ORCL Options History — December 2013

In December 2013, ORCL traded between $33.23 and $38.26. ATM implied volatility averaged 22.5%, placing in the 31.4% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 2.2% (HV 20d: 20.3%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 1.60.

Notable Days

  • 2013-12-18: Highest Volume — 181,854 contracts
  • 2013-12-19: Largest IV drop — 28.6% change
  • 2013-12-12: Highest IV Rank — 51.5%
  • 2013-12-13: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.63$33.23$38.26$35.08$38.26
Max Pain$31.86$30.00$35.00$35.00$32.00
ATM IV22.5%16.8%27.7%24.4%17.4%
Expected Move6.9%6.8%7.3%7.0%6.8%
HV 20d20.3%11.9%28.8%13.2%28.5%
HV 60d17.2%14.4%20.6%14.7%20.1%
IV Rank31.4%9.6%51.5%38.7%11.8%
IV Percentile63.3%15.5%96.0%85.7%24.2%
Term Structure-1.4%-3.7%1.0%-1.7%0.7%
VWIV25.1%22.2%29.8%24.4%24.7%
Skew 25d3.4%2.3%4.6%4.1%2.7%
Skew 10d7.5%4.9%11.3%8.2%5.7%
Call IV 25d21.3%16.3%27.0%22.2%16.9%
Put IV 25d24.7%18.6%30.1%26.3%19.6%
Bid-Ask Spread %8.503.4419.307.059.02
Gamma HHI0.160.100.210.180.17
Net GEX24.5M-1.3M50.3M27.2M38.2M
Net DEX-541.1M-1.04B91.9M-502.0M-983.3M
Net VEX-2.8M-3.0M-2.4M-2.9M-2.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.600.328.348.340.73
Total Volume52,028.1916,054181,85451,41230,981
Total OI872,130.381763,6861,075,137803,718779,179

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-12-02$35.08$35.0024.4%7.0%13.2%38.7%24.4%4.1%-1.7%27.2M-502.0M-2.9M8.347.055,50745,905429,087374,631
2013-12-03$35.07$32.0024.1%7.0%13.2%37.6%24.8%3.6%-1.7%19.9M-463.1M-3.0M1.698.125,96310,091430,977411,379
2013-12-04$35.07$32.0024.1%7.0%12.8%37.6%29.8%3.4%-1.6%20.3M-467.7M-3.0M2.9215.665,98717,504432,021416,089
2013-12-05$34.85$32.0024.2%7.0%11.9%37.8%27.0%3.7%-1.9%18.0M-413.7M-3.0M1.1110.4810,46811,667434,208417,900
2013-12-06$35.48$32.0024.0%7.0%13.3%37.2%24.5%3.3%-1.3%30.4M-568.0M-2.9M1.274.4118,68423,669436,079424,301
2013-12-09$35.60$32.0025.4%7.0%12.9%42.5%23.7%3.9%-2.7%22.7M-575.4M-2.9M2.124.4712,58526,720435,611434,271
2013-12-10$34.80$32.0026.5%7.0%15.6%46.8%24.1%3.7%-3.1%14.1M-362.8M-3.0M1.673.9313,53122,659444,699448,282
2013-12-11$34.56$32.0027.7%7.0%15.4%51.2%25.4%3.8%-3.7%9.3M-263.4M-3.0M1.483.976,7519,999445,997457,927
2013-12-12$33.60$32.0027.7%7.0%18.0%51.5%27.1%3.1%-3.5%-339.8K-1.0M-2.9M1.463.7820,95730,653447,728463,219
2013-12-13$33.23$32.0026.9%7.3%17.3%48.4%24.5%4.6%-2.1%-1.3M91.9M-2.8M0.903.4423,74321,404454,377474,665
2013-12-16$33.54$32.0026.7%7.1%16.6%47.4%26.7%3.8%-2.8%2.6M-26.9M-2.8M3.465.0019,62367,936455,363468,756
2013-12-17$33.63$32.0027.1%7.1%16.7%49.0%29.1%4.0%-3.5%-1.3M-15.5M-2.8M1.4810.1632,45548,102459,904493,858
2013-12-18$34.60$32.0025.2%7.0%19.8%41.9%22.2%4.2%-2.4%13.9M-349.2M-2.9M0.9219.3094,90386,951471,500491,553
2013-12-19$36.60$32.0018.0%6.8%28.2%14.1%24.5%2.7%0.4%48.4M-1.04B-2.5M0.4410.69117,20551,450502,577536,906
2013-12-20$36.37$32.0017.5%6.8%28.3%12.3%24.5%2.6%-0.4%50.3M-968.9M-2.7M0.378.7741,43515,383527,402547,735
2013-12-23$36.93$30.0016.9%6.8%28.6%9.6%23.6%2.3%0.8%40.2M-758.2M-2.6M1.0711.5412,27013,107420,178343,508
2013-12-24$37.32$30.0016.8%6.8%28.7%9.6%24.4%3.4%1.0%42.3M-880.6M-2.5M0.328.5522,3807,237422,411344,918
2013-12-26$37.69$32.0017.2%6.8%28.8%11.1%24.2%2.5%0.3%39.1M-916.2M-2.5M0.7610.1716,17312,246427,053349,510
2013-12-27$37.98$30.0017.3%6.8%28.7%11.4%24.5%2.6%0.3%40.8M-970.5M-2.5M0.389.2323,7809,023432,096356,277
2013-12-30$37.99$32.0017.2%6.8%28.7%10.9%23.4%2.4%0.3%39.0M-929.4M-2.5M0.6210.7715,7069,799424,057346,549
2013-12-31$38.26$32.0017.4%6.8%28.5%11.8%24.7%2.7%0.7%38.2M-983.3M-2.4M0.739.0217,91813,063428,391350,788