ORCL Options History — April 2014

In April 2014, ORCL traded between $38.98 and $41.49. ATM implied volatility averaged 19.8%, placing in the 21.1% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded below realized volatility by 5.0% (HV 20d: 24.9%). 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 10 of 21 days. Put/call ratio averaged 0.98.

Notable Days

  • 2014-04-01: Highest Volume — 93,275 contracts
  • 2014-04-10: Largest IV spike — 10.1% change
  • 2014-04-11: Highest IV Rank — 31.5%
  • 2014-04-11: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.13$38.98$41.49$41.49$40.88
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV19.8%18.4%22.5%20.1%18.4%
Expected Move6.7%6.6%6.9%6.6%6.7%
HV 20d24.9%22.0%27.2%22.9%22.5%
HV 60d21.2%19.8%22.2%19.8%20.5%
IV Rank21.1%15.4%31.5%22.0%15.4%
IV Percentile49.3%32.5%70.2%52.0%32.5%
Term Structure-0.1%-0.6%0.4%-0.1%0.4%
VWIV24.3%22.4%28.0%23.1%22.6%
Skew 25d2.9%2.2%3.9%2.8%2.6%
Skew 10d5.9%3.7%8.1%4.3%6.3%
Call IV 25d18.8%17.3%21.3%19.2%17.5%
Put IV 25d21.7%20.1%24.5%22.0%20.2%
Bid-Ask Spread %6.644.819.046.579.04
Gamma HHI0.210.140.730.200.17
Net GEX31.9M8.3M120.1M38.2M27.1M
Net DEX-328.6M-716.0M-80.3M-716.0M-420.6M
Net VEX-2.9M-3.1M-2.7M-2.7M-2.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.980.313.980.800.31
Total Volume29,881.47611,56893,27593,27518,918
Total OI537,768.048477,031591,701534,151499,564

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-04-01$41.49$35.0020.1%6.6%22.9%22.0%23.1%2.8%-0.1%38.2M-716.0M-2.7M0.806.5751,71641,559307,028227,123
2014-04-02$41.13$35.0019.9%6.6%23.2%21.4%23.8%2.4%-0.1%36.0M-616.2M-3.0M0.914.8122,67520,679320,705253,472
2014-04-03$40.37$35.0018.9%6.6%24.3%17.6%24.5%2.2%-0.0%47.3M-472.5M-3.0M0.386.0165,24624,624335,027256,674
2014-04-04$39.98$35.0019.9%6.7%23.8%21.3%24.1%3.1%0.1%46.6M-292.2M-3.1M1.265.4411,78814,859316,358265,589
2014-04-07$39.47$35.0020.9%6.8%24.4%25.2%23.1%2.9%0.2%21.2M-189.2M-2.9M3.985.056,07824,207301,920250,313
2014-04-08$40.24$35.0020.6%6.7%25.3%23.9%22.4%2.8%-0.3%30.4M-351.2M-3.0M1.425.729,46913,466304,126254,049
2014-04-09$40.88$35.0018.8%6.8%25.3%17.1%22.5%2.6%0.1%36.5M-502.5M-3.0M0.356.6319,0586,757307,729257,783
2014-04-10$39.79$35.0020.7%6.8%25.9%24.4%28.0%3.9%0.0%24.6M-243.7M-2.9M0.655.9617,04511,100307,134259,177
2014-04-11$38.98$35.0022.5%6.9%27.2%31.5%23.8%3.2%-0.2%11.1M-80.3M-2.9M2.417.716,23215,010309,945263,459
2014-04-14$39.57$35.0021.3%6.8%27.1%26.5%25.3%3.3%0.3%22.8M-214.7M-2.8M0.764.9813,72710,488293,600250,391
2014-04-15$39.73$35.0021.0%6.8%26.6%25.7%23.7%3.3%0.1%26.3M-237.5M-3.0M0.776.467,2635,561302,838257,740
2014-04-16$40.13$35.0020.2%6.8%26.6%22.5%25.3%3.2%-0.0%34.8M-334.1M-2.9M0.407.2420,5818,245302,229254,988
2014-04-17$40.08$35.0018.9%6.7%26.5%17.3%22.9%3.0%0.2%120.1M-357.7M-2.9M0.396.0727,17710,623312,938258,177
2014-04-21$40.24$35.0019.1%6.7%24.8%18.2%23.4%2.9%-0.6%25.3M-302.5M-2.8M0.827.049,3347,650268,250208,781
2014-04-22$40.46$35.0018.4%6.7%24.2%15.5%23.8%2.8%-0.4%28.3M-349.4M-2.8M0.487.197,8043,764273,904212,943
2014-04-23$39.79$35.0018.9%6.7%25.1%17.6%25.3%2.9%-0.3%21.3M-232.5M-2.8M0.496.8316,1097,899276,826213,801
2014-04-24$39.75$35.0019.8%6.7%24.5%21.1%26.1%2.9%-0.4%21.3M-231.1M-2.8M1.116.3411,64412,885287,772216,964
2014-04-25$39.45$35.0019.8%6.8%24.6%21.0%23.9%2.9%-0.6%8.3M-173.5M-2.8M1.529.008,36612,735291,965220,988
2014-04-28$40.13$35.0019.5%6.7%25.2%19.8%25.7%2.6%0.1%20.6M-290.4M-2.9M0.547.497,9484,311277,358215,953
2014-04-29$40.11$35.0019.3%6.7%22.0%19.0%27.9%2.8%0.1%22.0M-292.7M-2.9M0.727.817,5155,396280,333217,215
2014-04-30$40.88$35.0018.4%6.7%22.5%15.4%22.6%2.6%0.4%27.1M-420.6M-2.9M0.319.0414,4304,488281,753217,811