ORCL Options History — May 2013

In May 2013, ORCL traded between $33.16 and $35.10. ATM implied volatility averaged 20.3%, placing in the 27.4% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 2.6% (HV 20d: 17.7%). Max pain ranged from $33.00 to $35.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.69.

Notable Days

  • 2013-05-22: Highest Volume — 81,185 contracts
  • 2013-05-16: Largest IV spike — 45.2% change
  • 2013-05-30: Highest IV Rank — 50.8%
  • 2013-05-30: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.02$33.16$35.10$33.16$33.78
Max Pain$33.45$33.00$35.00$33.00$35.00
ATM IV20.3%14.3%25.0%25.0%20.8%
Expected Move6.0%4.9%7.1%5.5%7.1%
HV 20d17.7%12.6%21.6%21.0%17.6%
HV 60d28.0%27.6%28.3%28.0%28.0%
IV Rank27.4%0.0%50.8%49.6%31.0%
IV Percentile42.2%0.0%84.9%80.2%48.4%
Term Structure1.0%-0.5%3.0%2.5%-0.1%
VWIV21.2%17.2%24.9%19.3%24.9%
Skew 25d2.6%2.1%3.3%2.8%2.3%
Skew 10d5.6%3.8%8.0%6.5%3.8%
Call IV 25d20.1%16.4%24.6%17.8%24.6%
Put IV 25d22.8%19.0%26.9%20.6%26.9%
Bid-Ask Spread %10.772.2315.892.2313.66
Gamma HHI0.180.110.640.110.17
Net GEX22.0M10.9M86.8M13.9M10.9M
Net DEX-257.3M-587.7M-74.2M-158.4M-74.2M
Net VEX-3.6M-3.8M-3.4M-3.6M-3.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.690.311.440.780.78
Total Volume38,139.72711,52481,18544,33734,282
Total OI726,016.045628,972783,830718,960730,948

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-05-01$33.16$33.0025.0%5.5%21.0%49.6%19.3%2.8%2.5%13.9M-158.4M-3.6M0.782.2324,87619,461390,109328,851
2013-05-02$33.69$33.0019.1%4.9%21.6%20.1%17.6%2.5%2.9%18.4M-263.9M-3.6M0.4813.6335,75317,178394,614335,298
2013-05-03$33.38$33.0018.6%5.1%21.5%17.7%17.2%2.8%3.0%14.1M-190.8M-3.6M0.4411.2627,78912,264397,087341,726
2013-05-06$33.51$33.0020.7%5.7%21.3%28.1%20.9%3.1%0.7%17.9M-197.8M-3.6M0.8812.199,0527,923398,217341,377
2013-05-07$33.26$33.0020.8%5.9%20.3%28.5%20.9%2.9%0.9%14.8M-143.5M-3.5M0.6814.409,8766,738401,747344,676
2013-05-08$33.46$33.0017.4%5.8%19.0%12.0%20.1%2.9%0.7%17.8M-183.8M-3.4M0.5812.127,2734,251402,248346,018
2013-05-09$33.70$33.0017.0%5.7%19.2%9.8%21.0%2.5%0.9%23.1M-251.1M-3.5M0.8115.8925,76220,781403,783347,717
2013-05-10$34.02$33.0015.4%5.6%19.3%1.8%19.2%3.0%1.4%24.9M-333.5M-3.5M0.5012.5326,96413,582411,657353,185
2013-05-13$33.78$33.0016.5%5.8%18.0%7.4%20.7%2.8%0.8%26.6M-276.0M-3.5M0.7312.8513,3279,702410,370345,840
2013-05-14$33.67$33.0016.9%5.7%16.9%9.5%20.1%2.9%1.2%26.3M-249.9M-3.5M0.5913.8323,52613,910415,661350,289
2013-05-15$33.99$33.0014.3%5.8%13.3%0.0%20.4%2.7%1.1%31.6M-324.6M-3.5M0.7510.4026,48319,915416,310353,816
2013-05-16$34.37$33.0020.8%6.0%12.6%31.2%20.6%2.8%1.0%32.3M-429.2M-3.5M0.4910.4949,51724,419418,044359,370
2013-05-17$35.03$33.0020.1%5.8%13.7%27.6%20.1%2.4%0.9%86.8M-587.7M-3.6M0.3110.7639,88712,250425,439358,391
2013-05-20$34.90$33.0020.4%5.9%14.0%29.1%20.7%3.3%0.9%20.3M-378.8M-3.5M0.522.9023,61612,212347,064281,908
2013-05-21$35.10$33.0020.8%6.0%13.9%31.2%20.9%2.2%0.9%21.3M-414.8M-3.5M0.432.2729,56812,825353,459287,625
2013-05-22$34.12$34.0024.0%6.9%18.0%46.4%23.8%2.4%0.1%14.6M-233.0M-3.6M1.4412.3633,23047,955356,205294,315
2013-05-23$34.23$34.0023.3%6.7%17.6%43.1%23.4%2.4%0.5%12.4M-197.0M-3.8M0.749.9816,25212,031364,843325,923
2013-05-24$34.05$34.0022.2%6.4%17.8%37.7%22.5%2.6%1.2%13.8M-151.3M-3.7M0.8511.3314,19812,131370,376330,373
2013-05-28$34.53$34.0023.0%6.6%18.1%41.7%23.5%2.1%0.2%15.5M-249.6M-3.7M1.3210.6123,35330,735363,975328,209
2013-05-29$34.40$35.0024.3%7.0%17.6%47.6%24.1%2.1%0.2%13.5M-191.6M-3.7M0.6211.7011,8737,315372,952346,448
2013-05-30$34.34$35.0024.9%7.1%17.3%50.8%24.4%2.5%-0.5%13.7M-179.8M-3.7M0.489.6010,1624,877377,090348,800
2013-05-31$33.78$35.0020.8%7.1%17.6%31.0%24.9%2.3%-0.1%10.9M-74.2M-3.7M0.7813.6619,23715,045380,833350,115