ORCL Options History — September 2012

In September 2012, ORCL traded between $30.73 and $33.10. ATM implied volatility averaged 22.4%, placing in the 13.3% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 6.8% (HV 20d: 15.5%). Max pain ranged from $30.00 to $32.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 1.01.

Notable Days

2012-09-20: Highest Volume — 299,022 contracts
2012-09-12: Largest IV spike — 57.7% change
2012-09-12: Highest IV Rank — 35.0%
2012-09-04: Largest Expected Move — 8.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$32.21	$30.73	$33.10	$31.57	$31.46
Max Pain	$31.68	$30.00	$32.00	$30.00	$32.00
ATM IV	22.4%	18.3%	32.8%	22.0%	21.8%
Expected Move	6.7%	5.2%	8.0%	8.0%	6.0%
HV 20d	15.5%	13.9%	20.2%	14.1%	20.0%
HV 60d	22.0%	19.7%	24.0%	23.8%	20.3%
IV Rank	13.3%	4.9%	35.0%	12.5%	12.1%
IV Percentile	27.2%	3.2%	77.4%	22.6%	23.8%
Term Structure	-0.0%	-3.8%	3.7%	-2.0%	1.3%
VWIV	24.1%	18.5%	29.8%	29.8%	21.5%
Skew 25d	4.0%	2.1%	5.5%	5.3%	3.8%
Skew 10d	8.8%	5.1%	12.4%	12.4%	9.3%
Call IV 25d	21.8%	17.6%	26.5%	26.4%	19.0%
Put IV 25d	25.8%	19.7%	31.7%	31.7%	22.8%
Bid-Ask Spread %	4.15	1.88	8.89	8.89	4.77
Gamma HHI	0.18	0.11	0.28	0.16	0.11
Net GEX	18.6M	3.4M	33.5M	16.8M	5.2M
Net DEX	-554.8M	-828.3M	-50.2M	-459.5M	-258.2M
Net VEX	-3.7M	-4.1M	-3.5M	-3.8M	-4.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.01	0.46	1.58	0.70	1.31
Total Volume	79,576.526	23,563	299,022	23,563	57,265
Total OI	982,557.526	892,791	1,224,973	910,119	948,439

Daily Data (19 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
2012-09-04	$31.57	$30.00	22.0%	8.0%	14.1%	12.5%	29.8%	5.3%	-2.0%	16.8M	-459.5M	-3.8M	0.70	8.89	13,898	9,665	463,733	446,386
2012-09-05	$32.07	$30.00	22.8%	8.0%	14.1%	14.1%	28.5%	4.5%	-2.1%	19.8M	-574.1M	-3.7M	1.40	8.51	21,120	29,670	468,567	448,343
2012-09-06	$32.63	$30.00	20.3%	7.9%	14.5%	9.1%	28.6%	4.2%	-3.8%	21.4M	-684.9M	-3.7M	0.66	2.38	51,742	34,074	475,279	455,320
2012-09-07	$32.60	$32.00	19.1%	6.5%	14.4%	6.4%	27.7%	5.3%	1.2%	23.6M	-687.9M	-3.8M	1.39	2.76	18,216	25,286	492,725	469,998
2012-09-10	$32.31	$32.00	22.6%	7.0%	14.8%	13.8%	25.5%	5.5%	0.4%	22.2M	-624.5M	-3.6M	0.97	3.33	13,875	13,493	490,211	465,306
2012-09-11	$32.32	$32.00	20.8%	7.0%	14.4%	10.1%	25.8%	5.2%	0.3%	22.5M	-627.3M	-3.6M	1.45	2.65	11,780	17,053	493,415	469,605
2012-09-12	$32.26	$32.00	32.8%	6.9%	14.4%	35.0%	23.7%	4.8%	0.4%	22.3M	-623.9M	-3.5M	0.99	4.82	33,627	33,307	496,686	476,431
2012-09-13	$32.62	$32.00	22.6%	6.5%	14.7%	13.7%	24.6%	4.2%	0.5%	25.6M	-719.0M	-3.6M	1.51	5.04	38,500	58,209	516,154	500,987
2012-09-14	$32.95	$32.00	23.4%	6.7%	14.2%	15.4%	22.9%	3.6%	0.2%	33.5M	-815.7M	-3.7M	0.90	4.09	31,991	28,819	526,724	521,114
2012-09-17	$33.10	$32.00	24.1%	6.9%	14.2%	16.8%	24.0%	4.0%	-0.6%	25.2M	-828.3M	-3.5M	0.46	3.38	29,041	13,234	512,796	505,205
2012-09-18	$33.02	$32.00	23.6%	6.8%	14.1%	15.8%	23.6%	3.5%	-0.3%	25.2M	-810.8M	-3.5M	0.74	3.80	27,921	20,759	517,668	511,290
2012-09-19	$32.78	$32.00	23.8%	6.8%	13.9%	16.3%	24.3%	3.0%	-0.8%	24.7M	-747.3M	-3.5M	0.77	2.79	40,720	31,510	528,324	522,766
2012-09-20	$32.26	$32.00	26.9%	7.7%	15.2%	22.7%	26.9%	4.8%	-2.5%	20.2M	-585.0M	-3.7M	1.07	7.25	144,244	154,778	538,750	534,194
2012-09-21	$32.47	$32.00	18.3%	5.2%	15.2%	4.9%	18.5%	2.1%	3.7%	17.1M	-647.4M	-4.0M	0.65	1.88	114,099	73,666	610,326	614,647
2012-09-24	$32.23	$32.00	19.8%	5.7%	15.1%	7.9%	20.0%	2.5%	0.4%	10.2M	-402.9M	-3.9M	0.57	3.02	22,418	12,851	465,193	427,598
2012-09-25	$31.30	$32.00	20.6%	5.9%	18.4%	9.7%	20.2%	2.8%	0.3%	5.9M	-191.6M	-3.9M	1.31	2.59	57,355	75,341	475,004	430,655
2012-09-26	$30.73	$32.00	19.9%	5.7%	19.3%	8.2%	20.8%	3.8%	1.4%	3.4M	-50.2M	-3.9M	1.58	2.41	31,108	49,212	485,428	442,210
2012-09-27	$31.22	$32.00	20.0%	5.7%	20.2%	8.3%	20.2%	3.0%	1.4%	9.1M	-201.9M	-3.9M	0.83	4.52	39,371	32,736	490,142	430,974
2012-09-28	$31.46	$32.00	21.8%	6.0%	20.0%	12.1%	21.5%	3.8%	1.3%	5.2M	-258.2M	-4.1M	1.31	4.77	24,782	32,483	501,557	446,882