ORCL Options History — January 2012

In January 2012, ORCL traded between $25.86 and $28.71. ATM implied volatility averaged 25.4%, placing in the 13.2% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded below realized volatility by 12.4% (HV 20d: 37.8%). Max pain ranged from $26.00 to $30.00. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.83.

Notable Days

  • 2012-01-06: Highest Volume — 156,343 contracts
  • 2012-01-05: Largest IV drop — 14.3% change
  • 2012-01-03: Highest IV Rank — 22.5%
  • 2012-01-11: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.65$25.86$28.71$25.86$28.21
Max Pain$26.95$26.00$30.00$30.00$27.00
ATM IV25.4%21.8%30.6%30.6%26.3%
Expected Move7.2%6.2%8.0%7.8%6.6%
HV 20d37.8%14.1%51.7%50.9%15.2%
HV 60d41.9%40.1%42.9%42.8%40.1%
IV Rank13.2%6.6%22.5%22.5%14.2%
IV Percentile37.3%18.7%57.1%57.1%42.1%
Term Structure1.5%0.6%2.9%2.9%1.8%
VWIV26.2%22.7%32.1%28.1%22.7%
Skew 25d3.3%1.3%4.1%2.2%3.5%
Skew 10d7.6%1.9%10.8%4.6%9.3%
Call IV 25d24.3%21.2%27.5%27.5%21.6%
Put IV 25d27.6%24.3%30.2%29.7%25.1%
Bid-Ask Spread %3.082.353.952.542.43
Gamma HHI0.160.120.200.190.17
Net GEX4.4M-9.2M11.7M-9.2M7.4M
Net DEX-24.4M-249.3M344.7M344.7M-160.6M
Net VEX-3.6M-3.8M-3.2M-3.2M-3.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.830.381.770.530.66
Total Volume52,214.5521,320156,34348,56921,320
Total OI1,138,398.3759,5811,402,0061,210,972798,757

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-01-03$25.86$30.0030.6%7.8%50.9%22.5%28.1%2.2%2.9%-9.2M344.7M-3.2M0.532.5431,69616,873623,365587,607
2012-01-04$26.01$29.0030.5%7.6%49.9%22.3%27.5%1.3%2.8%-8.0M331.2M-3.2M1.773.6819,75834,971633,291593,027
2012-01-05$26.59$29.0026.2%7.3%51.1%15.1%26.6%1.7%2.9%-4.0M239.8M-3.2M0.572.9653,81230,460638,314603,179
2012-01-06$26.93$26.0024.7%7.8%51.7%12.8%27.3%3.0%0.8%1.4M172.2M-3.4M0.383.70113,16943,174655,540614,483
2012-01-09$27.03$26.0027.2%7.9%51.4%16.7%27.5%3.2%0.8%-631.6K167.0M-3.6M0.502.7633,27316,770677,569636,596
2012-01-10$26.97$26.0027.0%7.9%49.6%16.4%28.5%3.6%0.6%1.1M150.2M-3.6M1.032.9223,10323,858698,710635,763
2012-01-11$26.89$26.0024.3%8.0%49.6%12.0%32.1%3.6%0.7%1.2M164.6M-3.6M1.253.1422,13127,705703,005641,014
2012-01-12$27.17$26.0027.4%7.9%49.9%17.2%29.0%4.0%0.9%5.7M88.6M-3.6M1.303.5816,92122,019707,896651,903
2012-01-13$27.34$26.0027.5%7.9%49.2%16.1%28.0%3.4%1.0%6.0M50.2M-3.6M0.622.7728,65917,699714,621659,327
2012-01-17$27.66$26.0026.0%7.5%48.6%13.8%27.0%4.0%0.9%8.6M-4.3M-3.7M0.522.5723,59412,361717,422663,545
2012-01-18$28.34$26.0026.0%7.4%49.5%13.6%26.3%3.5%1.0%11.7M-188.7M-3.7M0.713.9141,31629,393725,352662,986
2012-01-19$28.56$27.0024.2%6.9%49.0%10.7%25.4%3.8%1.5%9.9M-217.4M-3.7M1.243.9518,16722,455726,813674,025
2012-01-20$28.71$27.0023.1%6.6%48.5%8.8%24.3%3.5%1.4%7.0M-249.3M-3.6M0.603.1646,87628,269726,206675,800
2012-01-23$28.39$27.0023.8%6.8%16.6%10.1%24.0%4.1%1.4%8.2M-228.1M-3.7M0.922.3524,44322,462411,584347,997
2012-01-24$28.51$27.0022.2%6.4%16.3%7.3%23.8%4.1%1.7%8.5M-243.7M-3.8M0.653.2914,2129,267421,923357,692
2012-01-25$28.51$27.0021.8%6.2%16.0%6.6%23.7%3.0%1.7%9.1M-245.4M-3.7M1.162.6623,18426,927422,981357,154
2012-01-26$28.29$27.0023.7%6.8%14.7%9.9%25.3%3.0%1.3%8.1M-214.0M-3.8M1.003.4428,99428,962434,642372,480
2012-01-27$28.42$27.0022.6%6.8%14.3%8.0%23.5%3.2%1.3%7.7M-206.8M-3.7M0.512.5616,2068,232423,290374,720
2012-01-30$28.60$27.0023.9%6.4%14.1%10.1%22.8%3.9%1.9%9.0M-238.0M-3.8M0.623.2513,3188,282425,476371,911
2012-01-31$28.21$27.0026.3%6.6%15.2%14.2%22.7%3.5%1.8%7.4M-160.6M-3.7M0.662.4312,8388,482425,038373,719