ORCL Options History — July 2014

In July 2014, ORCL traded between $39.91 and $41.34. ATM implied volatility averaged 14.9%, placing in the 4.8% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded below realized volatility by 0.4% (HV 20d: 15.3%). Max pain ranged from $35.00 to $44.00. Net GEX was positive for 13 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 0.90.

Notable Days

  • 2014-07-14: Highest Volume — 30,052 contracts
  • 2014-07-31: Largest IV spike — 15.4% change
  • 2014-07-31: Highest IV Rank — 11.2%
  • 2014-07-08: Largest Expected Move — 6.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.48$39.91$41.34$40.77$40.39
Max Pain$37.57$35.00$44.00$35.00$44.00
ATM IV14.9%13.6%16.6%14.3%16.6%
Expected Move6.3%6.0%6.6%6.5%6.4%
HV 20d15.3%10.3%18.7%18.6%11.5%
HV 60d15.8%14.6%18.0%18.0%14.9%
IV Rank4.8%0.0%11.2%0.0%11.2%
IV Percentile4.4%0.0%21.0%0.0%21.0%
Term Structure0.3%-0.4%1.1%0.5%-0.2%
VWIV22.6%19.8%24.5%24.2%21.4%
Skew 25d2.0%1.2%2.6%2.0%1.2%
Skew 10d4.7%3.3%5.7%4.1%4.3%
Call IV 25d14.4%13.4%16.1%13.8%16.1%
Put IV 25d16.4%15.1%18.3%15.8%17.3%
Bid-Ask Spread %6.994.749.496.257.17
Gamma HHI0.120.090.420.090.12
Net GEX2.9M-46.1M25.0M-448.3K14.7M
Net DEX-87.2M-233.9M18.3M-63.3M-132.3M
Net VEX-3.2M-3.2M-3.1M-3.2M-3.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.900.253.150.411.24
Total Volume17,445.0919,10230,05216,55815,605
Total OI572,490.682541,661616,872571,115566,042

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-07-01$40.77$35.0014.3%6.5%18.6%0.0%24.2%2.0%0.5%-448.3K-63.3M-3.2M0.416.2511,7404,818282,938288,177
2014-07-02$40.95$35.0014.3%6.5%18.7%0.1%24.1%1.9%0.4%8.1M-111.3M-3.2M0.326.1413,7144,362290,161290,192
2014-07-03$41.34$35.0013.6%6.4%18.7%0.0%23.5%1.8%0.7%4.5M-215.1M-3.2M0.306.2316,3794,929295,250290,876
2014-07-07$40.89$35.0014.7%6.5%18.3%4.1%24.5%1.9%0.3%3.8M-127.4M-3.1M1.026.605,4505,548283,621280,398
2014-07-08$40.56$35.0015.3%6.6%18.4%6.5%23.6%2.2%0.1%-370.8K-68.0M-3.2M1.325.916,6578,803285,223282,594
2014-07-09$40.26$35.0015.2%6.6%18.5%5.9%23.6%2.4%0.7%-4.9M-4.5M-3.2M0.446.1010,7364,726287,413287,468
2014-07-10$40.32$35.0015.3%6.6%18.5%6.5%23.5%2.1%1.1%-4.5M-16.3M-3.2M1.656.035,1568,482293,131288,689
2014-07-11$40.13$35.0015.4%6.5%18.1%6.8%22.7%2.1%0.3%-4.3M15.6M-3.1M3.156.144,42513,955295,079292,240
2014-07-14$40.49$35.0015.4%6.5%18.5%6.8%22.8%2.4%-0.4%-1.4M-68.3M-3.1M0.965.9215,34614,706289,749289,903
2014-07-15$40.54$35.0014.7%6.5%18.5%4.1%22.9%2.3%0.7%5.2M-90.6M-3.1M1.296.066,3448,160299,554290,582
2014-07-16$40.26$35.0015.4%6.5%18.4%6.9%23.2%1.8%0.0%-1.9M-25.1M-3.1M0.817.1113,66611,106300,429291,388
2014-07-17$39.91$35.0016.4%6.6%17.8%10.6%23.9%2.5%-0.1%-6.1M18.2M-3.2M1.366.9712,62417,203307,797296,279
2014-07-18$40.00$35.0015.0%6.5%17.8%5.3%23.1%2.6%0.4%-46.1M18.3M-3.2M1.406.917,15810,003311,292305,580
2014-07-21$40.01$0.0015.2%6.1%11.0%6.0%21.9%2.4%0.2%1.5M-52.2M-3.1M0.914.748,8728,107268,639276,574
2014-07-22$40.43$40.0014.6%6.0%11.4%3.7%21.9%1.8%0.2%9.9M-123.7M-3.2M0.348.7713,9314,734273,968279,694
2014-07-23$40.31$39.0014.3%6.0%11.1%2.9%20.9%1.8%0.6%10.6M-106.0M-3.1M0.418.197,5823,114275,045282,131
2014-07-24$40.47$39.0014.4%6.1%10.9%3.2%19.8%2.1%0.1%15.0M-137.1M-3.1M0.619.225,6613,441276,732283,364
2014-07-25$40.33$43.0014.4%6.0%10.6%3.3%22.1%2.3%-0.3%8.7M-98.5M-3.1M0.747.656,8285,054280,271285,013
2014-07-28$40.55$43.0014.6%6.0%10.3%3.8%21.5%1.4%0.3%10.0M-132.9M-3.2M0.267.7315,2894,030271,921269,740
2014-07-29$40.63$43.0015.0%6.0%10.3%5.3%21.2%1.9%0.1%16.6M-163.4M-3.2M0.258.5613,1323,304279,505271,444
2014-07-30$40.96$43.0014.4%6.0%10.5%2.9%21.1%2.0%-0.0%25.0M-233.9M-3.2M0.549.4912,2736,639286,191272,518
2014-07-31$40.39$44.0016.6%6.4%11.5%11.2%21.4%1.2%-0.2%14.7M-132.3M-3.2M1.247.176,9828,623291,771274,271