ORCL Options History — January 2013

In January 2013, ORCL traded between $34.31 and $35.78. ATM implied volatility averaged 16.9%, placing in the 7.0% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded below realized volatility by 3.8% (HV 20d: 20.7%). Max pain ranged from $31.00 to $35.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.84.

Notable Days

  • 2013-01-18: Highest Volume — 94,999 contracts
  • 2013-01-28: Largest IV spike — 17.7% change
  • 2013-01-30: Highest IV Rank — 22.7%
  • 2013-01-07: Largest Expected Move — 5.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.90$34.31$35.78$34.69$35.51
Max Pain$34.14$31.00$35.00$31.00$35.00
ATM IV16.9%15.0%19.6%19.3%16.4%
Expected Move4.7%4.3%5.4%4.6%4.5%
HV 20d20.7%12.2%23.7%23.1%12.2%
HV 60d18.6%17.9%19.8%19.6%18.0%
IV Rank7.0%0.0%22.7%17.4%7.0%
IV Percentile3.4%0.0%19.0%9.5%4.0%
Term Structure1.5%0.9%2.3%1.8%1.0%
VWIV16.9%15.0%18.5%17.2%16.6%
Skew 25d2.8%2.4%3.2%2.4%2.9%
Skew 10d6.8%5.2%8.9%6.6%7.1%
Call IV 25d15.5%14.2%17.1%15.5%15.4%
Put IV 25d18.3%16.8%20.2%17.9%18.3%
Bid-Ask Spread %5.332.788.426.726.96
Gamma HHI0.380.230.740.410.23
Net GEX41.2M13.2M69.0M48.8M17.9M
Net DEX-650.5M-958.5M-268.8M-852.6M-376.1M
Net VEX-2.8M-3.0M-2.7M-2.9M-2.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.840.341.350.510.87
Total Volume32,645.42913,02394,99952,35324,671
Total OI743,383406,253953,064903,010458,429

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-01-02$34.69$31.0019.3%4.6%23.1%17.4%17.2%2.4%1.8%48.8M-852.6M-2.9M0.516.7234,62917,724454,523448,487
2013-01-03$34.31$31.0017.8%5.1%23.7%9.8%17.6%2.9%1.7%46.4M-734.4M-2.9M0.798.4236,74928,853451,870450,869
2013-01-04$34.61$34.0017.5%5.2%23.1%8.3%18.1%2.9%1.2%43.7M-830.2M-3.0M0.585.7026,38315,362461,971462,353
2013-01-07$34.43$34.0018.9%5.4%23.4%15.6%18.5%3.0%1.0%53.7M-764.9M-2.9M0.483.7713,6426,589460,513455,081
2013-01-08$34.44$34.0017.8%5.2%23.2%9.5%18.3%2.8%1.3%62.4M-785.6M-2.9M1.194.605,9567,067467,741457,602
2013-01-09$34.46$34.0016.8%5.3%23.3%4.6%18.4%2.9%1.3%55.3M-784.7M-2.9M1.044.7712,53613,028466,112460,387
2013-01-10$34.91$35.0017.4%5.0%23.4%7.7%17.8%2.9%1.5%56.2M-932.1M-2.9M1.335.149,61512,781467,994467,236
2013-01-11$34.86$35.0017.2%4.9%22.7%6.5%17.9%3.1%1.6%58.0M-894.0M-2.9M1.014.3411,47411,552470,142475,782
2013-01-14$34.96$34.0017.0%4.9%22.1%5.6%17.6%2.7%1.6%58.2M-939.4M-2.8M0.763.889,7507,413468,189476,526
2013-01-15$34.70$35.0016.2%4.6%22.4%1.3%16.8%2.8%2.1%64.7M-850.9M-2.8M0.465.6814,0426,498469,937478,838
2013-01-16$34.64$34.0015.4%4.4%22.3%0.0%16.2%2.8%2.3%69.0M-796.3M-2.8M0.644.9821,23213,591471,965480,553
2013-01-17$34.62$34.0015.4%4.4%21.8%0.0%17.7%3.2%2.1%51.2M-788.6M-2.8M0.614.6637,95323,316468,641484,423
2013-01-18$35.11$34.0015.2%4.3%18.4%0.0%15.3%2.6%2.0%68.2M-958.5M-2.8M0.346.7071,02523,974459,860492,849
2013-01-22$34.93$34.0015.0%4.3%18.4%0.0%15.0%2.9%1.7%13.2M-290.8M-2.7M0.646.6315,6399,986222,822183,431
2013-01-23$34.69$34.0015.1%4.3%18.5%0.4%15.2%2.8%1.1%14.3M-268.8M-2.7M0.866.3614,36812,297230,186185,549
2013-01-24$34.94$35.0015.1%4.3%18.5%0.4%15.1%2.5%1.3%15.4M-306.3M-2.8M0.746.1116,23211,958236,218190,940
2013-01-25$35.38$35.0015.2%4.5%18.8%1.1%16.0%2.6%1.0%16.1M-362.9M-2.8M1.352.879,64812,983241,423196,306
2013-01-28$35.54$35.0017.9%4.3%18.2%14.5%16.9%2.9%1.1%17.4M-376.9M-2.8M0.702.7814,44510,084240,004195,832
2013-01-29$35.78$35.0018.0%4.3%17.8%14.6%16.3%2.8%1.1%18.0M-413.0M-2.8M1.334.829,74912,933246,885199,681
2013-01-30$35.38$35.0019.6%4.8%18.5%22.7%16.6%2.9%0.9%17.4M-353.4M-2.9M1.356.077,58010,247249,507203,386
2013-01-31$35.51$35.0016.4%4.5%12.2%7.0%16.6%2.9%1.0%17.9M-376.1M-2.8M0.876.9613,15911,512251,873206,556