ORCL Options History — February 2014

In February 2014, ORCL traded between $35.84 and $39.11. ATM implied volatility averaged 21.0%, placing in the 25.8% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 0.5% (HV 20d: 20.5%). Max pain ranged from $32.00 to $35.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 0.71.

Notable Days

  • 2014-02-28: Highest Volume — 44,713 contracts
  • 2014-02-18: Largest IV spike — 13.4% change
  • 2014-02-26: Highest IV Rank — 39.2%
  • 2014-02-05: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.71$35.84$39.11$35.84$39.11
Max Pain$33.11$32.00$35.00$32.00$35.00
ATM IV21.0%17.5%24.5%22.5%24.0%
Expected Move6.8%6.4%7.2%7.1%6.4%
HV 20d20.5%17.7%22.2%19.9%17.7%
HV 60d21.7%21.4%21.9%21.7%21.7%
IV Rank25.8%12.3%39.2%31.2%37.0%
IV Percentile60.7%24.6%84.5%73.4%81.0%
Term Structure1.6%-1.7%5.1%2.6%-1.4%
VWIV24.2%22.7%26.3%26.3%23.4%
Skew 25d3.3%2.6%3.9%3.9%3.3%
Skew 10d7.6%5.1%14.6%6.5%8.3%
Call IV 25d19.8%16.2%23.2%21.0%23.2%
Put IV 25d23.1%18.8%26.8%24.9%26.5%
Bid-Ask Spread %6.803.9715.5114.305.56
Gamma HHI0.160.080.210.090.21
Net GEX16.4M6.1M25.0M6.9M24.2M
Net DEX-313.2M-486.3M-65.5M-70.3M-486.3M
Net VEX-2.3M-2.4M-2.2M-2.3M-2.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.710.271.511.140.33
Total Volume20,711.42110,61544,71328,88644,713
Total OI486,544.263449,772515,204452,779506,407

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-02-03$35.84$32.0022.5%7.1%19.9%31.2%26.3%3.9%2.6%6.9M-70.3M-2.3M1.1414.3013,50715,379234,539218,240
2014-02-04$35.96$32.0021.3%7.1%20.0%26.6%24.6%3.4%3.1%6.1M-65.5M-2.3M1.029.407,8888,034234,909228,683
2014-02-05$35.95$32.0021.6%7.2%19.5%27.9%23.1%3.5%3.5%6.5M-71.5M-2.3M0.3715.5112,5864,685237,232230,242
2014-02-06$36.72$32.0020.5%7.0%21.2%23.9%24.4%2.8%-0.9%9.5M-175.2M-2.4M0.6710.9210,7797,244242,645232,429
2014-02-07$37.19$32.0018.9%6.9%21.8%17.7%25.2%2.7%0.2%11.6M-242.2M-2.4M0.405.1414,4345,835246,130235,352
2014-02-10$37.30$32.0018.7%7.0%21.3%16.6%26.0%3.1%4.7%12.4M-256.2M-2.4M0.458.269,7554,425248,108231,520
2014-02-11$37.84$32.0017.5%6.9%21.7%12.3%24.9%3.2%4.6%16.2M-345.4M-2.4M0.705.418,0385,653254,113233,214
2014-02-12$38.07$35.0017.9%6.9%21.4%13.7%22.9%2.8%4.1%18.3M-389.0M-2.4M0.805.478,9147,175257,937234,983
2014-02-13$38.42$35.0018.0%6.9%21.6%13.9%24.7%2.6%5.1%19.9M-448.4M-2.4M0.383.977,8693,004261,579238,145
2014-02-14$37.98$32.0018.9%6.9%21.9%17.4%24.4%2.8%4.7%21.3M-377.4M-2.4M1.514.386,2549,471266,033239,412
2014-02-18$37.97$32.0021.4%6.8%21.9%27.2%22.7%3.4%1.4%17.8M-362.3M-2.4M0.665.599,4256,238263,063239,115
2014-02-19$37.87$32.0022.0%6.8%21.9%29.3%24.2%3.5%0.9%18.0M-352.9M-2.3M0.925.865,5385,077267,548241,446
2014-02-20$38.27$32.0022.0%6.8%22.2%29.3%23.8%3.6%1.0%20.0M-422.9M-2.3M0.744.8216,68512,315267,643241,530
2014-02-21$38.10$32.0021.4%6.7%22.2%27.0%24.0%3.4%2.2%22.4M-396.9M-2.3M0.844.4514,29812,075272,328242,876
2014-02-24$38.14$35.0021.9%6.6%19.7%29.2%23.4%3.8%-0.7%17.0M-331.5M-2.2M0.974.8715,24114,807239,407210,365
2014-02-25$38.25$35.0023.0%6.6%18.5%33.2%24.1%3.6%-0.8%18.1M-330.9M-2.3M0.766.516,9085,254249,656221,227
2014-02-26$38.50$35.0024.5%6.7%17.8%39.2%24.8%3.9%-1.4%19.4M-370.4M-2.3M0.274.5625,7156,946253,594224,284
2014-02-27$38.95$35.0023.9%6.5%18.0%36.9%23.2%3.8%-1.7%25.0M-455.5M-2.4M0.544.2013,9097,444269,995228,412
2014-02-28$39.11$35.0024.0%6.4%17.7%37.0%23.4%3.3%-1.4%24.2M-486.3M-2.4M0.335.5633,70711,006274,192232,215