ORCL Options History — May 2014

In May 2014, ORCL traded between $40.81 and $42.20. ATM implied volatility averaged 18.9%, placing in the 15.7% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 2.2% (HV 20d: 16.6%). 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 17 of 21 days. Put/call ratio averaged 0.81.

Notable Days

  • 2014-05-29: Highest Volume — 50,550 contracts
  • 2014-05-27: Largest IV spike — 6.1% change
  • 2014-05-28: Highest IV Rank — 24.2%
  • 2014-05-01: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.58$40.81$42.20$40.97$42.02
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV18.9%16.4%21.5%18.4%21.0%
Expected Move6.5%6.4%6.7%6.7%6.5%
HV 20d16.6%14.3%22.4%22.4%14.5%
HV 60d20.3%20.0%20.6%20.5%20.1%
IV Rank15.7%8.0%24.2%15.6%22.3%
IV Percentile38.8%8.7%66.3%34.5%62.7%
Term Structure1.3%-1.3%4.9%0.3%-1.1%
VWIV23.1%19.4%26.0%25.2%24.4%
Skew 25d2.6%2.2%3.2%2.7%2.7%
Skew 10d5.6%4.3%7.7%5.4%6.7%
Call IV 25d18.0%15.6%20.6%17.4%20.6%
Put IV 25d20.6%18.0%23.4%20.1%23.3%
Bid-Ask Spread %6.375.058.846.008.81
Gamma HHI0.180.130.470.250.18
Net GEX30.2M18.8M76.4M38.7M27.9M
Net DEX-468.0M-631.6M-348.3M-458.1M-415.8M
Net VEX-2.7M-2.9M-2.6M-2.8M-2.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.810.222.010.442.01
Total Volume21,010.8578,11750,55016,43422,740
Total OI490,812.714426,506535,911511,643505,144

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-05-01$40.97$35.0018.4%6.7%22.4%15.6%25.2%2.7%0.3%38.7M-458.1M-2.8M0.446.0011,4325,002292,215219,428
2014-05-02$40.81$35.0018.0%6.7%21.3%14.0%23.6%2.6%0.2%26.7M-419.9M-2.8M0.786.478,4556,555296,939222,398
2014-05-05$41.21$35.0018.2%6.6%21.2%14.9%22.4%2.3%0.1%29.5M-466.9M-2.8M0.256.4621,7915,540284,543214,995
2014-05-06$41.01$35.0018.0%6.6%20.7%14.1%23.8%2.3%0.2%33.9M-449.9M-2.8M0.895.796,1455,495291,839217,453
2014-05-07$41.06$35.0018.2%6.6%19.6%14.9%23.2%2.6%0.2%37.0M-464.9M-2.7M1.477.076,5089,559294,840218,784
2014-05-08$40.87$35.0018.1%6.7%18.9%14.5%22.7%2.5%0.3%38.2M-420.2M-2.7M0.426.608,7743,726296,963224,220
2014-05-09$41.04$35.0017.8%6.6%16.0%13.1%23.5%2.5%0.4%76.4M-468.9M-2.7M0.295.4222,6796,513298,660225,918
2014-05-12$41.95$35.0017.2%6.6%15.3%10.9%22.9%2.4%4.5%36.1M-631.6M-2.6M0.225.1322,1674,918292,908221,690
2014-05-13$41.89$35.0016.7%6.6%14.8%9.1%22.5%2.5%4.6%36.5M-621.8M-2.6M0.806.158,5466,807298,919223,418
2014-05-14$41.88$35.0016.4%6.6%14.8%8.0%23.1%2.4%4.7%34.1M-620.2M-2.6M0.715.059,2036,542301,212227,598
2014-05-15$41.93$35.0017.3%6.6%14.6%11.4%24.0%2.4%4.9%29.7M-626.5M-2.6M1.625.856,72510,889299,411228,862
2014-05-16$41.69$35.0018.1%6.5%14.8%10.7%22.6%2.2%4.2%27.6M-567.2M-2.6M0.725.7816,46511,928300,421235,490
2014-05-19$42.16$35.0019.2%6.5%15.2%15.1%26.0%3.0%0.9%20.9M-448.2M-2.6M0.765.269,6327,360233,124193,382
2014-05-20$41.56$35.0019.9%6.5%16.2%17.9%23.7%3.0%1.1%18.9M-374.1M-2.6M0.725.635,2683,772236,594197,721
2014-05-21$41.68$35.0020.3%6.5%14.8%19.4%23.4%2.8%1.2%19.3M-383.0M-2.6M0.528.845,3452,772238,178199,647
2014-05-22$41.52$35.0019.6%6.4%14.9%16.6%19.4%3.2%1.5%18.9M-359.5M-2.6M0.315.9931,2829,749238,080200,024
2014-05-23$42.15$35.0019.8%6.4%15.1%17.5%21.6%2.8%0.9%22.0M-447.4M-2.6M0.835.8514,28911,855244,909206,436
2014-05-27$41.91$35.0021.0%6.4%14.5%22.3%22.7%2.8%-0.5%21.4M-406.5M-2.6M1.556.417,81112,069245,164208,138
2014-05-28$41.57$35.0021.5%6.4%14.9%24.2%22.1%2.9%-0.8%18.8M-348.3M-2.7M1.117.766,7967,574247,126215,048
2014-05-29$42.20$35.0021.2%6.4%14.3%23.2%23.4%2.6%-1.3%21.9M-429.0M-2.7M0.577.5532,25518,295249,628219,600
2014-05-30$42.02$35.0021.0%6.5%14.5%22.3%24.4%2.7%-1.1%27.9M-415.8M-2.9M2.018.817,55015,190271,751233,393