ORCL Options History — December 2012

In December 2012, ORCL traded between $31.61 and $34.09. ATM implied volatility averaged 21.9%, placing in the 30.8% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 5.7% (HV 20d: 16.2%). Max pain ranged from $30.00 to $31.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.81.

Notable Days

  • 2012-12-19: Highest Volume — 207,481 contracts
  • 2012-12-12: Largest IV spike — 69.6% change
  • 2012-12-12: Highest IV Rank — 81.8%
  • 2012-12-05: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.72$31.61$34.09$32.31$33.32
Max Pain$30.55$30.00$31.00$31.00$31.00
ATM IV21.9%18.1%31.8%21.2%24.2%
Expected Move6.7%5.2%8.2%8.0%6.4%
HV 20d16.2%13.2%18.7%17.5%18.7%
HV 60d17.9%17.5%19.4%17.9%17.9%
IV Rank30.8%11.4%81.8%26.0%42.9%
IV Percentile36.8%2.0%93.7%28.2%67.5%
Term Structure-0.7%-4.4%2.5%-3.2%-0.3%
VWIV23.9%19.0%30.2%27.9%22.1%
Skew 25d3.7%2.8%4.6%3.4%4.6%
Skew 10d7.4%5.8%10.4%5.9%8.8%
Call IV 25d21.9%17.4%26.7%26.1%20.0%
Put IV 25d25.6%20.3%31.3%29.5%24.5%
Bid-Ask Spread %6.561.899.204.857.48
Gamma HHI0.220.160.300.180.28
Net GEX32.6M20.2M61.4M32.1M29.7M
Net DEX-536.9M-1.12B-199.0M-569.0M-482.8M
Net VEX-3.2M-3.5M-2.6M-3.5M-3.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.810.041.591.210.95
Total Volume56,679.5512,549207,48138,63742,958
Total OI1,021,737.5860,8281,158,0051,046,181886,189

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-12-03$32.31$31.0021.2%8.0%17.5%26.0%27.9%3.4%-3.2%32.1M-569.0M-3.5M1.214.8517,45121,186556,281489,900
2012-12-04$32.38$31.0021.9%8.2%17.5%30.0%29.4%3.6%-4.4%30.4M-530.3M-3.5M1.078.0618,66020,008545,204503,831
2012-12-05$32.00$31.0024.0%8.2%17.7%40.9%29.0%4.6%-4.1%25.0M-407.8M-3.5M1.038.0121,16821,786546,186510,571
2012-12-06$32.03$31.0020.6%8.1%14.5%23.8%30.2%4.6%-4.0%28.3M-431.7M-3.5M1.597.818,68313,781555,723510,065
2012-12-07$31.92$30.0019.6%6.8%13.6%18.8%24.7%3.7%-0.8%26.5M-394.2M-3.4M0.827.016,9125,637558,951515,410
2012-12-10$32.07$30.0022.2%7.0%13.6%31.6%26.2%3.5%-1.1%27.8M-443.0M-3.3M0.589.1311,7286,762555,399514,429
2012-12-11$32.34$30.0018.7%6.8%13.6%14.2%24.4%3.2%-0.7%35.0M-568.4M-3.2M0.047.61166,6116,992561,125518,246
2012-12-12$31.94$30.0031.8%6.8%14.0%81.8%23.5%3.8%-0.6%25.7M-285.1M-3.2M0.647.6019,81912,590506,276516,996
2012-12-13$31.61$30.0024.1%6.9%13.3%42.2%24.8%3.6%-0.9%20.2M-199.0M-3.2M0.937.328,3807,804516,407520,790
2012-12-14$31.96$30.0024.6%7.0%13.2%44.5%24.8%3.2%-1.1%25.8M-306.1M-3.1M0.447.7318,5678,153516,355523,220
2012-12-17$32.32$30.0025.2%7.2%13.5%47.9%25.8%3.7%-1.7%35.3M-427.6M-3.1M0.699.2028,87220,066520,721522,947
2012-12-18$32.88$30.0022.9%6.6%14.3%36.2%24.4%3.2%-0.7%44.8M-619.7M-3.0M0.833.1393,99578,355533,555533,562
2012-12-19$34.09$30.0018.3%5.3%18.2%12.4%19.1%2.8%1.9%61.4M-1.12B-2.6M0.271.89163,89543,586552,528552,370
2012-12-20$33.94$31.0018.4%5.3%18.6%12.7%19.0%3.1%2.5%51.4M-1.02B-3.2M0.856.2231,89126,994570,409561,015
2012-12-21$33.76$31.0018.9%5.4%18.4%15.5%19.5%2.9%2.4%39.6M-994.9M-3.2M0.566.0131,57017,664581,379576,626
2012-12-24$33.61$31.0018.1%5.2%18.7%11.4%19.2%3.7%1.4%31.4M-524.3M-3.2M1.292.557,1519,200432,324428,504
2012-12-26$33.61$31.0018.4%5.3%18.6%12.6%19.6%3.3%1.3%31.3M-532.3M-3.1M1.065.6411,54712,239434,739432,769
2012-12-27$33.27$31.0021.1%6.1%18.4%26.9%21.4%4.3%0.4%27.0M-450.4M-3.2M0.616.5436,65922,292439,240438,078
2012-12-28$33.02$31.0024.3%6.6%18.7%43.8%22.2%4.5%-0.4%23.8M-430.4M-3.2M0.817.4017,62314,356454,324442,106
2012-12-31$33.32$31.0024.2%6.4%18.7%42.9%22.1%4.6%-0.3%29.7M-482.8M-3.0M0.957.4822,05020,908442,553443,636