ORCL Options History — February 2013

In February 2013, ORCL traded between $34.24 and $36.21. ATM implied volatility averaged 19.9%, placing in the 24.2% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 1.0% (HV 20d: 18.9%). Max pain ranged from $33.00 to $34.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 0.91.

Notable Days

  • 2013-02-04: Highest Volume — 51,951 contracts
  • 2013-02-25: Largest IV spike — 37.0% change
  • 2013-02-25: Highest IV Rank — 58.5%
  • 2013-02-25: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.90$34.24$36.21$36.21$34.24
Max Pain$33.79$33.00$34.00$33.00$34.00
ATM IV19.9%16.4%26.8%16.4%21.6%
Expected Move5.5%4.9%6.9%4.9%6.0%
HV 20d18.9%12.9%21.1%12.9%21.1%
HV 60d18.8%18.3%19.5%18.3%19.4%
IV Rank24.2%6.8%58.5%6.8%32.5%
IV Percentile28.0%4.0%88.1%4.0%46.4%
Term Structure2.8%1.1%3.8%2.5%2.9%
VWIV19.6%17.2%22.8%17.2%20.2%
Skew 25d4.2%3.3%5.2%3.3%4.5%
Skew 10d9.3%6.5%12.3%6.5%11.6%
Call IV 25d17.8%15.7%21.6%15.7%19.1%
Put IV 25d22.0%18.9%26.6%18.9%23.6%
Bid-Ask Spread %7.192.8411.212.849.19
Gamma HHI0.220.190.260.230.25
Net GEX13.5M10.2M19.4M18.3M10.8M
Net DEX-286.6M-481.0M-189.9M-481.0M-189.9M
Net VEX-3.1M-3.2M-2.8M-2.8M-3.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.910.272.250.491.17
Total Volume26,852.57911,96651,95145,37416,502
Total OI512,009.105465,516546,419465,516535,135

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-02-01$36.21$33.0016.4%4.9%12.9%6.8%17.2%3.3%2.5%18.3M-481.0M-2.8M0.492.8430,52514,849254,344211,172
2013-02-04$35.13$33.0021.5%5.3%17.2%32.3%18.5%4.1%1.9%17.8M-316.3M-2.9M0.686.8530,87521,076262,523213,321
2013-02-05$35.48$33.0019.8%5.3%17.4%23.6%18.6%3.7%2.3%19.4M-378.1M-3.0M0.737.269,3446,797271,751219,459
2013-02-06$35.10$33.0017.8%5.5%17.9%14.0%20.2%4.2%2.2%14.2M-307.6M-3.0M1.197.2215,79718,780274,461221,803
2013-02-07$34.56$34.0019.4%5.6%18.8%22.0%20.5%4.3%2.3%10.2M-226.4M-3.1M1.353.4817,74123,968279,841230,246
2013-02-08$34.90$34.0018.7%5.4%18.6%18.4%19.9%4.2%2.6%12.0M-269.8M-3.1M2.257.5711,11025,032282,195241,844
2013-02-11$34.96$34.0018.9%5.4%18.6%19.4%18.9%4.0%2.9%11.5M-289.3M-3.1M0.346.1518,2616,262278,998245,348
2013-02-12$35.11$34.0018.7%5.4%18.6%18.1%18.9%4.3%3.0%14.0M-326.5M-3.1M0.784.836,7095,257287,686248,295
2013-02-13$34.99$34.0018.3%5.2%18.4%16.3%18.8%3.9%3.3%12.1M-303.5M-3.1M0.636.0316,61310,535289,914250,547
2013-02-14$34.90$34.0018.3%5.2%18.5%16.2%18.7%4.1%3.3%12.0M-290.1M-3.1M0.903.758,3137,497291,568250,321
2013-02-15$34.81$34.0017.9%5.1%18.5%14.1%18.9%3.9%3.5%11.0M-263.3M-3.1M1.016.8512,39212,491293,011253,408
2013-02-19$35.40$34.0017.8%5.1%18.8%14.0%17.4%3.4%3.8%14.9M-350.4M-3.0M0.4011.2114,5415,816264,301220,758
2013-02-20$35.01$34.0018.6%5.3%19.1%18.0%19.4%3.9%3.4%15.5M-297.7M-3.1M1.042.929,93710,350271,407222,910
2013-02-21$34.28$34.0020.9%6.0%20.4%29.4%20.8%4.7%2.7%10.6M-190.2M-3.1M1.0510.3814,53915,216273,765226,909
2013-02-22$34.75$34.0019.6%5.4%20.9%22.5%19.9%4.4%3.4%12.7M-262.0M-3.1M0.279.2519,0025,171275,856230,894
2013-02-25$34.28$34.0026.8%6.9%20.8%58.5%22.8%5.0%1.1%12.1M-220.0M-3.1M0.8710.2110,9729,535284,401228,826
2013-02-26$34.32$34.0024.0%6.4%20.7%44.4%22.1%5.1%2.7%12.2M-213.9M-3.2M0.9610.5710,49610,049287,171231,597
2013-02-27$34.68$34.0023.1%5.6%21.0%40.1%20.7%5.2%3.4%14.8M-269.2M-3.1M1.1110.0413,22514,624289,379232,808
2013-02-28$34.24$34.0021.6%6.0%21.1%32.5%20.2%4.5%2.9%10.8M-189.9M-3.1M1.179.197,6108,892295,265239,870