ORCL Options History — April 2012

In April 2012, ORCL traded between $28.14 and $29.56. ATM implied volatility averaged 22.2%, placing in the 9.2% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 1.6% (HV 20d: 20.6%). Max pain ranged from $28.00 to $29.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.71.

Notable Days

2012-04-03: Highest Volume — 72,958 contracts
2012-04-05: Largest IV drop — 27.3% change
2012-04-10: Highest IV Rank — 17.9%
2012-04-10: Largest Expected Move — 7.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$28.95	$28.14	$29.56	$29.53	$29.40
Max Pain	$28.20	$28.00	$29.00	$29.00	$28.00
ATM IV	22.2%	18.5%	27.5%	21.9%	22.0%
Expected Move	6.1%	5.3%	7.1%	5.3%	5.7%
HV 20d	20.6%	18.9%	23.6%	19.6%	19.2%
HV 60d	18.9%	17.8%	19.4%	17.9%	18.7%
IV Rank	9.2%	3.2%	17.9%	8.6%	8.9%
IV Percentile	22.1%	2.4%	51.6%	23.0%	19.8%
Term Structure	1.6%	0.9%	2.4%	2.1%	1.3%
VWIV	21.4%	19.0%	24.6%	19.2%	20.2%
Skew 25d	3.2%	0.9%	4.5%	2.2%	3.3%
Skew 10d	7.7%	2.6%	11.1%	4.4%	9.8%
Call IV 25d	20.3%	18.2%	23.3%	18.4%	18.4%
Put IV 25d	23.5%	20.6%	27.1%	20.6%	21.7%
Bid-Ask Spread %	4.04	2.83	7.03	3.75	4.16
Gamma HHI	0.17	0.14	0.23	0.20	0.18
Net GEX	10.8M	-1.7M	23.9M	23.2M	13.0M
Net DEX	-143.0M	-328.0M	50.7M	-288.9M	-237.4M
Net VEX	-4.1M	-4.5M	-3.8M	-4.2M	-3.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.71	0.20	1.40	0.37	0.91
Total Volume	35,086.45	15,332	72,958	48,935	15,332
Total OI	977,238.7	806,780	1,068,072	997,357	838,058

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
2012-04-02	$29.53	$29.00	21.9%	5.3%	19.6%	8.6%	19.2%	2.2%	2.1%	23.2M	-288.9M	-4.2M	0.37	3.75	35,632	13,303	556,535	440,822
2012-04-03	$29.39	$29.00	26.7%	5.7%	19.4%	16.5%	19.6%	2.1%	1.9%	23.9M	-257.9M	-4.2M	0.39	7.03	52,393	20,565	567,094	441,014
2012-04-04	$29.16	$29.00	25.5%	5.8%	19.2%	14.6%	20.5%	0.9%	2.0%	20.5M	-217.4M	-4.4M	0.64	5.69	31,406	20,236	590,616	451,573
2012-04-05	$29.56	$29.00	18.5%	5.3%	19.9%	3.2%	19.2%	1.4%	2.4%	22.9M	-328.0M	-4.5M	0.30	5.47	24,154	7,323	596,078	461,454
2012-04-09	$29.01	$28.00	22.4%	6.5%	20.9%	9.6%	23.1%	2.6%	0.9%	13.8M	-155.8M	-4.3M	0.55	3.13	19,224	10,509	570,277	458,935
2012-04-10	$28.35	$28.00	27.5%	7.1%	21.8%	17.9%	24.5%	3.7%	1.3%	1.8M	9.9M	-4.2M	1.40	3.48	27,474	38,513	575,511	460,726
2012-04-11	$28.14	$28.00	23.0%	7.0%	20.9%	10.6%	24.6%	4.1%	1.2%	-1.7M	50.7M	-4.2M	1.10	4.53	11,456	12,553	582,226	466,536
2012-04-12	$28.70	$28.00	22.3%	6.4%	22.3%	9.3%	22.2%	3.6%	1.6%	5.7M	-73.4M	-4.2M	0.62	3.41	13,403	8,272	583,360	467,654
2012-04-13	$28.50	$28.00	23.7%	6.8%	22.1%	11.7%	22.8%	3.6%	1.5%	1.6M	-21.7M	-4.1M	0.80	4.50	9,424	7,505	583,444	468,654
2012-04-16	$28.64	$28.00	22.4%	6.4%	22.1%	9.6%	23.4%	4.5%	1.3%	3.8M	-52.9M	-4.0M	0.75	3.07	10,550	7,897	578,370	466,249
2012-04-17	$29.28	$28.00	22.1%	6.3%	23.6%	9.1%	22.3%	3.3%	1.4%	18.1M	-231.8M	-4.1M	0.20	3.59	49,639	10,030	581,042	465,464
2012-04-18	$29.13	$28.00	21.9%	6.3%	23.2%	8.7%	22.0%	3.9%	1.6%	12.4M	-170.0M	-4.0M	0.91	3.40	13,750	12,478	573,745	466,708
2012-04-19	$29.01	$28.00	21.5%	6.2%	21.8%	8.1%	21.0%	3.8%	1.7%	8.9M	-132.1M	-4.0M	1.13	4.35	23,442	26,568	576,381	471,627
2012-04-20	$28.88	$28.00	20.3%	5.8%	19.6%	6.1%	20.2%	3.8%	2.0%	4.5M	-61.8M	-4.0M	0.72	3.52	21,930	15,706	583,082	484,990
2012-04-23	$28.48	$28.00	22.2%	6.4%	20.2%	9.2%	21.7%	3.2%	1.5%	5.7M	-70.0M	-3.8M	0.94	2.96	18,887	17,725	422,518	384,262
2012-04-24	$28.69	$28.00	21.2%	6.1%	18.9%	7.6%	22.1%	4.2%	1.6%	6.8M	-101.8M	-3.9M	0.97	3.47	10,491	10,166	429,880	395,459
2012-04-25	$28.87	$28.00	19.9%	5.7%	18.9%	5.4%	20.5%	3.9%	1.7%	9.0M	-131.8M	-3.9M	0.32	3.90	17,150	5,490	433,342	397,025
2012-04-26	$29.02	$28.00	19.2%	5.5%	19.0%	4.2%	19.5%	3.0%	1.9%	11.4M	-173.8M	-3.9M	0.63	2.83	11,512	7,272	442,336	398,344
2012-04-27	$29.24	$28.00	19.1%	5.5%	19.2%	4.1%	19.0%	3.1%	1.7%	11.3M	-213.5M	-3.9M	0.63	4.45	19,849	12,520	435,061	398,322
2012-04-30	$29.40	$28.00	22.0%	5.7%	19.2%	8.9%	20.2%	3.3%	1.3%	13.0M	-237.4M	-3.9M	0.91	4.16	8,024	7,308	437,668	400,390