ORCL Options History — May 2012

In May 2012, ORCL traded between $25.61 and $29.71. ATM implied volatility averaged 27.5%, placing in the 17.9% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 6.2% (HV 20d: 21.3%). Max pain ranged from $28.00 to $29.00. Net GEX was positive for 4 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.82.

Notable Days

  • 2012-05-18: Highest Volume — 56,933 contracts
  • 2012-05-29: Largest IV spike — 27.0% change
  • 2012-05-30: Highest IV Rank — 30.1%
  • 2012-05-18: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.18$25.61$29.71$29.57$26.47
Max Pain$28.50$28.00$29.00$28.00$28.00
ATM IV27.5%20.2%35.0%20.8%30.7%
Expected Move7.7%5.1%9.4%5.1%8.7%
HV 20d21.3%18.5%24.2%18.8%24.2%
HV 60d20.1%18.6%21.3%18.6%21.0%
IV Rank17.9%6.0%30.1%6.8%23.1%
IV Percentile46.7%9.1%72.2%12.3%59.9%
Term Structure2.5%1.2%3.4%1.8%2.5%
VWIV26.8%19.7%33.7%20.3%28.9%
Skew 25d4.8%3.2%6.9%3.2%4.8%
Skew 10d10.5%7.8%14.7%8.1%9.5%
Call IV 25d25.3%17.7%31.7%17.7%28.0%
Put IV 25d30.2%20.9%37.3%20.9%32.8%
Bid-Ask Spread %3.892.994.963.784.09
Gamma HHI0.140.110.220.200.11
Net GEX-2.0M-7.3M17.7M15.8M-4.7M
Net DEX144.8M-311.6M388.4M-285.2M218.6M
Net VEX-3.6M-4.0M-3.3M-3.9M-3.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.820.341.780.860.65
Total Volume31,559.6829,22756,93331,60523,880
Total OI890,607.636846,085924,608847,211922,699

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-05-01$29.57$28.0020.8%5.1%18.8%6.8%20.3%3.2%1.8%15.8M-285.2M-3.9M0.863.7816,94914,656444,760402,451
2012-05-02$29.71$28.0020.2%5.5%18.7%6.0%19.7%3.4%1.2%17.7M-311.6M-4.0M0.624.0827,39616,977452,435408,174
2012-05-03$29.38$28.0021.4%6.0%19.0%7.9%20.7%3.2%1.3%14.7M-238.2M-4.0M0.854.044,9854,242465,800413,857
2012-05-04$28.41$29.0024.3%7.0%21.8%12.7%23.4%4.8%2.7%3.0M-27.1M-3.9M1.124.8618,77221,072466,512415,260
2012-05-07$27.92$29.0026.4%7.0%21.7%16.1%25.2%4.2%2.9%-999.2K55.6M-3.7M0.694.8132,47122,440458,628414,287
2012-05-08$27.93$29.0026.3%7.0%20.2%15.9%24.9%4.3%3.2%-1.3M65.1M-3.8M0.663.1614,8349,720471,150423,902
2012-05-09$27.78$29.0023.5%7.1%20.1%11.4%25.5%4.3%3.1%-2.9M91.3M-3.7M0.343.5218,7126,299470,819425,291
2012-05-10$27.02$29.0025.9%7.4%20.8%15.2%26.1%4.1%3.0%-6.4M220.3M-3.5M0.473.8937,78117,771478,119427,514
2012-05-11$27.00$29.0025.9%7.4%20.7%15.2%25.7%4.3%3.3%-6.4M239.6M-3.5M0.443.4718,5758,138485,089432,767
2012-05-14$26.96$29.0027.3%7.8%20.5%17.6%27.2%4.3%2.6%-6.5M238.4M-3.5M1.643.147,34012,069469,799435,147
2012-05-15$27.06$29.0028.3%8.1%18.5%19.2%28.4%5.1%2.7%-6.3M224.6M-3.6M1.023.6614,18014,443472,179439,668
2012-05-16$26.72$29.0029.4%8.4%18.8%21.0%29.9%5.8%2.3%-6.0M269.0M-3.5M1.043.6810,50710,911476,911440,249
2012-05-17$26.25$29.0031.9%9.2%19.3%25.1%31.4%6.0%1.8%-6.5M329.8M-3.5M1.093.4312,14113,256480,872443,736
2012-05-18$25.61$29.0032.8%9.4%20.6%26.5%33.7%5.6%2.3%-7.2M388.4M-3.3M0.944.7029,28027,653485,000439,221
2012-05-21$26.26$28.0029.9%8.6%23.1%21.8%28.9%5.0%2.5%-5.8M245.0M-3.4M0.493.0116,1607,859437,522408,563
2012-05-22$26.36$28.0028.6%8.2%22.9%19.8%28.1%5.3%2.8%-5.9M237.3M-3.4M0.573.4918,65710,635442,864411,208
2012-05-23$26.68$28.0027.5%7.9%23.3%17.8%28.0%5.5%3.4%-4.0M186.4M-3.5M0.662.9921,15113,876449,423414,790
2012-05-24$26.12$28.0030.3%8.7%23.8%22.5%30.1%6.9%2.5%-5.8M266.2M-3.4M1.094.1312,73013,890458,071418,242
2012-05-25$26.14$28.0025.9%8.1%23.5%15.2%27.6%5.2%3.3%-7.3M271.4M-3.3M0.394.2922,2018,602461,985423,090
2012-05-29$26.46$28.0032.8%8.4%24.0%26.6%27.3%6.1%2.3%-6.2M237.0M-3.4M0.544.2926,20114,079466,469424,501
2012-05-30$26.17$28.0035.0%8.7%23.7%30.1%29.4%4.9%2.1%-5.5M264.3M-3.4M1.784.967,48713,335482,119432,225
2012-05-31$26.47$28.0030.7%8.7%24.2%23.1%28.9%4.8%2.5%-4.7M218.6M-3.5M0.654.0914,5179,363482,962439,737