ORCL Options History — February 2012

In February 2012, ORCL traded between $27.98 and $29.39. ATM implied volatility averaged 22.2%, placing in the 7.3% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 4.7% (HV 20d: 17.4%). Max pain ranged from $27.00 to $28.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.89.

Notable Days

2012-02-23: Highest Volume — 112,595 contracts
2012-02-09: Largest IV spike — 22.7% change
2012-02-15: Highest IV Rank — 11.4%
2012-02-15: Largest Expected Move — 7.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$28.83	$27.98	$29.39	$28.88	$29.25
Max Pain	$27.90	$27.00	$28.00	$27.00	$28.00
ATM IV	22.2%	18.3%	24.6%	23.0%	22.3%
Expected Move	6.3%	5.8%	7.1%	6.0%	6.0%
HV 20d	17.4%	14.7%	19.4%	16.5%	18.6%
HV 60d	36.9%	33.5%	40.0%	40.0%	33.5%
IV Rank	7.3%	0.7%	11.4%	8.7%	7.5%
IV Percentile	18.5%	0.4%	32.5%	24.2%	19.8%
Term Structure	3.9%	2.4%	5.5%	2.4%	4.8%
VWIV	23.0%	20.8%	25.3%	21.8%	22.1%
Skew 25d	4.1%	2.6%	5.9%	2.6%	3.6%
Skew 10d	10.8%	6.0%	14.3%	6.0%	13.2%
Call IV 25d	20.8%	19.3%	22.8%	20.2%	19.9%
Put IV 25d	25.0%	22.8%	28.7%	22.8%	23.5%
Bid-Ask Spread %	3.68	2.20	6.94	2.71	3.00
Gamma HHI	0.23	0.14	0.38	0.21	0.24
Net GEX	11.8M	5.6M	20.1M	11.0M	15.2M
Net DEX	-247.6M	-330.0M	-110.1M	-299.4M	-299.8M
Net VEX	-3.8M	-4.2M	-3.6M	-3.7M	-4.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.89	0.40	1.86	0.78	0.59
Total Volume	40,776.2	10,511	112,595	34,900	31,652
Total OI	846,989.9	758,873	925,391	802,522	925,391

Daily Data (20 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
2012-02-01	$28.88	$27.00	23.0%	6.0%	16.5%	8.7%	21.8%	2.6%	2.4%	11.0M	-299.4M	-3.7M	0.78	2.71	19,572	15,328	427,093	375,429
2012-02-02	$28.81	$27.00	22.3%	6.1%	16.8%	7.5%	22.1%	3.2%	2.5%	10.4M	-275.8M	-3.7M	1.29	3.00	13,303	17,159	431,685	379,385
2012-02-03	$29.11	$28.00	21.3%	6.4%	15.7%	5.8%	23.4%	4.0%	3.4%	11.9M	-327.6M	-3.7M	0.64	6.94	33,127	21,158	436,814	387,483
2012-02-06	$29.00	$28.00	21.2%	6.3%	15.6%	5.7%	23.2%	4.4%	3.5%	12.0M	-292.0M	-3.6M	1.13	6.52	15,728	17,710	438,426	390,942
2012-02-07	$28.95	$28.00	20.8%	6.3%	15.8%	5.0%	22.0%	4.0%	3.1%	13.8M	-281.8M	-3.6M	0.40	3.68	16,368	6,472	445,864	393,581
2012-02-08	$28.73	$28.00	18.3%	6.3%	16.1%	0.7%	23.5%	4.3%	3.4%	14.2M	-235.4M	-3.6M	0.94	3.63	14,770	13,885	450,610	391,928
2012-02-09	$28.89	$28.00	22.4%	6.4%	16.0%	7.6%	24.8%	4.5%	3.5%	14.2M	-276.2M	-3.7M	0.90	3.07	15,314	13,759	453,058	396,099
2012-02-10	$28.50	$28.00	24.6%	7.1%	16.9%	11.4%	24.2%	4.4%	3.4%	11.2M	-194.9M	-3.7M	1.76	3.90	10,677	18,747	451,558	401,384
2012-02-13	$28.43	$28.00	24.3%	7.0%	16.9%	10.9%	24.2%	4.8%	3.2%	10.5M	-190.2M	-3.6M	0.72	2.56	6,125	4,386	450,077	404,008
2012-02-14	$28.24	$28.00	24.1%	6.9%	16.7%	10.4%	24.0%	5.4%	3.9%	8.7M	-147.9M	-3.6M	0.58	3.38	19,699	11,414	450,976	405,204
2012-02-15	$27.98	$28.00	24.6%	7.1%	14.7%	11.4%	24.6%	5.9%	3.9%	6.5M	-110.1M	-3.7M	0.64	4.56	26,235	16,659	457,531	410,904
2012-02-16	$28.95	$28.00	23.1%	6.6%	19.0%	8.9%	25.3%	4.3%	4.5%	20.1M	-320.2M	-3.8M	1.00	2.74	26,970	26,902	460,349	414,765
2012-02-17	$28.79	$28.00	21.4%	6.1%	19.1%	6.0%	22.1%	3.7%	5.5%	11.0M	-261.5M	-3.7M	0.94	3.94	22,599	21,199	463,867	428,774
2012-02-21	$28.74	$28.00	20.1%	5.8%	18.6%	3.9%	20.8%	4.0%	5.1%	5.7M	-175.7M	-3.7M	0.73	4.19	25,135	18,310	404,134	354,739
2012-02-22	$28.55	$28.00	20.2%	5.8%	18.7%	4.0%	21.9%	4.1%	5.4%	5.6M	-131.0M	-3.8M	0.90	3.47	14,442	12,969	420,834	365,194
2012-02-23	$28.81	$28.00	20.8%	6.0%	19.0%	5.0%	22.4%	4.7%	4.6%	7.8M	-182.2M	-3.8M	0.52	2.46	74,243	38,352	426,586	370,732
2012-02-24	$29.25	$28.00	20.6%	6.0%	19.4%	4.7%	21.7%	3.1%	4.5%	15.8M	-330.0M	-4.1M	0.75	3.82	37,381	28,183	484,010	394,891
2012-02-27	$29.26	$28.00	24.6%	6.4%	19.4%	11.4%	23.3%	3.8%	3.6%	14.2M	-301.2M	-4.1M	0.81	3.86	32,718	26,489	479,870	406,696
2012-02-28	$29.39	$28.00	23.1%	6.2%	19.3%	8.8%	22.9%	3.8%	4.1%	15.2M	-319.2M	-4.2M	1.86	2.20	10,631	19,754	490,065	418,862
2012-02-29	$29.25	$28.00	22.3%	6.0%	18.6%	7.5%	22.1%	3.6%	4.8%	15.2M	-299.8M	-4.2M	0.59	3.00	19,951	11,701	494,524	430,867