ORCL Options History — March 2013

In March 2013, ORCL traded between $31.25 and $36.34. ATM implied volatility averaged 19.3%, placing in the 21.5% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded below realized volatility by 5.7% (HV 20d: 25.0%). Max pain ranged from $33.00 to $35.00. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.65.

Notable Days

  • 2013-03-21: Highest Volume — 323,922 contracts
  • 2013-03-14: Largest IV spike — 31.9% change
  • 2013-03-20: Highest IV Rank — 42.3%
  • 2013-03-20: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.55$31.25$36.34$34.63$32.33
Max Pain$33.90$33.00$35.00$34.00$33.00
ATM IV19.3%16.1%23.5%19.7%18.0%
Expected Move6.0%5.2%6.8%5.3%5.2%
HV 20d25.0%16.7%40.9%21.5%40.9%
HV 60d22.0%18.2%28.4%19.5%28.4%
IV Rank21.5%5.5%42.3%23.2%14.8%
IV Percentile27.4%3.6%69.4%25.0%12.3%
Term Structure-0.4%-2.2%4.1%4.1%1.0%
VWIV21.2%18.2%24.8%19.2%18.2%
Skew 25d3.6%1.9%4.7%4.7%2.7%
Skew 10d7.4%2.6%10.3%9.4%5.6%
Call IV 25d19.5%17.1%22.1%17.9%17.1%
Put IV 25d23.1%19.7%25.7%22.5%19.7%
Bid-Ask Spread %5.822.0114.2614.267.91
Gamma HHI0.200.120.280.230.12
Net GEX15.7M-10.0M28.7M13.8M2.6M
Net DEX-267.4M-628.0M225.9M-266.3M35.1M
Net VEX-3.1M-3.8M-2.6M-3.1M-3.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.650.251.080.910.50
Total Volume70,387.5512,361323,92226,19081,653
Total OI599,588.15460,760799,180541,038799,180

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-03-01$34.63$34.0019.7%5.3%21.5%23.2%19.2%4.7%4.1%13.8M-266.3M-3.1M0.9114.2613,70012,490295,655245,383
2013-03-04$35.05$34.0020.6%6.6%20.7%27.6%23.2%4.7%-1.2%16.3M-327.6M-3.2M0.784.016,9375,424296,518248,110
2013-03-05$35.46$34.0019.7%6.5%18.2%23.4%22.2%4.3%-1.0%20.6M-410.8M-3.0M0.893.588,9417,996297,792245,387
2013-03-06$35.86$34.0017.3%6.1%18.3%11.4%21.2%4.2%-0.9%22.2M-483.2M-3.0M0.344.8222,4767,683300,516248,034
2013-03-07$35.94$34.0016.7%6.0%17.8%8.3%21.7%3.8%-0.9%25.0M-528.0M-3.0M0.572.6316,0549,131305,847249,336
2013-03-08$35.71$34.0016.1%5.9%16.9%5.6%20.9%4.0%-0.7%24.2M-471.8M-3.0M0.892.0112,56111,157309,651253,202
2013-03-11$35.88$34.0016.3%5.8%16.7%6.3%20.5%3.9%-0.6%27.3M-505.2M-3.0M0.393.3210,3434,082310,411250,474
2013-03-12$35.43$34.0016.8%6.2%17.4%8.6%23.0%4.3%-1.2%24.8M-431.3M-2.9M1.084.2818,43319,863314,876252,552
2013-03-13$35.58$34.0016.1%5.9%17.4%5.5%21.0%4.0%-1.1%25.9M-465.7M-3.0M0.404.689,8133,937319,613258,711
2013-03-14$36.30$34.0021.3%6.1%18.6%31.0%21.3%3.5%-1.4%28.7M-616.9M-2.9M0.455.2821,8729,753319,749257,122
2013-03-15$36.34$34.0020.1%5.7%18.6%25.0%19.5%3.4%-0.8%25.1M-628.0M-2.9M0.365.4453,33819,232321,875259,244
2013-03-18$36.04$34.0022.6%6.5%18.9%37.4%23.3%4.3%-2.2%21.2M-394.4M-3.0M0.596.8034,15020,028273,672187,088
2013-03-19$35.69$34.0023.3%6.7%18.4%41.1%24.8%4.1%-1.9%22.4M-364.8M-3.1M0.784.9123,95418,679294,107196,891
2013-03-20$35.77$35.0023.5%6.8%17.9%42.3%23.9%3.7%-1.7%21.8M-361.5M-3.1M0.569.3995,95153,682295,816201,874
2013-03-21$32.30$35.0020.7%5.9%40.3%28.2%20.7%1.9%-0.1%1.5M155.5M-2.6M0.773.17182,572141,350347,907230,310
2013-03-22$31.98$34.0019.9%5.7%39.9%24.4%20.1%2.6%0.5%-10.0M218.0M-3.2M1.028.2285,64286,959427,569303,067
2013-03-25$31.25$33.0020.6%5.9%40.3%27.7%20.2%2.5%0.3%-3.8M225.9M-3.2M0.677.4172,61548,996405,778310,603
2013-03-26$31.54$33.0018.8%5.4%40.6%18.8%19.3%2.5%0.9%631.7K171.9M-3.5M0.256.7266,85216,652443,751339,168
2013-03-27$31.95$33.0018.8%5.4%40.7%18.6%19.5%2.8%1.0%4.4M101.7M-3.6M0.787.5140,98431,816430,555344,369
2013-03-28$32.33$33.0018.0%5.2%40.9%14.8%18.2%2.7%1.0%2.6M35.1M-3.8M0.507.9154,55527,098440,975358,205