ORCL Options History — October 2011

In October 2011, ORCL traded between $27.94 and $33.69. ATM implied volatility averaged 36.1%, placing in the 31.5% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded below realized volatility by 0.5% (HV 20d: 36.6%). Max pain ranged from $28.00 to $30.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.99.

Notable Days

  • 2011-10-21: Highest Volume — 121,287 contracts
  • 2011-10-31: Largest IV spike — 24.8% change
  • 2011-10-03: Highest IV Rank — 77.9%
  • 2011-10-03: Largest Expected Move — 15.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.34$27.94$33.69$27.94$32.77
Max Pain$29.52$28.00$30.00$28.00$30.00
ATM IV36.1%25.2%64.3%64.3%31.5%
Expected Move10.0%7.1%15.0%15.0%8.1%
HV 20d36.6%29.7%44.5%44.3%29.7%
HV 60d48.0%47.1%48.7%47.6%47.3%
IV Rank31.5%13.6%77.9%77.9%23.9%
IV Percentile74.8%47.6%99.6%99.6%67.9%
Term Structure1.8%-2.4%3.3%-2.4%2.9%
VWIV36.2%27.6%51.7%51.7%30.6%
Skew 25d8.7%5.0%11.8%10.4%6.5%
Skew 10d19.1%10.7%25.5%20.7%17.8%
Call IV 25d31.4%23.6%47.5%47.5%26.6%
Put IV 25d40.1%28.5%57.9%57.9%33.1%
Bid-Ask Spread %3.763.054.864.863.91
Gamma HHI0.130.080.270.080.11
Net GEX18.5M4.1M31.5M4.1M19.4M
Net DEX-656.2M-1.02B-53.0M-53.0M-771.0M
Net VEX-5.6M-5.8M-5.4M-5.6M-5.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.990.352.040.621.51
Total Volume48,854.71422,505121,28743,48232,063
Total OI1,199,249.5241,144,9931,260,2411,166,4211,209,563

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-10-03$27.94$28.0064.3%15.0%44.3%77.9%51.7%10.4%-2.4%4.1M-53.0M-5.6M0.624.8626,90016,582611,063555,358
2011-10-04$28.69$28.0052.9%13.2%44.5%59.1%47.3%9.6%-0.4%6.1M-170.5M-5.7M0.804.2122,56518,112610,498558,645
2011-10-05$29.51$28.0044.5%11.8%43.1%45.2%43.2%8.6%0.2%9.7M-334.1M-5.7M0.354.0728,69310,048612,983559,906
2011-10-06$30.07$28.0040.9%11.3%41.2%39.3%41.0%8.7%1.5%12.6M-434.7M-5.8M0.603.4522,23613,292618,427560,345
2011-10-07$29.91$29.0038.2%11.5%39.5%35.0%39.2%11.8%1.0%16.0M-389.8M-5.7M0.884.1031,10727,227614,130564,180
2011-10-10$30.97$29.0039.1%10.6%40.0%36.5%36.7%10.8%1.5%16.5M-613.4M-5.7M0.773.0820,85916,107625,387564,349
2011-10-11$30.93$30.0037.3%10.4%38.7%33.4%37.9%10.3%2.2%17.1M-606.8M-5.7M1.393.0519,45427,124628,514568,819
2011-10-12$31.11$30.0031.8%9.9%38.5%24.4%33.9%9.5%2.5%19.6M-674.0M-5.5M1.203.3925,20830,350634,558571,684
2011-10-13$31.14$30.0034.0%9.8%37.6%28.1%33.7%9.3%2.3%19.4M-661.1M-5.5M0.573.2815,9109,147639,976578,330
2011-10-14$31.85$30.0030.6%8.8%38.1%22.3%34.2%8.2%2.9%21.8M-814.9M-5.5M1.953.7524,68148,220644,614579,553
2011-10-17$31.23$30.0035.1%10.1%38.9%29.8%36.2%9.1%2.2%21.0M-690.7M-5.4M0.713.2413,1869,319644,597587,152
2011-10-18$31.88$30.0032.5%9.3%37.9%25.6%35.6%8.1%2.2%22.8M-827.7M-5.4M0.653.8229,63819,396644,894572,734
2011-10-19$31.49$30.0035.8%10.3%36.0%31.0%36.6%9.2%2.0%22.7M-735.4M-5.5M0.593.6327,37316,216647,911586,574
2011-10-20$31.53$30.0033.9%9.7%32.0%27.9%38.1%9.6%2.7%23.8M-741.4M-5.5M0.793.6522,86818,138653,766592,209
2011-10-21$32.12$30.0031.9%9.1%31.9%24.6%31.9%8.5%2.5%31.5M-905.1M-5.4M0.403.5786,34634,941658,769601,472
2011-10-24$32.87$30.0027.6%7.9%31.5%17.4%29.9%7.0%3.3%22.3M-862.4M-5.4M1.083.8720,81122,521624,682520,311
2011-10-25$32.37$30.0031.7%9.1%32.1%24.2%31.8%7.8%2.2%20.3M-756.5M-5.5M2.044.4322,53646,020628,368525,267
2011-10-26$32.40$30.0032.4%9.3%30.6%25.4%33.9%8.5%1.6%18.5M-721.8M-5.7M1.574.0117,38427,256631,816547,675
2011-10-27$33.66$30.0026.8%7.7%32.8%16.2%29.0%6.7%1.9%21.7M-998.7M-5.5M1.033.8727,63628,506635,567559,710
2011-10-28$33.69$30.0025.2%7.1%29.8%13.6%27.6%5.0%3.2%21.9M-1.02B-5.4M1.253.7322,19227,781639,870570,014
2011-10-31$32.77$30.0031.5%8.1%29.7%23.9%30.6%6.5%2.9%19.4M-771.0M-5.6M1.513.9112,76419,299638,350571,213