ORCL Options History — September 2013

In September 2013, ORCL traded between $32.02 and $34.05. ATM implied volatility averaged 22.3%, placing in the 30.8% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 6.1% (HV 20d: 16.2%). Max pain ranged from $32.00 to $34.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.95.

Notable Days

  • 2013-09-18: Highest Volume — 257,653 contracts
  • 2013-09-11: Largest IV spike — 100.9% change
  • 2013-09-11: Highest IV Rank — 100.0%
  • 2013-09-05: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.15$32.02$34.05$32.02$33.17
Max Pain$32.74$32.00$34.00$33.00$32.00
ATM IV22.3%16.8%40.3%22.8%19.9%
Expected Move7.0%4.8%10.0%9.1%5.7%
HV 20d16.2%12.7%18.3%17.3%14.8%
HV 60d21.6%15.9%27.0%27.0%16.1%
IV Rank30.8%9.6%100.0%33.3%21.2%
IV Percentile53.5%9.5%100.0%74.6%44.8%
Term Structure-2.1%-7.5%0.4%-4.8%-0.2%
VWIV24.6%17.0%34.9%31.6%19.9%
Skew 25d4.0%2.6%5.0%4.2%3.0%
Skew 10d8.1%6.0%10.4%8.6%6.7%
Call IV 25d22.7%15.7%32.8%30.2%18.5%
Put IV 25d26.6%18.3%37.1%34.4%21.5%
Bid-Ask Spread %10.592.5321.678.7117.52
Gamma HHI0.150.100.540.100.13
Net GEX20.4M6.6M81.1M6.6M15.8M
Net DEX-227.8M-566.7M-28.9M-28.9M-161.4M
Net VEX-3.4M-3.6M-3.3M-3.5M-3.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.950.452.060.900.61
Total Volume50,037.816,986257,65316,98629,467
Total OI791,373.7699,020986,109752,424710,674

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-09-03$32.02$33.0022.8%9.1%17.3%33.3%31.6%4.2%-4.8%6.6M-28.9M-3.5M0.908.718,9448,042401,387351,037
2013-09-04$32.32$33.0022.1%9.9%17.5%30.5%34.9%4.2%-7.2%8.9M-87.6M-3.6M2.062.538,77218,048404,545355,326
2013-09-05$32.26$33.0020.1%10.0%17.4%22.4%34.2%4.3%-7.5%8.2M-66.5M-3.6M1.659.047,37812,187406,331359,966
2013-09-06$32.20$32.0020.1%7.8%17.2%22.4%27.1%4.2%-2.1%7.8M-54.3M-3.6M1.437.928,81112,572409,718363,344
2013-09-09$32.75$32.0020.9%7.5%18.3%25.9%26.4%4.5%-2.1%11.5M-157.1M-3.5M1.075.7510,45111,144410,998367,179
2013-09-10$32.86$32.0020.1%7.5%18.0%22.5%26.4%4.3%-2.4%11.8M-177.0M-3.5M0.675.7010,3306,887413,684371,245
2013-09-11$33.02$32.0040.3%7.7%18.1%100.0%26.5%4.2%-2.9%12.5M-202.0M-3.5M0.946.4314,79613,967415,731372,988
2013-09-12$32.79$32.0027.0%7.7%17.9%48.6%27.9%4.8%-3.2%11.3M-158.7M-3.5M0.926.0614,94313,679421,008376,081
2013-09-13$32.46$0.0028.3%8.3%15.8%53.6%27.6%5.0%-1.7%9.3M-78.9M-3.5M0.6921.6727,17518,794426,528379,737
2013-09-16$32.97$32.0027.5%7.7%16.4%50.6%27.3%4.9%-3.2%14.0M-184.5M-3.5M1.279.9327,42234,708433,673385,936
2013-09-17$33.26$32.0027.6%7.8%16.0%51.1%27.2%5.0%-3.6%16.3M-249.9M-3.5M1.297.9232,31641,791448,367405,657
2013-09-18$33.87$32.0027.3%7.7%17.0%49.9%27.9%5.0%-4.0%19.7M-392.6M-3.6M1.025.48127,728129,925458,564422,688
2013-09-19$33.89$32.0017.5%5.0%17.0%12.1%18.2%3.0%0.4%51.3M-486.2M-3.3M0.599.8488,01051,600510,703475,406
2013-09-20$34.05$33.0016.8%4.8%17.0%9.6%17.0%2.6%0.4%81.1M-566.7M-3.3M0.5516.8642,56423,511504,430472,566
2013-09-23$33.94$34.0017.4%5.0%15.1%11.8%17.3%3.2%0.4%25.4M-336.6M-3.3M0.5412.3524,05412,872387,081311,939
2013-09-24$33.64$34.0017.3%5.0%14.7%11.2%18.2%3.3%0.4%22.5M-267.4M-3.3M0.5212.0416,1108,427393,941316,951
2013-09-25$33.87$34.0017.5%5.0%12.8%12.3%18.1%3.3%0.3%25.7M-325.6M-3.3M0.4512.9016,8957,541397,763320,638
2013-09-26$33.81$34.0017.8%5.1%12.7%13.5%18.3%3.4%0.2%25.0M-303.7M-3.3M0.7416.9718,94814,082401,292323,766
2013-09-27$33.78$34.0017.9%5.1%12.8%13.7%19.6%3.1%0.1%22.6M-271.0M-3.3M1.0316.2512,76413,101407,810330,796
2013-09-30$33.17$32.0019.9%5.7%14.8%21.2%19.9%3.0%-0.2%15.8M-161.4M-3.3M0.6117.5218,26111,206392,123318,551