ORCL Options History — August 2012

In August 2012, ORCL traded between $29.92 and $32.20. ATM implied volatility averaged 22.9%, placing in the 13.5% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 1.4% (HV 20d: 21.5%). Max pain ranged from $29.00 to $30.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 17 of 23 days. Put/call ratio averaged 1.05.

Notable Days

  • 2012-08-17: Highest Volume — 76,845 contracts
  • 2012-08-31: Largest IV drop — 38.6% change
  • 2012-08-01: Highest IV Rank — 25.5%
  • 2012-08-30: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.43$29.92$32.20$30.32$31.65
Max Pain$29.70$29.00$30.00$30.00$30.00
ATM IV22.9%16.1%31.7%31.7%16.8%
Expected Move7.0%5.7%7.8%7.0%7.3%
HV 20d21.5%14.3%26.2%24.4%14.3%
HV 60d25.5%23.8%27.1%26.5%23.8%
IV Rank13.5%0.4%25.5%25.5%1.8%
IV Percentile29.1%0.4%62.3%62.3%1.2%
Term Structure1.0%-0.8%4.5%2.4%-0.5%
VWIV25.2%21.7%29.9%26.1%26.4%
Skew 25d4.5%3.7%5.3%5.0%5.1%
Skew 10d9.1%7.3%12.8%12.8%10.3%
Call IV 25d22.7%19.7%25.3%22.4%23.9%
Put IV 25d27.1%23.3%30.0%27.4%29.0%
Bid-Ask Spread %5.373.6010.273.6210.27
Gamma HHI0.140.110.170.120.17
Net GEX16.0M6.7M21.9M9.1M17.5M
Net DEX-481.4M-676.4M-210.1M-296.0M-480.6M
Net VEX-3.7M-3.9M-3.5M-3.9M-3.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.050.422.342.340.79
Total Volume26,957.04313,88076,84538,20526,968
Total OI889,898.783841,307921,719859,812909,467

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-08-01$30.32$30.0031.7%7.0%24.4%25.5%26.1%5.0%2.4%9.1M-296.0M-3.9M2.343.6211,44426,761412,424447,388
2012-08-02$29.92$30.0023.5%6.7%24.7%12.2%24.9%5.3%3.1%6.7M-210.1M-3.9M1.154.0711,95813,810415,760454,481
2012-08-03$30.72$30.0019.2%5.7%25.3%5.3%21.7%3.7%4.5%12.1M-372.4M-3.8M0.423.9526,31410,986418,890459,893
2012-08-06$31.00$29.0023.5%7.1%25.3%12.3%24.6%5.0%1.1%14.9M-442.9M-3.8M0.677.0416,96411,350426,923452,999
2012-08-07$31.50$29.0025.6%7.2%25.6%15.7%24.8%4.9%0.8%16.8M-541.9M-3.7M1.116.2012,69214,091432,921457,805
2012-08-08$31.16$29.0021.1%7.3%26.2%10.6%25.2%4.8%0.9%14.5M-471.2M-3.7M2.216.087,00515,509434,977463,829
2012-08-09$31.37$29.0020.1%7.1%25.4%8.7%25.5%4.4%1.1%15.6M-512.7M-3.7M0.944.8910,86410,177435,808470,777
2012-08-10$31.61$29.0016.1%6.6%24.1%0.4%25.0%4.3%1.7%16.6M-539.9M-3.8M0.973.6012,33012,017437,139472,723
2012-08-13$31.36$29.0020.2%6.9%24.3%8.9%24.6%4.4%1.6%17.6M-516.0M-3.6M1.234.627,1538,781431,998467,848
2012-08-14$31.35$29.0020.5%7.2%24.0%9.5%24.7%4.9%1.0%16.9M-500.2M-3.6M0.904.6915,18513,652432,995471,150
2012-08-15$31.55$30.0018.1%6.5%23.3%4.6%24.1%4.8%2.3%18.2M-550.3M-3.6M0.534.8310,8815,731435,491477,253
2012-08-16$32.03$30.0023.7%6.8%23.5%16.1%24.6%4.0%1.8%21.9M-654.7M-3.5M0.816.2523,60819,048439,392469,412
2012-08-17$32.20$30.0023.0%6.6%21.3%14.6%24.3%4.1%1.9%18.9M-676.4M-3.5M0.826.7442,11434,731443,974477,745
2012-08-20$32.04$30.0023.3%6.7%20.3%15.2%25.4%4.2%0.5%17.4M-543.8M-3.7M1.224.388,36010,161425,609415,698
2012-08-21$31.75$30.0023.8%6.8%20.2%16.3%25.0%4.3%0.1%16.7M-495.3M-3.8M1.185.4114,42316,959430,881421,141
2012-08-22$31.70$30.0023.9%6.9%20.1%16.5%24.5%4.4%-0.2%16.8M-483.9M-3.8M1.355.8514,84519,986436,027425,331
2012-08-23$31.59$30.0024.0%6.9%18.7%16.6%25.6%4.3%0.2%15.7M-460.5M-3.8M1.054.588,5528,943445,400440,198
2012-08-24$31.95$30.0023.9%6.8%17.0%16.5%24.6%4.2%0.2%19.9M-531.1M-3.8M0.714.638,0985,782448,890443,892
2012-08-27$31.83$30.0024.4%7.0%16.9%17.5%24.6%3.9%-0.5%17.9M-510.0M-3.8M1.035.288,7508,973447,450440,759
2012-08-28$31.58$30.0025.1%7.2%16.4%19.0%26.6%3.7%-0.5%16.8M-456.9M-3.8M1.335.046,9669,246449,537442,862
2012-08-29$31.49$30.0026.7%7.7%16.5%22.3%29.9%4.2%-0.6%15.9M-442.7M-3.8M0.704.9110,4937,366451,987446,824
2012-08-30$31.17$30.0027.3%7.8%16.2%23.6%26.3%4.7%-0.8%14.0M-382.2M-3.8M0.616.5712,4247,561457,815445,909
2012-08-31$31.65$30.0016.8%7.3%14.3%1.8%26.4%5.1%-0.5%17.5M-480.6M-3.8M0.7910.2715,07211,896463,195446,272