%. IV traded below realized volatility by 2.9% (HV 20d: 50.4%). Max pain ranged from $30.00 to $32.00. Net GEX was positive for 5 of 23 trading days. Term structure was in contango for 4 of 23 days. Put/call ratio averaged 0.84.

Notable Days

2011-08-18: Highest Volume — 148,538 contracts
2011-08-08: Largest IV spike — 66.2% change
2011-08-08: Highest IV Rank — 100.0%
2011-08-19: Largest Expected Move — 15.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$27.36	$24.78	$30.19	$30.11	$28.07
Max Pain	$31.43	$30.00	$32.00	$32.00	$30.00
ATM IV	47.5%	36.5%	77.7%	41.4%	44.8%
Expected Move	12.8%	9.0%	15.9%	9.3%	12.2%
HV 20d	50.4%	28.4%	64.8%	28.4%	64.1%
HV 60d	37.5%	28.1%	43.6%	28.1%	43.6%
IV Rank	56.3%	32.1%	100.0%	66.5%	45.7%
IV Percentile	97.0%	91.3%	100.0%	99.2%	94.0%
Term Structure	-5.0%	-13.2%	3.0%	2.3%	-3.8%
VWIV	45.4%	32.1%	55.4%	33.3%	45.1%
Skew 25d	10.4%	2.8%	15.9%	4.4%	9.9%
Skew 10d	21.6%	5.5%	31.6%	9.5%	23.1%
Call IV 25d	40.7%	30.4%	50.0%	30.7%	38.8%
Put IV 25d	51.0%	33.2%	65.6%	35.1%	48.7%
Bid-Ask Spread %	6.28	3.47	11.00	5.46	6.45
Gamma HHI	0.10	0.09	0.13	0.10	0.12
Net GEX	-2.4M	-5.3M	2.4M	-1.3M	1.5M
Net DEX	319.8M	79.3M	579.6M	129.5M	79.3M
Net VEX	-4.3M	-5.0M	-3.6M	-4.4M	-5.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.84	0.36	1.87	0.95	0.82
Total Volume	60,660.391	20,821	148,538	49,691	39,739
Total OI	1,030,646.609	901,067	1,168,961	901,067	1,116,616

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
2011-08-01	$30.11	$32.00	41.4%	9.3%	28.4%	66.5%	33.3%	4.4%	2.3%	-1.3M	129.5M	-4.4M	0.95	5.46	25,487	24,204	490,825	410,242
2011-08-02	$29.55	$32.00	40.3%	9.2%	28.8%	63.5%	32.7%	3.5%	3.0%	-3.2M	198.0M	-4.2M	1.12	5.27	25,381	28,523	495,659	416,252
2011-08-03	$30.19	$32.00	39.5%	9.0%	30.2%	61.2%	32.1%	2.8%	3.0%	-1.9M	116.5M	-4.4M	0.79	4.23	36,704	29,040	500,703	429,301
2011-08-04	$28.88	$32.00	47.1%	11.6%	30.9%	81.9%	40.7%	4.7%	0.2%	-4.9M	280.3M	-4.2M	0.68	4.27	23,391	15,902	496,243	436,047
2011-08-05	$28.35	$32.00	46.7%	12.3%	31.1%	80.9%	41.1%	8.8%	-5.0%	-5.3M	339.4M	-4.1M	0.91	6.19	58,126	53,131	503,510	438,803
2011-08-08	$26.02	$32.00	77.7%	15.2%	41.2%	100.0%	52.9%	10.9%	-9.9%	-4.2M	502.3M	-3.6M	1.30	6.91	35,712	46,595	511,261	439,245
2011-08-09	$27.60	$32.00	54.0%	12.9%	48.2%	61.0%	50.9%	10.8%	-7.1%	-4.8M	382.1M	-4.0M	1.55	11.00	34,450	53,565	520,774	439,734
2011-08-10	$26.48	$32.00	59.8%	15.3%	49.4%	70.5%	51.9%	12.5%	-10.7%	-4.4M	460.4M	-3.8M	0.90	7.98	22,654	20,439	526,362	453,369
2011-08-11	$27.70	$32.00	46.5%	13.3%	53.0%	48.6%	47.4%	10.5%	-8.1%	-5.0M	376.1M	-4.1M	0.56	7.09	61,034	34,449	530,068	456,368
2011-08-12	$27.39	$32.00	46.9%	13.5%	52.9%	49.3%	45.5%	11.9%	-8.3%	-5.1M	395.1M	-4.3M	0.60	7.46	63,928	38,055	565,817	471,143
2011-08-15	$27.64	$32.00	40.4%	11.6%	53.1%	38.5%	41.0%	10.9%	-4.4%	-4.0M	351.6M	-4.7M	0.36	6.69	31,569	11,492	609,709	491,609
2011-08-16	$27.57	$31.00	40.3%	11.6%	50.7%	38.4%	42.7%	11.6%	-5.1%	-4.2M	380.9M	-4.4M	1.87	5.98	16,190	30,333	604,077	491,087
2011-08-17	$27.47	$31.00	40.7%	11.7%	50.6%	39.0%	41.3%	9.4%	-4.7%	-3.5M	396.8M	-4.4M	0.79	5.15	18,695	14,858	602,986	507,862
2011-08-18	$25.19	$31.00	55.1%	15.8%	57.2%	62.9%	55.4%	14.5%	-13.2%	-4.1M	579.6M	-3.8M	0.48	9.22	100,667	47,871	606,913	505,615
2011-08-19	$24.78	$31.00	55.4%	15.9%	56.9%	63.3%	55.2%	15.6%	-11.4%	2.4M	550.8M	-4.1M	1.17	6.96	44,764	52,449	651,108	517,853
2011-08-22	$25.06	$31.00	54.4%	15.6%	57.6%	61.6%	53.5%	15.9%	-6.8%	-2.3M	421.2M	-4.2M	0.64	5.02	22,318	14,207	562,251	479,342
2011-08-23	$26.20	$31.00	47.9%	13.7%	61.0%	50.9%	47.4%	12.7%	-4.8%	-1.1M	321.2M	-4.5M	0.57	8.71	21,883	12,397	567,918	479,249
2011-08-24	$26.68	$31.00	45.2%	13.0%	60.3%	46.5%	46.9%	12.0%	-4.2%	44.5K	272.6M	-4.6M	0.41	5.76	14,782	6,039	577,672	483,335
2011-08-25	$25.90	$31.00	51.2%	14.7%	60.8%	56.4%	50.1%	14.1%	-6.2%	-890.3K	335.2M	-4.4M	0.50	4.84	18,670	9,340	580,670	485,082
2011-08-26	$26.65	$31.00	36.5%	12.9%	62.2%	32.1%	47.8%	12.2%	-3.6%	-1.0M	266.7M	-4.6M	0.58	5.00	24,919	14,385	587,914	489,596
2011-08-29	$27.91	$31.00	40.1%	11.8%	64.8%	38.0%	46.2%	9.8%	-3.2%	630.6K	111.4M	-4.9M	0.77	3.47	28,455	22,047	589,410	489,578
2011-08-30	$27.87	$31.00	40.0%	11.6%	64.6%	37.8%	43.0%	9.0%	-3.2%	1.0M	109.5M	-4.9M	1.03	5.28	22,802	23,548	597,324	498,370
2011-08-31	$28.07	$30.00	44.8%	12.2%	64.1%	45.7%	45.1%	9.9%	-3.8%	1.5M	79.3M	-5.0M	0.82	6.45	21,784	17,955	609,109	507,507