ORCL Options History — March 2012

In March 2012, ORCL traded between $28.55 and $30.24. ATM implied volatility averaged 22.2%, placing in the 8.5% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 3.8% (HV 20d: 18.4%). Max pain ranged from $28.00 to $29.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.73.

Notable Days

2012-03-21: Highest Volume — 302,914 contracts
2012-03-15: Largest IV spike — 78.8% change
2012-03-20: Highest IV Rank — 23.1%
2012-03-20: Largest Expected Move — 8.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$29.67	$28.55	$30.24	$29.83	$29.16
Max Pain	$28.91	$28.00	$29.00	$28.00	$29.00
ATM IV	22.2%	16.6%	30.7%	21.0%	20.3%
Expected Move	7.0%	5.5%	8.8%	6.1%	5.6%
HV 20d	18.4%	15.0%	20.8%	18.1%	19.3%
HV 60d	26.5%	16.8%	33.6%	33.6%	18.3%
IV Rank	8.5%	0.0%	23.1%	5.3%	6.1%
IV Percentile	19.6%	0.0%	59.9%	12.3%	10.7%
Term Structure	0.0%	-3.7%	6.4%	4.4%	1.9%
VWIV	24.9%	19.4%	31.1%	23.3%	19.8%
Skew 25d	3.4%	1.5%	5.8%	4.3%	1.8%
Skew 10d	7.5%	3.7%	13.4%	13.4%	4.0%
Call IV 25d	23.4%	18.7%	29.3%	20.7%	18.9%
Put IV 25d	26.8%	20.5%	33.2%	25.0%	20.8%
Bid-Ask Spread %	3.43	2.27	5.83	3.08	2.88
Gamma HHI	0.24	0.15	0.45	0.29	0.18
Net GEX	18.6M	3.6M	36.5M	16.5M	15.0M
Net DEX	-359.3M	-563.5M	-4.2M	-434.4M	-208.0M
Net VEX	-4.3M	-4.6M	-4.2M	-4.3M	-4.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.73	0.31	1.94	0.66	0.55
Total Volume	82,620	17,714	302,914	54,211	34,854
Total OI	995,674.636	796,148	1,090,556	940,091	1,001,924

Daily Data (22 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
2012-03-01	$29.83	$28.00	21.0%	6.1%	18.1%	5.3%	23.3%	4.3%	4.4%	16.5M	-434.4M	-4.3M	0.66	3.08	32,724	21,487	502,716	437,375
2012-03-02	$29.96	$28.00	19.7%	5.5%	18.1%	3.2%	20.0%	2.5%	6.4%	20.1M	-479.6M	-4.2M	0.84	2.96	40,004	33,453	513,317	445,490
2012-03-05	$30.24	$29.00	23.0%	7.5%	18.0%	8.7%	25.9%	4.0%	-0.3%	18.5M	-533.3M	-4.2M	0.57	3.59	41,081	23,226	520,688	452,503
2012-03-06	$29.95	$29.00	26.6%	7.9%	18.4%	14.6%	27.8%	4.6%	-1.2%	17.1M	-474.6M	-4.4M	1.23	2.89	18,700	23,087	531,733	457,706
2012-03-07	$30.22	$29.00	22.2%	7.8%	18.5%	7.3%	27.8%	4.3%	-0.9%	18.0M	-522.0M	-4.4M	0.50	3.43	11,775	5,939	533,575	466,922
2012-03-08	$30.07	$29.00	21.4%	7.7%	18.3%	6.1%	26.5%	3.5%	-1.1%	18.1M	-485.6M	-4.3M	0.42	4.15	15,925	6,623	531,898	468,681
2012-03-09	$30.13	$29.00	19.3%	7.6%	18.3%	2.5%	25.5%	3.4%	-0.9%	22.2M	-500.7M	-4.3M	0.62	2.97	26,388	16,290	540,840	470,688
2012-03-12	$29.71	$29.00	20.4%	7.9%	18.3%	4.3%	29.6%	5.1%	-2.2%	21.1M	-412.3M	-4.3M	0.94	3.55	66,479	62,337	551,222	475,911
2012-03-13	$30.13	$29.00	18.0%	8.0%	18.7%	0.4%	29.7%	5.4%	-2.4%	30.0M	-563.5M	-4.6M	0.51	3.11	30,687	15,626	594,069	496,487
2012-03-14	$29.84	$29.00	16.6%	8.4%	19.0%	0.0%	30.8%	5.8%	-3.2%	25.6M	-434.0M	-4.3M	1.94	3.80	20,880	40,609	555,897	498,797
2012-03-15	$30.06	$29.00	29.6%	8.5%	18.5%	21.4%	29.0%	5.0%	-3.7%	36.5M	-508.7M	-4.3M	0.48	4.37	48,367	23,328	559,210	500,625
2012-03-16	$29.74	$29.00	28.8%	8.3%	15.2%	20.1%	28.8%	4.5%	-3.4%	19.0M	-382.3M	-4.3M	0.54	3.51	35,467	19,109	574,745	499,319
2012-03-19	$29.76	$29.00	30.6%	8.8%	15.0%	23.0%	31.1%	3.6%	-3.4%	12.6M	-302.2M	-4.2M	0.71	4.06	119,468	84,928	429,795	366,353
2012-03-20	$30.10	$29.00	30.7%	8.8%	15.3%	23.1%	30.7%	4.2%	-3.6%	18.3M	-413.6M	-4.5M	0.60	5.83	172,236	103,377	487,417	403,328
2012-03-21	$29.41	$29.00	21.6%	6.2%	17.6%	8.2%	21.2%	2.2%	1.0%	18.3M	-252.3M	-4.4M	0.60	2.63	189,799	113,115	562,387	446,509
2012-03-22	$28.63	$29.00	20.6%	5.9%	20.0%	6.6%	21.1%	2.2%	1.7%	4.2M	-34.4M	-4.3M	1.04	2.27	51,419	53,724	583,635	456,050
2012-03-23	$28.55	$29.00	19.5%	5.6%	19.1%	4.8%	20.3%	2.0%	2.3%	3.6M	-4.2M	-4.3M	0.31	2.64	61,249	18,918	580,746	469,814
2012-03-26	$29.16	$29.00	19.1%	5.5%	20.7%	4.2%	20.0%	1.8%	2.3%	16.4M	-213.8M	-4.4M	0.52	3.55	26,296	13,574	547,133	431,798
2012-03-27	$29.35	$29.00	19.4%	5.6%	20.8%	4.7%	19.4%	1.5%	2.1%	18.6M	-248.9M	-4.4M	0.76	3.96	19,236	14,558	547,112	434,678
2012-03-28	$29.36	$29.00	20.2%	5.8%	20.7%	5.9%	20.0%	1.9%	2.0%	19.2M	-250.5M	-4.3M	0.88	3.10	17,844	15,751	547,836	436,920
2012-03-29	$29.30	$29.00	20.1%	5.8%	19.4%	5.7%	20.3%	2.1%	2.0%	20.5M	-245.2M	-4.3M	0.80	3.15	15,428	12,275	552,875	438,118
2012-03-30	$29.16	$29.00	20.3%	5.6%	19.3%	6.1%	19.8%	1.8%	1.9%	15.0M	-208.0M	-4.3M	0.55	2.88	22,547	12,307	558,224	443,700