ORCL Options History — December 2011

In December 2011, ORCL traded between $25.51 and $31.90. ATM implied volatility averaged 31.4%, placing in the 23.8% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded below realized volatility by 13.3% (HV 20d: 44.8%). Max pain ranged from $30.00 to $31.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.97.

Notable Days

2011-12-21: Highest Volume — 327,626 contracts
2011-12-09: Largest IV drop — 19.1% change
2011-12-08: Highest IV Rank — 30.7%
2011-12-08: Largest Expected Move — 10.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$28.98	$25.51	$31.90	$31.67	$25.65
Max Pain	$30.10	$30.00	$31.00	$31.00	$30.00
ATM IV	31.4%	22.7%	35.6%	30.3%	22.7%
Expected Move	9.3%	7.6%	10.5%	10.2%	7.6%
HV 20d	44.8%	36.9%	57.5%	43.5%	50.5%
HV 60d	39.9%	36.8%	44.5%	39.3%	43.0%
IV Rank	23.8%	9.5%	30.7%	22.0%	9.5%
IV Percentile	60.8%	30.6%	73.0%	58.7%	30.6%
Term Structure	0.5%	-1.8%	3.5%	-1.8%	3.5%
VWIV	33.5%	27.6%	37.6%	37.6%	27.9%
Skew 25d	5.2%	2.3%	8.0%	6.2%	2.4%
Skew 10d	10.9%	4.9%	18.0%	11.8%	4.9%
Call IV 25d	30.8%	26.1%	34.1%	33.4%	26.4%
Put IV 25d	36.0%	28.8%	41.4%	39.6%	28.8%
Bid-Ask Spread %	3.03	1.72	4.27	3.78	1.72
Gamma HHI	0.14	0.09	0.24	0.09	0.21
Net GEX	4.6M	-10.7M	19.0M	9.9M	-10.4M
Net DEX	-87.1M	-611.3M	431.1M	-493.2M	393.1M
Net VEX	-4.1M	-5.3M	-2.9M	-5.3M	-3.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.97	0.33	2.43	2.43	0.90
Total Volume	72,026.714	18,621	327,626	69,046	35,143
Total OI	1,244,843.19	1,041,685	1,323,177	1,307,051	1,215,823

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
2011-12-01	$31.67	$31.00	30.3%	10.2%	43.5%	22.0%	37.6%	6.2%	-1.8%	9.9M	-493.2M	-5.3M	2.43	3.78	20,133	48,913	660,212	646,839
2011-12-02	$31.20	$31.00	32.0%	10.3%	42.6%	24.7%	35.8%	5.5%	-1.5%	12.0M	-449.1M	-5.0M	1.44	3.90	17,114	24,638	667,959	613,485
2011-12-05	$31.90	$30.00	34.3%	9.6%	43.2%	28.5%	35.8%	8.0%	0.5%	16.1M	-611.3M	-4.9M	1.18	4.27	25,103	29,641	668,515	604,027
2011-12-06	$31.73	$30.00	34.3%	9.7%	43.0%	28.5%	35.5%	7.4%	-0.0%	16.2M	-577.2M	-4.9M	1.04	3.79	16,630	17,268	678,169	606,622
2011-12-07	$31.54	$30.00	32.7%	9.9%	42.1%	25.9%	37.0%	7.4%	-0.3%	15.7M	-533.6M	-4.7M	0.89	4.03	21,147	18,876	680,260	605,651
2011-12-08	$30.74	$30.00	35.6%	10.5%	37.0%	30.7%	36.3%	7.4%	-0.6%	11.2M	-328.4M	-4.8M	0.72	3.24	10,807	7,814	687,145	611,977
2011-12-09	$31.69	$30.00	28.8%	9.5%	38.7%	19.5%	34.2%	6.8%	0.2%	19.0M	-591.7M	-4.7M	0.71	3.59	26,161	18,564	688,371	612,780
2011-12-12	$31.32	$30.00	34.0%	10.1%	38.1%	28.1%	36.7%	7.0%	-0.6%	17.7M	-475.1M	-4.5M	0.70	3.31	17,359	12,074	693,882	615,363
2011-12-13	$30.83	$30.00	32.4%	9.7%	38.4%	25.4%	34.2%	7.7%	0.2%	12.7M	-340.7M	-4.5M	0.85	3.72	21,742	18,492	693,798	619,510
2011-12-14	$29.87	$30.00	34.4%	10.3%	38.8%	28.7%	35.7%	7.7%	-0.2%	2.9M	-110.3M	-4.3M	0.94	2.92	24,350	22,804	694,259	619,318
2011-12-15	$29.03	$30.00	35.3%	10.1%	38.7%	30.2%	35.2%	5.7%	-0.0%	-2.1M	78.3M	-4.0M	1.29	3.17	35,028	45,276	695,451	617,155
2011-12-16	$29.21	$30.00	34.4%	9.9%	36.9%	28.7%	35.1%	4.9%	0.1%	1.4M	18.4M	-3.9M	0.95	3.63	32,160	30,539	701,564	621,613
2011-12-19	$28.61	$30.00	34.8%	10.0%	37.4%	29.2%	35.6%	3.7%	-0.9%	5.3M	-26.2M	-3.7M	0.47	2.83	58,332	27,525	559,755	481,930
2011-12-20	$29.17	$30.00	34.4%	9.8%	37.5%	28.6%	33.8%	3.9%	-1.2%	10.3M	-127.1M	-3.8M	0.68	2.93	103,972	70,215	587,085	487,581
2011-12-21	$25.77	$30.00	31.0%	8.9%	57.5%	23.0%	32.0%	2.3%	1.2%	-8.8M	431.1M	-2.9M	0.93	1.94	170,163	157,463	626,475	517,226
2011-12-22	$25.69	$30.00	29.2%	8.4%	57.0%	20.0%	30.5%	2.4%	1.7%	-6.8M	400.2M	-3.3M	1.23	2.54	41,751	51,353	653,330	581,115
2011-12-23	$26.06	$30.00	27.2%	7.8%	57.5%	16.7%	28.2%	3.0%	2.1%	2.8M	334.1M	-3.3M	0.33	2.01	73,902	24,454	650,770	593,759
2011-12-27	$25.63	$30.00	27.2%	7.8%	55.2%	16.8%	28.1%	2.5%	2.5%	-9.0M	391.4M	-3.1M	1.00	2.02	22,317	22,289	615,945	568,948
2011-12-28	$25.51	$30.00	28.4%	8.1%	55.2%	18.7%	29.9%	3.8%	2.6%	-10.7M	406.4M	-3.2M	0.95	2.04	30,735	29,306	612,622	577,654
2011-12-29	$25.80	$30.00	26.7%	7.6%	51.0%	15.9%	27.6%	3.7%	3.4%	-8.4M	382.4M	-3.2M	0.65	2.30	18,821	12,187	618,783	588,981
2011-12-30	$25.65	$30.00	22.7%	7.6%	50.5%	9.5%	27.9%	2.4%	3.5%	-10.4M	393.1M	-3.2M	0.90	1.72	18,465	16,678	624,322	591,501