ORCL Options History — June 2012

In June 2012, ORCL traded between $26.00 and $29.70. ATM implied volatility averaged 26.0%, placing in the 15.5% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded below realized volatility by 0.0% (HV 20d: 26.1%). Max pain ranged from $26.00 to $28.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 1.09.

Notable Days

  • 2012-06-19: Highest Volume — 103,707 contracts
  • 2012-06-29: Largest IV drop — 30.4% change
  • 2012-06-04: Highest IV Rank — 30.4%
  • 2012-06-04: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.48$26.00$29.70$26.00$29.70
Max Pain$26.90$26.00$28.00$28.00$27.00
ATM IV26.0%15.9%35.2%32.9%15.9%
Expected Move7.9%5.3%10.0%9.4%5.3%
HV 20d26.1%22.7%31.0%24.5%31.0%
HV 60d22.9%21.1%26.3%21.1%26.3%
IV Rank15.5%0.0%30.4%26.6%0.0%
IV Percentile37.8%0.0%72.6%66.7%0.0%
Term Structure0.7%-1.8%3.1%2.1%3.1%
VWIV28.4%21.3%37.3%33.4%21.3%
Skew 25d5.9%4.2%7.7%5.0%4.5%
Skew 10d12.2%6.7%16.1%10.2%10.9%
Call IV 25d25.2%17.7%31.8%31.8%17.7%
Put IV 25d31.0%22.2%38.8%36.7%22.2%
Bid-Ask Spread %3.712.554.934.253.59
Gamma HHI0.140.110.280.130.14
Net GEX128.3K-16.2M12.1M-7.2M12.1M
Net DEX26.5M-339.9M268.1M268.1M-339.9M
Net VEX-3.6M-3.8M-3.4M-3.4M-3.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.090.552.700.550.56
Total Volume39,980.33311,533103,70732,94650,232
Total OI859,319.714681,1111,015,819928,613754,008

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-06-01$26.00$28.0032.9%9.4%24.5%26.6%33.4%5.0%2.1%-7.2M268.1M-3.4M0.554.2521,31411,632490,026438,587
2012-06-04$26.20$26.0035.2%10.0%22.7%30.4%37.3%7.4%-0.3%-6.1M262.9M-3.4M1.684.5317,02228,575491,862440,182
2012-06-05$26.71$26.0033.0%9.1%23.6%26.9%31.7%7.2%0.6%-5.5M186.9M-3.5M0.582.7635,20720,422490,537448,694
2012-06-06$27.53$26.0025.8%8.6%26.2%15.0%31.2%7.1%0.5%-1.8M33.3M-3.7M0.693.9429,86120,685503,157452,414
2012-06-07$27.18$27.0026.1%8.8%26.5%15.5%30.3%6.5%0.4%-3.9M98.4M-3.5M0.962.9020,22619,431511,541456,077
2012-06-08$27.16$27.0025.1%8.8%24.6%13.9%30.6%6.5%0.2%-6.9M120.1M-3.5M1.133.368,5019,579514,588465,676
2012-06-11$26.81$27.0027.8%9.1%25.1%18.4%32.2%6.9%-0.3%-9.0M195.4M-3.4M0.963.5714,97914,344514,183462,393
2012-06-12$27.03$27.0026.1%8.8%25.2%15.5%31.0%6.8%0.1%-8.2M143.0M-3.4M2.163.219,24819,964516,864468,098
2012-06-13$27.02$27.0026.0%9.3%25.2%15.4%33.6%7.7%-0.6%-10.4M156.9M-3.5M1.733.0015,53526,807516,288478,225
2012-06-14$26.91$27.0033.3%9.5%24.8%27.4%33.1%7.2%-1.5%-16.2M197.4M-3.5M1.543.3918,97729,264519,787488,549
2012-06-15$27.70$27.0028.6%8.2%25.8%19.7%30.6%6.4%0.2%1.9M5.2M-3.5M1.203.6832,58739,187526,097489,722
2012-06-18$27.12$27.0029.1%8.3%25.3%20.4%30.2%5.7%-1.8%2.8M12.5M-3.4M1.032.5525,40226,123349,476331,635
2012-06-19$27.96$27.0022.4%6.4%26.0%9.5%22.9%4.2%0.7%7.2M-100.3M-3.5M0.634.1063,46640,241356,933343,399
2012-06-20$28.49$27.0022.3%6.4%26.6%9.4%22.9%4.7%1.4%11.4M-189.9M-3.6M1.134.1628,41732,182379,565349,792
2012-06-21$27.81$27.0023.4%6.7%28.2%11.1%24.1%5.2%1.2%7.3M-68.0M-3.8M0.573.6712,3447,045389,288370,333
2012-06-22$28.00$27.0021.9%6.3%26.9%8.7%23.3%4.4%1.7%7.6M-100.5M-3.7M0.654.5517,86111,520383,210367,936
2012-06-25$27.62$27.0023.4%6.7%27.5%11.1%25.1%5.1%1.2%5.3M-35.5M-3.6M2.704.075,81915,739373,038361,309
2012-06-26$27.83$27.0023.3%6.7%27.4%11.0%24.1%5.1%1.6%5.8M-60.7M-3.7M0.614.937,1624,371374,462372,264
2012-06-27$28.17$27.0022.3%6.4%27.1%9.3%22.5%4.8%2.0%8.3M-115.3M-3.7M0.712.917,7625,513377,087374,168
2012-06-28$28.17$27.0022.9%6.6%27.0%10.4%24.3%5.1%1.7%8.4M-113.1M-3.7M1.154.766,9978,044379,301374,963
2012-06-29$29.70$27.0015.9%5.3%31.0%0.0%21.3%4.5%3.1%12.1M-339.9M-3.8M0.563.5932,11118,121378,720375,288