ORCL Options History — November 2011

In November 2011, ORCL traded between $28.74 and $33.61. ATM implied volatility averaged 36.1%, placing in the 31.4% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded below realized volatility by 1.8% (HV 20d: 37.8%). Max pain ranged from $31.00 to $31.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.92.

Notable Days

2011-11-09: Highest Volume — 78,435 contracts
2011-11-09: Largest IV spike — 33.4% change
2011-11-23: Highest IV Rank — 40.7%
2011-11-25: Largest Expected Move — 12.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$31.38	$28.74	$33.61	$31.69	$31.35
Max Pain	$31.00	$31.00	$31.00	$31.00	$31.00
ATM IV	36.1%	27.5%	41.7%	41.5%	36.4%
Expected Move	10.4%	8.3%	12.1%	9.7%	10.5%
HV 20d	37.8%	30.8%	43.9%	32.3%	43.9%
HV 60d	40.5%	38.3%	44.3%	44.3%	40.1%
IV Rank	31.4%	17.3%	40.7%	40.4%	31.9%
IV Percentile	75.3%	54.0%	87.7%	87.7%	74.6%
Term Structure	-0.0%	-2.2%	4.4%	2.4%	-2.0%
VWIV	37.5%	30.3%	43.0%	35.3%	36.1%
Skew 25d	8.5%	5.5%	11.3%	9.2%	5.5%
Skew 10d	18.6%	10.6%	25.3%	18.8%	10.6%
Call IV 25d	32.8%	26.4%	39.6%	31.3%	33.6%
Put IV 25d	41.4%	32.8%	47.1%	40.5%	39.1%
Bid-Ask Spread %	3.35	2.57	5.21	3.71	4.07
Gamma HHI	0.10	0.07	0.14	0.10	0.09
Net GEX	10.9M	-1.2M	22.2M	14.4M	8.3M
Net DEX	-426.8M	-996.0M	152.4M	-529.7M	-413.0M
Net VEX	-5.5M	-5.8M	-5.1M	-5.7M	-5.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.92	0.26	2.83	1.25	0.26
Total Volume	38,155.857	9,514	78,435	39,537	34,622
Total OI	1,302,832.905	1,227,634	1,375,425	1,227,634	1,300,170

Daily Data (21 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
2011-11-01	$31.69	$31.00	41.5%	9.7%	32.3%	40.4%	35.3%	9.2%	2.4%	14.4M	-529.7M	-5.7M	1.25	3.71	17,557	21,980	646,797	580,837
2011-11-02	$32.28	$31.00	37.8%	9.3%	31.5%	34.2%	33.0%	8.4%	2.7%	17.3M	-653.4M	-5.8M	0.62	3.91	14,777	9,226	649,731	588,595
2011-11-03	$33.11	$31.00	29.7%	8.3%	32.0%	21.0%	30.3%	6.4%	4.4%	20.6M	-852.3M	-5.7M	0.67	2.59	19,828	13,216	653,591	593,135
2011-11-04	$32.55	$31.00	27.5%	9.4%	32.8%	17.3%	35.3%	9.7%	0.2%	19.3M	-742.6M	-5.6M	2.83	5.21	17,592	49,720	659,238	596,986
2011-11-07	$32.87	$31.00	28.6%	9.3%	30.8%	19.1%	35.8%	9.6%	0.4%	19.3M	-800.7M	-5.6M	0.52	4.62	16,770	8,748	659,397	635,883
2011-11-08	$33.61	$31.00	27.9%	8.6%	31.5%	17.9%	33.0%	8.9%	1.1%	22.2M	-996.0M	-5.4M	0.61	2.93	19,179	11,658	663,494	638,689
2011-11-09	$31.59	$31.00	37.2%	11.0%	39.3%	33.3%	37.6%	11.3%	-0.6%	11.5M	-458.1M	-5.8M	1.21	3.71	35,565	42,870	666,705	642,334
2011-11-10	$31.73	$31.00	36.0%	10.3%	39.3%	31.3%	38.4%	10.7%	0.7%	11.8M	-477.0M	-5.8M	0.75	2.99	25,980	19,537	673,665	656,768
2011-11-11	$32.37	$31.00	34.6%	9.9%	39.1%	29.1%	36.7%	9.8%	0.8%	17.8M	-650.6M	-5.8M	0.93	2.60	12,490	11,559	680,756	672,330
2011-11-14	$32.30	$31.00	35.3%	10.1%	38.4%	30.1%	37.3%	9.8%	0.2%	18.1M	-625.7M	-5.7M	0.66	2.77	20,743	13,710	677,663	660,934
2011-11-15	$32.96	$31.00	33.0%	9.5%	38.4%	26.4%	37.6%	9.4%	0.9%	22.0M	-804.8M	-5.7M	0.93	2.66	14,033	13,097	679,994	667,639
2011-11-16	$31.99	$31.00	35.9%	10.3%	39.7%	31.1%	37.2%	9.2%	0.1%	13.5M	-530.9M	-5.6M	0.89	2.84	13,448	11,917	674,223	673,370
2011-11-17	$30.82	$31.00	40.3%	11.6%	41.9%	38.4%	43.0%	9.5%	-1.3%	4.6M	-258.0M	-5.6M	0.60	2.88	45,929	27,602	675,344	678,704
2011-11-18	$30.60	$31.00	37.4%	10.7%	41.3%	33.6%	38.9%	8.4%	-0.4%	4.8M	-205.0M	-5.5M	2.74	3.02	18,104	49,626	690,203	685,222
2011-11-21	$29.91	$31.00	39.9%	11.4%	40.8%	37.7%	40.6%	8.4%	-1.4%	1.3M	-53.3M	-5.3M	0.80	3.60	25,264	20,206	628,171	640,280
2011-11-22	$29.81	$31.00	38.7%	11.1%	40.6%	35.8%	40.3%	7.5%	-1.4%	817.3K	-33.6M	-5.3M	0.44	2.80	27,261	11,920	635,136	644,169
2011-11-23	$29.00	$31.00	41.7%	12.0%	41.4%	40.7%	40.3%	7.4%	-1.8%	-1.0M	92.0M	-5.3M	0.64	3.69	21,116	13,419	652,972	646,378
2011-11-25	$28.74	$31.00	39.6%	12.1%	38.0%	37.2%	40.9%	7.5%	-2.2%	-1.2M	152.4M	-5.1M	0.60	2.57	5,953	3,561	653,788	650,042
2011-11-28	$29.87	$31.00	39.3%	11.3%	41.4%	36.8%	39.2%	6.8%	-1.8%	2.0M	-75.1M	-5.2M	0.39	4.07	14,719	5,698	648,714	642,739
2011-11-29	$29.74	$31.00	39.3%	11.2%	40.6%	36.7%	40.1%	5.8%	-1.7%	1.9M	-48.1M	-5.1M	0.92	3.17	10,979	10,094	650,649	644,056
2011-11-30	$31.35	$31.00	36.4%	10.5%	43.9%	31.9%	36.1%	5.5%	-2.0%	8.3M	-413.0M	-5.2M	0.26	4.07	27,496	7,126	654,596	645,574