ORCL Options History — November 2012

In November 2012, ORCL traded between $29.58 and $32.17. ATM implied volatility averaged 22.5%, placing in the 25.8% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 4.4% (HV 20d: 18.1%). Max pain ranged from $30.00 to $31.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.85.

Notable Days

  • 2012-11-28: Highest Volume — 88,676 contracts
  • 2012-11-05: Largest IV spike — 21.1% change
  • 2012-11-05: Highest IV Rank — 41.0%
  • 2012-11-30: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.79$29.58$32.17$31.48$32.17
Max Pain$30.52$30.00$31.00$31.00$31.00
ATM IV22.5%19.9%26.5%20.3%20.1%
Expected Move6.7%5.7%7.6%5.7%7.6%
HV 20d18.1%16.0%20.1%18.0%17.9%
HV 60d17.6%16.6%18.3%17.0%18.1%
IV Rank25.8%15.3%41.0%17.1%17.8%
IV Percentile39.3%10.7%69.0%17.5%13.9%
Term Structure-0.4%-2.8%3.2%3.2%-2.8%
VWIV23.3%19.9%26.4%19.9%26.4%
Skew 25d4.0%2.9%4.9%3.6%3.0%
Skew 10d8.3%6.3%10.2%9.0%6.7%
Call IV 25d21.7%17.8%25.0%17.8%25.0%
Put IV 25d25.6%21.4%28.1%21.4%28.0%
Bid-Ask Spread %6.614.4710.9610.897.11
Gamma HHI0.150.130.360.150.17
Net GEX13.4M-25.1M29.2M20.7M29.2M
Net DEX-199.6M-534.2M88.0M-361.7M-534.2M
Net VEX-2.9M-3.4M-2.6M-3.2M-3.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.850.431.510.760.71
Total Volume36,583.42913,63488,67625,04577,711
Total OI917,753.857868,3061,019,648888,0701,019,648

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-11-01$31.48$31.0020.3%5.7%18.0%17.1%19.9%3.6%3.2%20.7M-361.7M-3.2M0.7610.8914,19310,852474,945413,125
2012-11-02$31.21$31.0021.9%5.8%18.1%23.1%20.2%3.7%3.0%18.7M-295.1M-3.3M0.7910.9614,43111,378480,451415,062
2012-11-05$31.25$30.0026.5%6.9%18.0%41.0%23.5%4.3%-0.6%20.4M-305.8M-3.2M0.756.348,9746,696482,437413,288
2012-11-06$31.63$30.0026.2%6.4%17.7%39.9%22.5%4.1%-0.0%24.9M-401.8M-3.2M1.106.137,4518,205487,187415,161
2012-11-07$30.79$31.0020.8%6.8%20.1%18.9%23.5%3.9%-0.3%16.0M-196.8M-3.1M1.228.3312,10914,733488,983419,170
2012-11-08$30.42$31.0021.1%7.2%19.6%20.2%24.0%4.2%-0.4%11.9M-112.9M-3.0M1.016.6516,16316,333488,248422,126
2012-11-09$30.35$31.0019.9%7.0%19.6%15.3%23.9%4.2%-0.3%9.6M-81.6M-3.0M0.726.2011,2248,129496,478430,546
2012-11-12$30.30$31.0021.0%7.0%19.5%19.5%24.2%4.4%-0.6%9.0M-75.7M-2.9M0.524.7211,9306,195491,172427,030
2012-11-13$30.02$31.0021.3%7.0%19.4%20.7%24.8%4.8%-0.6%4.8M-4.5M-2.8M0.886.3014,36912,675493,837428,783
2012-11-14$29.58$31.0022.0%7.1%19.4%23.5%24.9%4.4%-0.8%822.5K88.0M-2.7M0.644.4722,81214,587498,695433,268
2012-11-15$29.95$30.0025.3%7.3%18.7%36.4%25.6%4.9%-0.6%2.4M-6.7M-2.8M0.856.9922,26318,850499,449434,447
2012-11-16$30.00$31.0023.3%6.7%17.6%28.7%23.1%4.4%0.1%-25.1M-4.2M-2.7M0.516.1922,92511,786497,705443,431
2012-11-19$30.14$30.0021.9%6.3%17.8%23.3%21.0%3.7%-0.2%11.4M-79.2M-2.6M0.765.1427,32520,661466,891401,415
2012-11-20$30.20$30.0021.8%6.2%16.3%22.6%21.4%3.7%-0.0%8.1M-78.7M-2.6M0.665.2015,37810,212470,463412,693
2012-11-21$30.40$30.0022.5%6.4%16.0%25.4%22.1%4.0%-0.7%11.2M-124.8M-2.7M1.286.5610,14813,018478,456414,877
2012-11-23$30.92$30.0021.3%6.1%17.0%21.0%22.5%4.5%-0.0%17.8M-235.4M-2.8M0.435.459,5154,119482,736419,104
2012-11-26$30.96$30.0022.6%6.5%17.0%25.7%23.4%3.8%-0.9%17.6M-223.0M-2.7M1.075.5716,14517,270478,891414,259
2012-11-27$31.22$30.0023.2%6.7%17.0%28.1%22.7%3.6%-1.3%21.3M-291.5M-2.8M1.516.3024,02336,281485,645426,665
2012-11-28$31.80$30.0024.3%7.0%18.1%35.4%25.1%3.4%-2.2%25.7M-426.7M-3.0M1.066.9743,05445,622494,717443,009
2012-11-29$31.84$31.0025.1%7.2%18.1%39.0%25.1%2.9%-2.5%24.8M-438.5M-3.2M0.566.3150,17628,331517,710470,628
2012-11-30$32.17$31.0020.1%7.6%17.9%17.8%26.4%3.0%-2.8%29.2M-534.2M-3.4M0.717.1145,51332,198540,394479,254