ORCL Options History — March 2014

In March 2014, ORCL traded between $37.50 and $40.91. ATM implied volatility averaged 22.4%, placing in the 31.2% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 4.3% (HV 20d: 18.2%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.72.

Notable Days

  • 2014-03-18: Highest Volume — 144,117 contracts
  • 2014-03-19: Largest IV drop — 32.1% change
  • 2014-03-14: Highest IV Rank — 52.1%
  • 2014-03-18: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.77$37.50$40.91$38.51$40.91
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV22.4%17.1%27.9%25.1%19.8%
Expected Move6.7%6.5%7.3%6.5%6.7%
HV 20d18.2%15.1%23.7%17.9%23.7%
HV 60d20.4%17.8%22.4%21.9%19.7%
IV Rank31.2%10.6%52.1%41.3%21.1%
IV Percentile63.1%17.1%96.8%86.9%50.0%
Term Structure-0.8%-3.0%0.8%-0.8%-0.2%
VWIV23.9%21.6%25.4%21.6%23.8%
Skew 25d2.6%1.3%4.0%3.3%2.4%
Skew 10d5.3%2.9%7.7%6.8%4.2%
Call IV 25d21.5%16.7%27.0%23.3%19.0%
Put IV 25d24.2%18.6%31.0%26.7%21.4%
Bid-Ask Spread %6.053.8835.875.965.52
Gamma HHI0.180.140.210.180.18
Net GEX20.6M1.6M31.4M21.7M29.8M
Net DEX-338.2M-556.3M-103.6M-372.9M-556.3M
Net VEX-2.4M-2.6M-2.2M-2.4M-2.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.720.302.140.840.56
Total Volume42,531.5719,157144,11722,429120,126
Total OI530,165422,234641,280511,433461,386

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-03-03$38.51$35.0025.1%6.5%17.9%41.3%21.6%3.3%-0.8%21.7M-372.9M-2.4M0.845.9612,15810,271279,188232,245
2014-03-04$39.41$35.0024.8%6.5%15.2%40.3%23.5%3.1%-0.8%23.3M-504.1M-2.5M0.475.0524,39111,458281,294235,833
2014-03-05$39.50$35.0024.8%6.5%15.3%40.2%22.3%2.8%-0.9%23.5M-511.2M-2.5M0.624.079,5675,901286,146240,564
2014-03-06$39.46$35.0024.3%6.6%15.3%38.4%24.3%3.0%-0.9%24.4M-510.7M-2.5M0.395.0420,4607,912289,125243,054
2014-03-07$38.83$35.0024.0%6.6%15.7%37.0%24.2%3.3%-0.8%20.7M-388.5M-2.5M0.624.0416,60410,361289,507247,179
2014-03-10$38.86$35.0024.6%6.6%15.2%39.4%24.1%3.5%-1.6%20.6M-386.1M-2.5M0.434.478,2633,538286,113247,021
2014-03-11$38.90$35.0024.8%6.5%15.2%40.1%24.8%3.1%-1.9%20.5M-404.2M-2.5M0.684.065,4593,698291,006248,741
2014-03-12$38.52$35.0026.0%6.6%15.1%45.0%24.3%3.3%-2.6%18.1M-336.9M-2.5M2.144.666,47513,880291,968249,743
2014-03-13$37.65$35.0027.4%6.8%17.1%50.4%24.7%3.7%-2.9%12.3M-199.1M-2.4M0.924.519,3408,561293,939255,585
2014-03-14$37.60$35.0027.9%6.9%16.7%52.1%24.7%4.0%-3.0%11.4M-193.5M-2.4M1.194.3316,97020,263295,860258,825
2014-03-17$38.22$35.0027.4%6.9%17.3%50.4%25.4%3.0%-0.5%17.3M-301.9M-2.4M0.304.7637,23111,207300,236254,691
2014-03-18$38.84$35.0027.1%7.3%18.2%49.0%23.8%1.8%-0.6%23.8M-428.8M-2.5M0.7035.8784,71459,403321,785261,275
2014-03-19$38.55$35.0018.4%6.6%18.4%15.5%25.0%1.6%0.8%31.4M-378.7M-2.3M0.694.8965,20344,710355,671275,545
2014-03-20$38.37$35.0018.6%6.7%18.2%16.3%23.3%1.3%0.2%21.0M-325.2M-2.3M0.593.9623,84614,159355,642283,663
2014-03-21$37.50$35.0018.0%6.7%19.9%14.1%25.1%1.7%-0.1%1.6M-108.2M-2.2M0.824.0923,92119,624355,718285,562
2014-03-24$38.18$35.0017.7%6.7%21.0%12.8%23.1%2.4%0.0%11.5M-103.6M-2.2M0.494.3923,23711,340232,512189,722
2014-03-25$38.40$35.0017.1%6.7%21.0%10.6%23.1%1.9%0.2%17.0M-147.4M-2.3M0.783.8816,40912,719245,241193,924
2014-03-26$39.08$35.0017.7%6.5%21.8%12.8%23.6%2.1%0.1%24.8M-278.8M-2.5M0.444.7123,21810,227258,212202,574
2014-03-27$39.24$35.0018.4%6.5%21.5%15.6%23.9%1.9%0.1%27.7M-307.2M-2.5M0.884.2818,24216,033268,347205,505
2014-03-28$39.57$35.0017.5%6.5%21.7%12.2%23.1%1.8%0.2%29.7M-359.4M-2.6M0.484.6021,65010,414271,739211,579
2014-03-31$40.91$35.0019.8%6.7%23.7%21.1%23.8%2.4%-0.2%29.8M-556.3M-2.5M0.565.5277,08043,046260,540200,846