ORCL Options History — June 2014

In June 2014, ORCL traded between $40.15 and $42.81. ATM implied volatility averaged 20.0%, placing in the 18.9% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 4.6% (HV 20d: 15.3%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.99.

Notable Days

  • 2014-06-20: Highest Volume — 212,148 contracts
  • 2014-06-20: Largest IV drop — 34.7% change
  • 2014-06-19: Highest IV Rank — 33.6%
  • 2014-06-13: Largest Expected Move — 6.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.73$40.15$42.81$41.97$40.53
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV20.0%14.4%23.8%21.3%14.7%
Expected Move6.5%6.4%6.6%6.5%6.5%
HV 20d15.3%12.4%19.5%14.4%18.4%
HV 60d19.1%18.0%20.1%20.1%18.1%
IV Rank18.9%0.0%33.6%23.6%1.3%
IV Percentile48.9%0.0%80.2%66.3%0.4%
Term Structure-0.8%-2.3%0.6%-0.7%0.6%
VWIV23.3%22.4%27.1%23.4%23.2%
Skew 25d2.7%1.7%3.7%2.8%2.0%
Skew 10d5.7%3.5%8.0%6.2%4.7%
Call IV 25d19.0%13.8%22.7%20.0%14.2%
Put IV 25d21.7%15.7%26.3%22.8%16.2%
Bid-Ask Spread %7.506.0015.507.036.82
Gamma HHI0.130.100.320.140.10
Net GEX9.4M-20.8M21.9M21.1M-5.8M
Net DEX-286.8M-495.7M64.7M-388.1M-24.1M
Net VEX-3.0M-3.2M-2.7M-2.9M-3.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.990.432.250.710.69
Total Volume38,797.8579,911212,14815,58528,441
Total OI556,690.19509,030654,571509,030549,993

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-06-02$41.97$35.0021.3%6.5%14.4%23.6%23.4%2.8%-0.7%21.1M-388.1M-2.9M0.717.039,1106,475269,476239,554
2014-06-03$41.81$35.0021.6%6.6%14.2%24.8%23.4%2.9%-1.0%19.5M-366.8M-2.9M1.826.618,71215,841270,389242,531
2014-06-04$41.70$35.0022.0%6.5%14.1%26.5%23.1%2.9%-1.0%18.2M-344.6M-2.9M1.386.457,53210,410273,602251,836
2014-06-05$42.10$35.0022.2%6.5%14.4%27.2%22.4%3.5%-1.2%21.5M-411.5M-3.0M0.908.8713,91312,527276,261257,557
2014-06-06$42.63$35.0022.1%6.5%14.8%26.8%22.7%2.9%-0.9%21.3M-495.7M-2.9M1.356.638,85511,954278,135266,049
2014-06-09$42.70$35.0022.4%6.6%14.7%28.1%23.1%2.9%-2.0%21.2M-489.6M-2.9M0.537.278,2594,418276,648266,755
2014-06-10$42.66$35.0022.5%6.5%12.7%28.3%22.9%3.0%-2.3%21.6M-480.2M-2.9M0.856.455,3574,554277,828268,399
2014-06-11$42.56$35.0021.8%6.6%12.8%25.4%22.6%3.1%-1.6%21.9M-467.9M-2.9M1.507.177,08710,648279,122270,941
2014-06-12$42.00$35.0023.6%6.6%13.7%32.8%22.5%3.6%-1.6%16.4M-363.0M-3.0M2.257.019,77922,052280,091270,675
2014-06-13$42.14$35.0023.2%6.6%13.7%31.2%23.4%3.7%-1.9%10.4M-370.8M-2.9M1.086.0011,30112,176279,309285,442
2014-06-16$42.15$35.0023.0%6.6%13.6%30.2%27.1%3.2%-0.5%13.2M-366.7M-2.9M0.496.6811,9365,809277,988280,424
2014-06-17$42.32$35.0022.6%6.5%13.0%28.7%22.8%2.6%-1.6%14.4M-405.2M-2.8M0.516.5018,5609,448280,946284,057
2014-06-18$42.81$35.0022.4%6.6%12.4%28.0%24.0%2.7%-0.7%17.0M-482.9M-2.8M0.4310.1931,28013,430282,738290,137
2014-06-19$42.51$35.0023.8%6.6%12.8%33.6%22.7%3.7%-1.5%15.8M-434.5M-2.9M0.9615.5060,23357,863294,796294,614
2014-06-20$40.82$35.0015.6%6.6%19.5%0.4%23.3%2.1%0.3%-20.8M-32.8M-2.7M1.237.3195,295116,853326,354328,217
2014-06-23$41.10$35.0015.2%6.4%18.8%0.0%23.2%2.0%0.2%-584.9K-114.2M-3.0M0.606.3534,11220,354255,742275,544
2014-06-24$40.76$35.0015.0%6.6%18.9%0.0%23.2%1.7%0.3%-5.1M-44.9M-3.1M1.167.5716,22218,839274,033286,936
2014-06-25$40.46$35.0015.0%6.5%18.9%0.0%23.2%1.7%0.2%-7.7M12.2M-3.1M0.757.6914,84311,165276,811292,629
2014-06-26$40.15$35.0015.0%6.5%18.0%0.0%22.8%2.2%0.4%-10.8M64.7M-3.1M0.796.4416,97913,457279,531292,355
2014-06-27$40.53$35.0014.4%6.5%18.4%0.0%23.9%1.9%0.4%-4.8M-15.4M-3.2M0.877.009,9708,706288,625297,424
2014-06-30$40.53$35.0014.7%6.5%18.4%1.3%23.2%2.0%0.6%-5.8M-24.1M-3.1M0.696.8216,82711,614270,220279,773