ORCL Options History — June 2013

In June 2013, ORCL traded between $29.96 and $34.40. ATM implied volatility averaged 25.3%, placing in the 46.7% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded below realized volatility by 1.1% (HV 20d: 26.4%). Max pain ranged from $31.00 to $35.00. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 0.89.

Notable Days

2013-06-21: Highest Volume — 237,114 contracts
2013-06-12: Largest IV spike — 62.2% change
2013-06-12: Highest IV Rank — 100.0%
2013-06-06: Largest Expected Move — 10.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$32.83	$29.96	$34.40	$34.39	$30.71
Max Pain	$33.55	$31.00	$35.00	$35.00	$31.00
ATM IV	25.3%	18.1%	39.8%	23.4%	18.1%
Expected Move	7.6%	5.6%	10.2%	7.4%	5.6%
HV 20d	26.4%	18.3%	40.2%	18.3%	40.2%
HV 60d	26.6%	19.3%	28.9%	28.3%	28.2%
IV Rank	46.7%	14.8%	100.0%	43.2%	14.8%
IV Percentile	78.7%	16.3%	100.0%	73.8%	16.3%
Term Structure	-1.8%	-7.4%	1.5%	-0.4%	1.5%
VWIV	26.4%	19.6%	36.3%	26.2%	19.9%
Skew 25d	4.0%	2.5%	5.8%	2.5%	3.0%
Skew 10d	8.4%	5.2%	12.0%	6.2%	5.9%
Call IV 25d	24.8%	18.7%	33.4%	25.1%	18.7%
Put IV 25d	28.8%	21.7%	37.9%	27.6%	21.7%
Bid-Ask Spread %	7.26	2.73	11.49	10.99	8.72
Gamma HHI	0.15	0.08	0.40	0.19	0.12
Net GEX	5.1M	-22.0M	12.7M	12.6M	5.2M
Net DEX	40.1M	-170.3M	743.4M	-170.3M	74.0M
Net VEX	-3.6M	-3.9M	-2.8M	-3.8M	-3.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.89	0.22	2.22	0.96	1.07
Total Volume	64,627.55	17,608	237,114	17,608	47,442
Total OI	789,532.1	637,695	973,326	734,553	740,707

Daily Data (20 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2013-06-03	$34.39	$35.00	23.4%	7.4%	18.3%	43.2%	26.2%	2.5%	-0.4%	12.6M	-170.3M	-3.8M	0.96	10.99	8,961	8,647	381,565	352,988
2013-06-04	$34.16	$35.00	26.0%	7.7%	18.5%	55.8%	26.5%	3.2%	-1.0%	12.1M	-118.1M	-3.7M	2.22	11.26	13,213	29,310	382,424	357,725
2013-06-05	$34.12	$35.00	26.7%	9.9%	18.3%	59.4%	36.3%	4.0%	-7.1%	7.3M	-107.2M	-3.9M	2.18	11.39	18,376	40,040	387,043	378,965
2013-06-06	$33.35	$35.00	24.6%	10.2%	20.1%	49.1%	35.2%	4.5%	-7.4%	652.0K	64.9M	-3.8M	0.95	10.93	27,421	26,139	391,580	395,214
2013-06-07	$33.82	$34.00	20.1%	7.5%	20.5%	30.6%	26.5%	4.4%	-1.7%	7.7M	-26.7M	-3.9M	0.98	6.04	13,790	13,557	399,000	399,316
2013-06-10	$34.05	$34.00	22.8%	7.6%	20.4%	44.5%	26.8%	4.2%	-1.9%	8.1M	-80.7M	-3.8M	0.81	4.27	15,264	12,314	394,467	393,333
2013-06-11	$33.57	$34.00	24.5%	7.5%	20.9%	53.8%	26.2%	4.4%	-1.9%	5.8M	19.5M	-3.7M	0.50	4.65	20,519	10,333	401,150	400,126
2013-06-12	$33.52	$34.00	39.8%	7.7%	20.8%	100.0%	26.8%	4.5%	-2.2%	5.7M	16.1M	-3.8M	0.82	5.82	10,594	8,646	409,537	404,659
2013-06-13	$34.25	$34.00	26.8%	7.7%	22.0%	49.0%	26.9%	4.7%	-2.1%	11.2M	-130.9M	-3.9M	0.78	6.63	24,983	19,378	416,037	408,510
2013-06-14	$33.77	$34.00	27.0%	7.8%	22.2%	49.8%	27.0%	4.6%	-2.2%	8.1M	-25.4M	-3.8M	0.77	5.67	10,664	8,223	424,284	417,802
2013-06-17	$34.27	$34.00	27.8%	8.0%	21.7%	53.0%	27.4%	4.7%	-2.7%	12.7M	-136.3M	-3.8M	1.02	5.47	28,444	29,085	425,670	414,370
2013-06-18	$34.40	$34.00	27.9%	8.0%	21.8%	53.2%	28.2%	4.9%	-2.7%	12.4M	-157.1M	-3.9M	0.75	5.21	12,792	9,591	435,475	433,351
2013-06-19	$34.09	$34.00	27.0%	7.7%	21.8%	49.6%	26.8%	4.6%	-2.9%	11.3M	-84.0M	-3.8M	0.59	7.90	69,135	41,086	437,405	434,361
2013-06-20	$33.21	$34.00	31.2%	8.9%	21.5%	66.2%	31.6%	5.8%	-4.3%	2.3M	131.3M	-3.7M	0.65	11.49	110,025	71,822	458,741	448,705
2013-06-21	$30.14	$34.00	24.6%	7.0%	40.1%	40.1%	24.3%	3.9%	-0.1%	-22.0M	743.4M	-2.8M	1.23	2.73	106,176	130,938	493,569	479,757
2013-06-24	$30.17	$32.00	23.9%	6.9%	40.2%	37.5%	23.5%	3.7%	-0.1%	-3.9M	222.5M	-3.1M	0.49	8.89	42,503	20,766	335,209	302,486
2013-06-25	$29.96	$32.00	22.3%	6.4%	39.4%	31.1%	22.0%	3.3%	0.8%	-1.7M	233.3M	-3.1M	0.43	5.19	43,847	18,859	354,800	306,555
2013-06-26	$30.14	$31.00	21.1%	6.0%	39.7%	26.4%	20.8%	2.6%	0.9%	3.3M	193.9M	-3.2M	0.42	5.33	31,685	13,391	374,350	314,475
2013-06-27	$30.45	$31.00	21.0%	6.0%	40.1%	26.0%	19.6%	2.8%	0.8%	2.8M	139.7M	-3.3M	0.22	6.65	102,038	22,554	382,846	322,085
2013-06-28	$30.71	$31.00	18.1%	5.6%	40.2%	14.8%	19.9%	3.0%	1.5%	5.2M	74.0M	-3.5M	1.07	8.72	22,879	24,563	414,533	326,174