ORCL Options History — November 2013

In November 2013, ORCL traded between $33.50 and $35.29. ATM implied volatility averaged 19.2%, placing in the 18.7% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 5.6% (HV 20d: 13.6%). Max pain ranged from $30.00 to $37.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 1.03.

Notable Days

  • 2013-11-26: Highest Volume — 60,166 contracts
  • 2013-11-14: Largest IV spike — 18.6% change
  • 2013-11-26: Highest IV Rank — 35.2%
  • 2013-11-22: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.55$33.50$35.29$33.53$35.29
Max Pain$32.37$30.00$37.00$33.50$35.00
ATM IV19.2%15.6%23.5%15.6%22.9%
Expected Move6.2%4.4%7.0%4.4%6.9%
HV 20d13.6%11.3%15.8%15.8%12.8%
HV 60d15.4%14.6%16.4%16.1%14.7%
IV Rank18.7%5.0%35.2%5.0%32.8%
IV Percentile41.0%4.0%80.6%4.0%77.8%
Term Structure2.1%-2.4%6.2%0.5%-1.5%
VWIV22.8%15.9%30.1%15.9%26.6%
Skew 25d3.1%2.0%4.3%2.8%4.3%
Skew 10d6.8%4.1%11.3%5.7%10.9%
Call IV 25d18.1%14.4%22.0%14.4%22.0%
Put IV 25d21.3%17.2%26.2%17.2%26.2%
Bid-Ask Spread %11.114.1820.1117.6910.67
Gamma HHI0.160.140.190.150.19
Net GEX26.1M20.4M32.2M32.2M29.6M
Net DEX-439.7M-589.3M-237.0M-241.0M-578.2M
Net VEX-3.0M-3.2M-2.9M-3.0M-2.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.030.283.560.440.70
Total Volume25,322.858,15560,16611,94511,414
Total OI786,550.65746,756833,378760,563833,378

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-11-01$33.53$33.5015.6%4.4%15.8%5.0%15.9%2.8%0.5%32.2M-241.0M-3.0M0.4417.698,3133,632411,354349,209
2013-11-04$33.71$32.0016.2%4.7%15.2%7.2%17.5%2.5%4.3%21.8M-269.9M-3.0M0.2815.7222,6546,313405,527341,229
2013-11-05$33.50$32.5016.3%4.7%14.3%7.4%17.0%2.5%5.3%21.9M-237.0M-2.9M3.5616.324,70316,747416,222344,548
2013-11-06$34.07$32.0016.3%4.7%15.0%7.7%16.7%2.2%5.1%25.8M-360.0M-3.0M0.7415.8126,11719,243419,171350,994
2013-11-07$34.00$33.0017.0%4.9%12.7%10.2%17.7%2.2%4.6%24.7M-327.6M-3.1M0.5316.0716,3808,689424,486361,668
2013-11-08$34.35$33.0016.0%4.6%12.9%6.3%16.8%2.0%5.4%25.9M-415.9M-3.0M0.7420.118,5466,322428,337363,463
2013-11-11$34.37$0.0016.2%6.9%12.9%7.1%23.5%2.2%5.4%26.3M-419.0M-2.9M0.346.5016,9685,749424,091356,208
2013-11-12$34.70$37.0016.5%6.8%11.3%8.4%24.4%2.4%5.2%27.8M-519.2M-2.9M0.529.8724,40212,654435,925358,275
2013-11-13$35.00$37.0015.7%6.9%11.4%5.4%24.5%2.4%5.8%27.7M-589.3M-3.0M0.627.688,7035,433442,527364,295
2013-11-14$34.38$35.0018.7%6.9%13.3%16.6%24.2%3.1%5.9%25.7M-417.3M-3.1M1.9312.7919,81038,253436,778362,485
2013-11-15$34.92$30.0018.7%6.9%14.1%16.6%25.0%2.9%6.2%20.4M-535.8M-3.2M0.564.1821,93312,183443,309383,292
2013-11-18$34.93$30.0020.7%6.9%14.2%24.4%24.4%3.6%-1.1%27.0M-492.2M-3.1M0.4110.3011,3354,622413,447347,608
2013-11-19$34.76$30.0021.3%6.9%14.4%26.7%28.3%4.2%-1.2%26.1M-441.9M-3.2M0.619.7211,1126,806419,898350,874
2013-11-20$34.75$30.0021.9%6.9%14.0%29.2%30.1%4.3%-1.6%27.6M-464.5M-3.1M0.5312.995,5452,925424,589355,503
2013-11-21$34.94$30.0022.5%6.9%13.7%31.3%25.4%4.3%-0.4%29.0M-505.6M-3.0M1.114.593,8744,281423,073356,008
2013-11-22$34.83$30.0022.4%7.0%13.9%31.0%25.7%4.2%-0.5%26.9M-472.8M-3.0M1.1410.6611,11812,643424,257357,154
2013-11-25$34.78$30.0022.9%6.8%13.9%33.1%24.9%3.5%-2.4%27.7M-462.5M-2.9M1.597.897,87912,489423,133356,694
2013-11-26$34.93$30.0023.5%6.9%12.8%35.2%23.9%3.9%-2.1%27.8M-488.7M-3.0M2.327.0918,11142,055428,541364,600
2013-11-27$35.29$35.0022.8%6.9%12.9%32.3%22.9%3.5%-1.3%20.7M-555.3M-3.0M2.005.538,83017,671432,696396,167
2013-11-29$35.29$35.0022.9%6.9%12.8%32.8%26.6%4.3%-1.5%29.6M-578.2M-2.9M0.7010.676,7164,698434,498398,880