ORCL Options History — September 2011

In September 2011, ORCL traded between $26.00 and $30.13. ATM implied volatility averaged 43.4%, placing in the 43.5% IV rank vs the trailing year. The 30-day expected move averaged 12.6%. IV traded below realized volatility by 5.5% (HV 20d: 48.9%). Max pain ranged from $26.00 to $30.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 0.84.

Notable Days

  • 2011-09-21: Highest Volume — 247,334 contracts
  • 2011-09-06: Largest IV spike — 62.7% change
  • 2011-09-06: Highest IV Rank — 64.0%
  • 2011-09-20: Largest Expected Move — 14.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.30$26.00$30.13$27.84$28.74
Max Pain$27.33$26.00$30.00$30.00$28.00
ATM IV43.4%34.3%55.8%37.7%53.3%
Expected Move12.6%10.8%14.0%12.2%13.9%
HV 20d48.9%42.1%62.9%62.3%44.6%
HV 60d45.8%43.5%47.3%43.5%47.3%
IV Rank43.5%28.5%64.0%34.1%59.9%
IV Percentile91.9%85.7%99.2%90.1%96.8%
Term Structure-2.3%-5.0%0.8%-4.6%-1.6%
VWIV44.6%39.0%49.5%45.0%47.2%
Skew 25d9.5%7.5%12.2%9.0%11.4%
Skew 10d20.5%16.9%26.4%18.5%22.0%
Call IV 25d40.0%35.3%44.1%39.8%44.0%
Put IV 25d49.5%42.8%55.4%48.8%55.4%
Bid-Ask Spread %5.023.1913.094.545.11
Gamma HHI0.110.080.230.110.09
Net GEX5.8M-1.3M13.5M1.0M6.0M
Net DEX-80.6M-438.7M337.2M118.0M-166.8M
Net VEX-5.3M-5.9M-4.5M-5.0M-5.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.840.411.901.240.66
Total Volume77,251.8122,624247,33422,62436,205
Total OI1,154,424.905971,3321,280,6311,124,7921,174,151

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-09-01$27.84$30.0037.7%12.2%62.3%34.1%45.0%9.0%-4.6%1.0M118.0M-5.0M1.244.5410,11712,507611,179513,613
2011-09-02$26.97$30.0034.3%12.9%62.9%28.5%47.4%10.8%-5.0%8.0M246.8M-4.7M0.824.7018,95915,624613,862517,701
2011-09-06$26.49$26.0055.8%13.3%55.1%64.0%45.5%12.2%-3.8%-1.3M295.4M-4.5M0.664.0139,75526,295614,071516,779
2011-09-07$27.63$26.0039.4%11.7%53.1%36.9%42.9%10.8%-2.0%694.9K133.8M-4.9M0.573.9924,76514,119629,393525,770
2011-09-08$26.72$26.0042.1%12.4%52.3%41.3%44.7%9.6%-3.0%-312.9K252.6M-4.7M1.114.9938,76043,025631,795528,363
2011-09-09$26.00$26.0049.6%13.8%50.4%53.8%48.9%10.5%-4.7%-79.3K337.2M-4.6M0.733.7255,39940,474644,983536,748
2011-09-12$26.75$26.0048.1%13.6%51.5%51.3%49.5%9.8%-4.2%1.6M208.4M-4.9M0.523.6138,43220,020662,375546,639
2011-09-13$27.72$26.0040.4%13.0%53.1%38.5%44.4%8.5%-3.5%2.3M52.7M-5.2M0.413.1941,94417,260669,285553,423
2011-09-14$28.15$26.0037.4%12.6%53.3%33.6%43.4%8.8%-3.2%4.1M-41.0M-5.2M0.553.9936,95920,278679,442556,174
2011-09-15$28.95$27.0041.1%11.8%54.1%39.8%42.3%8.8%-1.8%5.2M-200.8M-5.3M1.333.8329,34839,032691,101561,218
2011-09-16$29.23$27.0039.7%11.4%42.6%37.4%39.5%8.3%-1.3%7.3M-257.7M-5.4M0.503.4647,35723,716696,099584,532
2011-09-19$29.02$27.0042.5%12.2%42.1%42.0%42.4%8.8%-2.1%8.2M-269.4M-5.3M0.464.0679,89736,661518,106453,226
2011-09-20$28.35$27.0048.8%14.0%43.5%52.4%47.9%8.5%-4.6%7.6M-188.1M-5.5M1.147.5190,496102,999553,713474,706
2011-09-21$29.54$28.0037.6%10.8%43.1%34.0%39.0%7.5%0.8%13.5M-394.7M-5.7M0.6413.09151,00896,326585,316520,954
2011-09-22$28.34$28.0046.9%13.5%46.0%49.3%46.0%8.5%-0.9%2.6M-134.7M-5.8M1.034.4951,16152,932611,130557,036
2011-09-23$28.90$28.0045.2%12.9%44.6%46.4%45.2%9.0%-1.0%13.0M-212.4M-5.9M0.635.3847,82429,956605,885545,700
2011-09-26$29.71$28.0042.0%12.0%44.6%41.2%45.0%8.6%-0.1%10.6M-375.2M-5.9M0.784.5629,73223,085597,251528,166
2011-09-27$30.13$28.0040.8%11.7%42.1%39.1%41.1%9.4%-0.2%11.5M-438.7M-5.9M0.795.8132,64025,788599,509534,745
2011-09-28$29.45$28.0044.5%12.8%43.1%45.3%43.3%9.7%-0.9%10.0M-317.7M-5.9M1.275.5013,28316,834604,716541,303
2011-09-29$29.65$28.0044.0%12.6%43.1%44.5%45.8%10.9%-0.9%10.6M-341.3M-5.9M1.905.8717,70833,608606,426546,339
2011-09-30$28.74$28.0053.3%13.9%44.6%59.9%47.2%11.4%-1.6%6.0M-166.8M-5.8M0.665.1121,82214,383611,815562,336