ORCL Options History — October 2012

In October 2012, ORCL traded between $30.48 and $31.90. ATM implied volatility averaged 21.1%, placing in the 18.5% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 2.1% (HV 20d: 19.0%). Max pain ranged from $31.00 to $32.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.95.

Notable Days

2012-10-01: Highest Volume — 62,657 contracts
2012-10-10: Largest IV drop — 22.7% change
2012-10-09: Highest IV Rank — 39.0%
2012-10-19: Largest Expected Move — 6.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$31.12	$30.48	$31.90	$31.67	$31.08
Max Pain	$31.19	$31.00	$32.00	$32.00	$31.00
ATM IV	21.1%	18.1%	26.0%	22.7%	24.2%
Expected Move	5.7%	5.0%	6.2%	5.1%	5.9%
HV 20d	19.0%	17.3%	21.8%	19.4%	17.3%
HV 60d	18.9%	16.9%	19.9%	19.9%	16.9%
IV Rank	18.5%	8.6%	39.0%	13.9%	32.2%
IV Percentile	22.7%	2.4%	59.1%	34.5%	55.6%
Term Structure	2.7%	1.5%	3.6%	1.9%	3.5%
VWIV	20.4%	18.3%	22.2%	18.4%	21.2%
Skew 25d	3.5%	2.1%	4.3%	3.3%	3.7%
Skew 10d	7.6%	3.3%	10.2%	8.1%	8.9%
Call IV 25d	18.7%	16.9%	20.2%	17.4%	19.1%
Put IV 25d	22.2%	19.5%	24.1%	20.7%	22.8%
Bid-Ask Spread %	6.81	2.22	13.20	2.22	13.20
Gamma HHI	0.13	0.11	0.16	0.13	0.13
Net GEX	11.6M	3.1M	18.2M	9.7M	15.8M
Net DEX	-223.6M	-413.6M	-55.6M	-329.5M	-250.4M
Net VEX	-3.6M	-4.0M	-3.4M	-3.9M	-3.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.95	0.45	2.24	1.67	1.04
Total Volume	27,589.238	13,813	62,657	62,657	26,459
Total OI	933,827.476	851,938	974,898	928,102	877,374

Daily Data (21 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
2012-10-01	$31.67	$32.00	22.7%	5.1%	19.4%	13.9%	18.4%	3.3%	1.9%	9.7M	-329.5M	-3.9M	1.67	2.22	23,438	39,219	489,569	438,533
2012-10-02	$31.65	$32.00	23.5%	5.3%	19.4%	15.6%	19.2%	3.1%	1.5%	9.7M	-314.5M	-4.0M	0.70	4.29	17,688	12,381	499,429	448,680
2012-10-03	$31.82	$32.00	22.0%	5.0%	18.6%	16.3%	18.3%	2.1%	1.9%	14.4M	-391.1M	-3.9M	0.68	3.14	11,123	7,585	506,898	447,162
2012-10-04	$31.90	$32.00	19.0%	5.1%	17.5%	10.8%	20.0%	2.5%	2.2%	15.1M	-413.6M	-4.0M	0.83	3.62	14,381	11,940	509,630	448,628
2012-10-05	$31.39	$31.00	20.1%	5.9%	18.3%	16.0%	20.2%	3.6%	2.8%	9.8M	-270.8M	-3.9M	2.24	5.87	14,723	32,993	515,589	452,419
2012-10-08	$31.18	$31.00	23.5%	5.9%	18.2%	29.4%	20.2%	3.4%	2.5%	9.6M	-218.8M	-3.7M	1.19	4.97	8,248	9,794	506,765	448,126
2012-10-09	$30.65	$31.00	26.0%	6.1%	18.9%	39.0%	21.6%	3.6%	2.1%	6.4M	-84.5M	-3.6M	0.90	5.44	15,738	14,191	509,350	451,311
2012-10-10	$30.58	$31.00	20.1%	6.0%	18.9%	16.1%	21.6%	3.3%	2.4%	7.0M	-61.8M	-3.6M	0.91	4.82	7,226	6,587	503,905	450,068
2012-10-11	$30.72	$31.00	20.8%	6.0%	18.4%	19.0%	22.2%	3.5%	2.4%	7.3M	-89.6M	-3.7M	0.86	6.55	10,321	8,854	504,944	450,199
2012-10-12	$31.00	$31.00	20.5%	5.9%	18.3%	17.6%	21.2%	3.6%	2.5%	3.1M	-159.9M	-3.6M	0.85	4.41	10,038	8,532	506,622	452,361
2012-10-15	$31.30	$31.00	20.3%	5.8%	18.7%	17.1%	19.8%	3.5%	2.6%	11.2M	-221.2M	-3.5M	0.93	6.55	12,831	11,878	505,317	449,988
2012-10-16	$31.87	$31.00	18.1%	5.2%	20.1%	8.6%	19.7%	3.4%	3.4%	11.1M	-403.3M	-3.7M	0.79	8.89	13,175	10,409	511,439	454,271
2012-10-17	$31.23	$31.00	19.6%	5.6%	21.1%	14.0%	18.9%	3.2%	3.0%	12.3M	-231.8M	-3.6M	0.83	5.39	20,849	17,234	516,474	458,424
2012-10-18	$31.12	$31.00	19.7%	5.6%	20.5%	14.4%	19.9%	3.6%	3.2%	11.4M	-189.3M	-3.5M	0.81	8.73	21,003	17,039	514,503	459,230
2012-10-19	$30.48	$31.00	21.5%	6.2%	21.3%	21.4%	21.0%	3.9%	2.7%	13.9M	-55.6M	-3.4M	0.84	7.82	21,029	17,599	518,930	452,921
2012-10-22	$30.80	$31.00	19.9%	5.7%	21.8%	15.3%	20.6%	3.9%	3.4%	13.7M	-202.3M	-3.4M	0.84	10.58	12,475	10,465	454,408	397,530
2012-10-23	$30.59	$31.00	20.8%	6.0%	19.4%	19.0%	22.1%	4.1%	3.0%	13.5M	-170.3M	-3.4M	0.93	11.54	13,358	12,460	461,798	401,012
2012-10-24	$30.60	$31.00	20.5%	5.9%	18.3%	17.6%	21.5%	4.3%	3.1%	13.8M	-161.5M	-3.5M	0.45	11.01	11,193	4,997	468,022	405,058
2012-10-25	$30.86	$31.00	20.5%	5.9%	17.6%	17.7%	20.7%	4.2%	3.3%	18.2M	-225.7M	-3.5M	0.66	5.02	11,100	7,352	472,324	406,292
2012-10-26	$30.99	$31.00	20.5%	5.8%	17.4%	17.9%	20.1%	3.9%	3.6%	15.9M	-250.9M	-3.4M	0.94	8.97	11,071	10,398	474,823	410,051
2012-10-31	$31.08	$31.00	24.2%	5.9%	17.3%	32.2%	21.2%	3.7%	3.5%	15.8M	-250.4M	-3.4M	1.04	13.20	12,996	13,463	469,830	407,544