ORCL Options History — July 2012

In July 2012, ORCL traded between $28.82 and $30.87. ATM implied volatility averaged 22.7%, placing in the 10.9% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded below realized volatility by 6.1% (HV 20d: 28.7%). Max pain ranged from $27.00 to $30.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.20.

Notable Days

  • 2012-07-18: Highest Volume — 62,856 contracts
  • 2012-07-30: Largest IV spike — 18.9% change
  • 2012-07-31: Highest IV Rank — 24.0%
  • 2012-07-24: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.77$28.82$30.87$29.80$30.20
Max Pain$29.00$27.00$30.00$27.00$30.00
ATM IV22.7%18.2%30.8%18.2%30.8%
Expected Move6.3%5.3%7.4%5.3%7.1%
HV 20d28.7%23.9%31.1%31.1%24.4%
HV 60d26.1%25.1%27.6%26.1%26.8%
IV Rank10.9%3.7%24.0%3.7%24.0%
IV Percentile22.5%1.6%60.7%1.6%60.7%
Term Structure3.1%2.1%3.9%3.1%2.4%
VWIV23.1%19.1%27.9%20.5%27.9%
Skew 25d5.1%3.8%7.2%4.5%5.6%
Skew 10d11.7%7.6%17.3%11.8%12.4%
Call IV 25d20.4%17.2%22.9%18.1%22.7%
Put IV 25d25.4%21.0%29.6%22.7%28.3%
Bid-Ask Spread %3.441.855.433.043.62
Gamma HHI0.150.110.180.150.11
Net GEX10.5M2.7M15.0M13.2M8.4M
Net DEX-281.8M-510.1M-84.6M-339.7M-277.3M
Net VEX-3.7M-3.9M-3.6M-3.7M-3.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.200.373.383.381.47
Total Volume37,614.38111,76162,85647,59527,363
Total OI811,893.19761,553867,603761,553850,589

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-07-02$29.80$27.0018.2%5.3%31.1%3.7%20.5%4.5%3.1%13.2M-339.7M-3.7M3.383.0410,86436,731381,655379,898
2012-07-03$29.97$27.0018.6%5.3%30.7%4.3%20.2%3.8%2.7%13.2M-377.5M-3.7M0.723.337,0675,073386,066401,483
2012-07-05$29.72$27.0019.5%5.3%29.6%5.8%19.1%4.4%2.4%13.2M-323.8M-3.8M0.372.6921,1807,914388,738403,234
2012-07-06$29.18$28.0022.4%6.6%30.1%10.4%23.0%4.8%3.1%11.2M-232.7M-3.8M1.025.4310,98811,263387,156405,217
2012-07-09$29.10$28.0025.5%6.7%30.2%15.4%23.8%4.9%3.2%11.9M-226.1M-3.7M0.973.395,9705,791384,832405,143
2012-07-10$29.05$28.0025.2%6.5%29.6%15.0%22.3%5.0%3.2%11.9M-213.7M-3.6M0.723.3719,31713,837384,203406,980
2012-07-11$29.23$28.0021.4%6.4%29.6%8.9%22.1%4.8%3.4%13.2M-232.7M-3.7M1.373.539,58613,116384,241413,692
2012-07-12$28.82$29.0022.1%6.3%30.2%10.0%24.2%5.0%3.4%10.1M-156.6M-3.6M1.822.649,97318,154388,530420,311
2012-07-13$29.58$29.0019.9%5.7%31.1%6.5%22.1%4.3%3.8%14.8M-300.9M-3.6M0.731.8521,60115,749390,824423,109
2012-07-16$29.52$29.0021.1%6.0%29.9%8.4%21.3%5.0%3.3%15.0M-297.6M-3.6M1.863.5915,55728,916393,913420,006
2012-07-17$29.92$29.0022.0%6.3%28.6%9.8%21.9%4.0%2.8%14.1M-360.6M-3.6M1.213.6226,82232,486396,869434,551
2012-07-18$30.50$30.0021.6%6.2%27.6%9.2%22.1%3.8%3.4%12.0M-453.5M-3.6M0.674.2637,67925,177401,487445,054
2012-07-19$30.87$30.0019.9%5.7%27.2%6.5%21.2%4.1%3.9%11.9M-510.1M-3.6M0.593.2318,27110,693409,448453,261
2012-07-20$30.12$30.0021.8%6.3%27.2%9.5%22.5%4.6%3.8%10.7M-351.9M-3.8M1.803.1918,39433,118410,337457,266
2012-07-23$29.65$30.0023.9%6.8%28.1%12.8%24.9%5.3%2.6%3.8M-151.4M-3.8M0.723.9822,67216,259364,405416,054
2012-07-24$29.32$30.0025.8%7.4%27.9%15.9%26.8%6.4%2.1%3.3M-103.4M-3.8M1.373.0120,92628,603372,407419,845
2012-07-25$29.26$30.0025.3%7.3%27.9%15.2%25.7%7.2%2.1%2.7M-84.6M-3.9M1.803.6012,44122,343379,952434,302
2012-07-26$30.00$30.0022.9%6.6%28.9%11.2%24.8%5.5%2.9%9.3M-231.5M-3.8M0.862.9417,93415,447382,093436,616
2012-07-27$30.77$30.0021.9%6.1%29.9%9.7%23.0%6.7%3.5%9.2M-373.1M-3.8M1.344.0125,15233,623386,062434,078
2012-07-30$30.58$30.0026.1%6.3%23.9%16.5%25.6%6.5%3.2%8.4M-319.5M-3.8M0.453.8638,40917,443382,314433,536
2012-07-31$30.20$30.0030.8%7.1%24.4%24.0%27.9%5.6%2.4%8.4M-277.3M-3.9M1.473.6211,09716,266409,813440,776