ORCL Options History — July 2013

In July 2013, ORCL traded between $30.10 and $32.55. ATM implied volatility averaged 19.1%, placing in the 18.6% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded below realized volatility by 13.8% (HV 20d: 32.9%). Max pain ranged from $30.00 to $31.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.64.

Notable Days

  • 2013-07-19: Highest Volume — 74,887 contracts
  • 2013-07-29: Largest IV spike — 13.4% change
  • 2013-07-31: Highest IV Rank — 30.5%
  • 2013-07-01: Largest Expected Move — 6.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.74$30.10$32.55$30.11$32.35
Max Pain$30.86$30.00$31.00$31.00$31.00
ATM IV19.1%17.3%22.1%21.6%22.1%
Expected Move5.3%4.8%6.0%6.0%5.2%
HV 20d32.9%17.3%41.9%39.6%17.6%
HV 60d28.0%27.6%28.4%28.4%27.6%
IV Rank18.6%11.7%30.5%28.4%30.5%
IV Percentile29.0%10.7%68.3%58.7%68.3%
Term Structure3.4%1.0%4.9%1.0%4.9%
VWIV19.0%17.3%21.6%21.6%17.8%
Skew 25d2.1%1.6%2.9%2.3%1.7%
Skew 10d4.2%2.9%6.6%4.8%3.8%
Call IV 25d17.9%16.6%19.9%19.9%17.3%
Put IV 25d20.0%18.4%22.3%22.3%19.0%
Bid-Ask Spread %9.154.9614.567.2414.56
Gamma HHI0.140.110.320.110.11
Net GEX14.7M2.4M25.7M3.3M15.2M
Net DEX-67.0M-209.4M198.9M190.0M-164.1M
Net VEX-3.6M-3.8M-3.4M-3.4M-3.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.640.191.420.770.97
Total Volume32,976.13611,20074,88754,09422,706
Total OI777,425.955708,322844,741730,137734,941

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-07-01$30.11$31.0021.6%6.0%39.6%28.4%21.6%2.3%1.0%3.3M190.0M-3.4M0.777.2430,56423,530408,703321,434
2013-07-02$30.10$31.0019.0%5.8%39.7%18.2%20.8%1.9%1.3%2.4M198.9M-3.4M1.348.7016,64622,377426,667339,817
2013-07-03$30.70$31.0019.5%5.5%40.7%20.2%20.2%2.1%1.6%7.4M97.4M-3.6M0.416.5911,2594,641435,210356,853
2013-07-05$31.19$30.0018.7%5.9%40.9%17.2%20.7%2.9%2.8%10.1M14.1M-3.7M0.549.4620,89911,233432,354358,126
2013-07-08$31.65$30.0020.5%5.4%40.9%24.3%20.0%2.9%3.2%13.2M-48.2M-3.7M0.495.6824,70512,203428,206360,375
2013-07-09$31.52$30.0019.4%5.3%40.7%19.7%18.9%1.9%3.2%14.0M-27.1M-3.6M0.536.0045,85824,412433,008363,113
2013-07-10$31.23$31.0018.4%5.6%40.6%16.1%19.3%2.5%2.9%11.5M37.8M-3.6M0.464.9616,2447,497439,033373,381
2013-07-11$31.86$31.0018.7%5.4%41.4%17.2%19.0%2.3%3.1%16.2M-77.5M-3.8M0.737.5334,25524,980436,100374,511
2013-07-12$31.25$31.0019.0%5.4%40.8%18.1%18.7%2.2%3.2%10.2M66.4M-3.7M1.429.4921,76730,842447,731385,361
2013-07-15$32.01$31.0018.9%5.4%41.9%18.0%19.5%2.2%3.0%18.1M-116.1M-3.7M0.525.1421,45011,096447,965380,524
2013-07-16$32.00$31.0018.9%5.4%41.4%17.9%19.7%2.1%3.3%19.8M-122.8M-3.8M0.6613.2012,6528,400454,103384,502
2013-07-17$32.16$31.0018.8%5.4%41.4%17.6%19.1%1.8%3.3%21.5M-157.6M-3.8M0.717.9915,78511,283457,642387,099
2013-07-18$32.01$31.0018.4%5.3%41.4%16.0%18.4%2.1%3.6%20.7M-125.5M-3.7M0.368.4118,0186,545452,467383,907
2013-07-19$31.86$31.0017.9%5.1%40.5%13.8%18.1%2.4%3.8%25.7M-75.8M-3.6M0.4112.4653,08221,805454,687385,844
2013-07-22$31.87$31.0017.9%5.1%19.5%13.8%18.2%2.1%3.6%11.9M-83.0M-3.5M0.519.0313,4736,910383,902324,420
2013-07-23$32.07$31.0017.9%5.1%19.5%13.9%18.3%1.7%3.8%14.3M-123.0M-3.6M0.389.9317,1886,561391,928328,966
2013-07-24$32.39$31.0018.2%5.2%19.3%15.0%17.3%1.7%3.8%17.2M-182.9M-3.7M0.7712.9413,86110,733399,509331,346
2013-07-25$32.37$31.0017.9%5.1%19.4%14.0%18.2%1.8%4.2%16.2M-170.5M-3.7M0.7310.666,4624,738394,819327,428
2013-07-26$32.54$31.0017.3%4.8%19.2%11.7%17.7%2.0%4.9%22.2M-209.4M-3.7M0.7511.427,7885,833396,947329,382
2013-07-29$32.48$31.0019.7%5.1%19.2%20.9%17.5%1.6%4.9%15.6M-186.9M-3.7M0.309.3817,3575,233394,380328,537
2013-07-30$32.55$31.0021.0%4.9%17.3%26.1%18.0%1.8%4.6%15.9M-207.2M-3.6M0.1910.4618,9363,668397,869330,274
2013-07-31$32.35$31.0022.1%5.2%17.6%30.5%17.8%1.7%4.9%15.2M-164.1M-3.6M0.9714.5611,55211,154403,011331,930