ORCL Options History — August 2013

In August 2013, ORCL traded between $31.66 and $33.57. ATM implied volatility averaged 22.0%, placing in the 30.2% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 7.4% (HV 20d: 14.7%). Max pain ranged from $31.00 to $33.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 1.22.

Notable Days

  • 2013-08-23: Highest Volume — 68,827 contracts
  • 2013-08-15: Largest IV spike — 37.9% change
  • 2013-08-29: Highest IV Rank — 58.5%
  • 2013-08-30: Largest Expected Move — 8.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.51$31.66$33.57$32.75$31.86
Max Pain$32.68$31.00$33.00$31.00$33.00
ATM IV22.0%15.9%29.3%18.2%18.6%
Expected Move7.0%4.5%8.6%4.8%8.6%
HV 20d14.7%9.3%18.0%16.8%17.4%
HV 60d27.5%27.1%27.8%27.7%27.1%
IV Rank30.2%6.1%58.5%15.0%16.8%
IV Percentile54.8%3.6%98.4%19.4%27.0%
Term Structure-0.6%-3.3%6.0%5.0%-3.3%
VWIV24.5%16.4%30.6%17.4%30.0%
Skew 25d3.3%1.7%4.2%1.7%4.0%
Skew 10d6.9%4.3%9.5%4.3%9.5%
Call IV 25d23.0%15.8%28.7%16.7%28.7%
Put IV 25d26.3%17.6%32.6%18.4%32.6%
Bid-Ask Spread %10.006.7213.8213.7010.32
Gamma HHI0.100.090.120.110.09
Net GEX9.3M2.2M17.8M17.3M5.3M
Net DEX-149.2M-390.0M38.7M-230.8M318.7K
Net VEX-3.6M-3.7M-3.5M-3.7M-3.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.220.453.201.151.01
Total Volume23,247.4097,53868,82714,44120,031
Total OI749,942.5705,146807,993738,213752,639

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-08-01$32.75$31.0018.2%4.8%16.8%15.0%17.4%1.7%5.0%17.3M-230.8M-3.7M1.1513.706,7207,721404,857333,356
2013-08-02$32.57$31.0016.2%4.5%16.4%7.2%16.4%1.8%6.0%16.9M-191.7M-3.6M1.2013.584,8095,786405,131336,215
2013-08-05$32.78$32.0017.7%6.2%15.8%13.3%21.7%3.3%-0.0%17.3M-234.8M-3.5M1.5911.976,92311,001404,444334,702
2013-08-06$33.00$32.0020.3%6.4%15.8%23.2%22.8%3.1%-0.2%17.8M-287.5M-3.6M1.6213.8210,57917,150405,661329,813
2013-08-07$32.82$32.0017.1%6.4%15.5%10.7%22.2%3.2%-0.3%14.7M-231.9M-3.6M1.6012.1013,99822,407408,378340,257
2013-08-08$33.02$33.0016.4%6.4%14.1%7.9%22.6%2.9%-0.2%10.9M-275.3M-3.6M1.2010.926,2117,474417,526352,060
2013-08-09$32.92$33.0015.9%6.4%11.9%6.1%22.8%2.9%-0.2%7.9M-233.1M-3.6M1.238.725,1516,344419,454356,542
2013-08-12$33.25$33.0017.2%6.6%9.3%11.2%23.2%3.5%-0.6%11.3M-322.2M-3.5M1.067.8213,62114,384418,840354,366
2013-08-13$33.25$33.0016.4%6.6%9.3%8.2%22.5%3.4%-0.4%12.4M-324.7M-3.6M0.456.7211,1844,999423,222358,433
2013-08-14$33.57$33.0017.7%6.4%9.6%13.2%23.2%3.2%-0.2%15.2M-390.0M-3.7M0.838.6419,72516,445427,971359,749
2013-08-15$32.73$33.0024.4%7.0%13.6%39.5%24.4%3.3%-0.7%9.4M-204.7M-3.6M1.538.8419,46029,826430,235361,151
2013-08-16$32.41$33.0025.3%7.2%14.0%42.9%24.6%3.3%-0.8%6.4M-135.8M-3.6M1.068.3418,91019,991436,193371,800
2013-08-19$32.06$33.0025.5%7.3%14.6%43.7%25.9%3.1%-0.9%4.6M-21.7M-3.5M3.209.355,94118,992379,148325,998
2013-08-20$32.20$33.0025.7%7.4%14.5%44.6%25.7%3.7%-1.1%2.2M-54.5M-3.6M1.269.056,4178,058381,844332,715
2013-08-21$32.30$33.0026.1%7.5%14.1%46.2%25.4%3.6%-1.2%3.3M-64.5M-3.6M0.678.2511,6617,818384,333333,316
2013-08-22$32.40$33.0025.9%7.4%14.1%45.2%25.2%3.3%-1.2%3.3M-85.0M-3.6M0.989.173,9173,823388,891337,771
2013-08-23$31.77$33.0026.0%7.5%15.6%45.9%26.2%3.4%-1.8%5.9M38.7M-3.5M0.4510.9947,62821,199390,687339,614
2013-08-26$32.34$33.0027.2%7.8%17.0%50.5%26.6%3.8%-2.2%9.4M-94.4M-3.6M0.788.709,8377,653394,673336,430
2013-08-27$31.78$33.0028.9%8.3%18.0%57.0%30.6%4.2%-2.9%5.3M6.4M-3.5M2.5611.285,70514,588397,053340,050
2013-08-28$31.66$33.0029.2%8.4%17.9%58.2%28.8%3.8%-3.1%3.9M25.8M-3.6M0.897.493,9913,547398,378347,321
2013-08-29$31.70$33.0029.3%8.4%17.3%58.5%29.9%4.1%-3.1%3.6M28.0M-3.5M0.5310.296,4063,412399,030348,488
2013-08-30$31.86$33.0018.6%8.6%17.4%16.8%30.0%4.0%-3.3%5.3M318.7K-3.6M1.0110.329,98310,048402,497350,142