ORCL Options History — August 2014

In August 2014, ORCL traded between $39.61 and $41.84. ATM implied volatility averaged 17.1%, placing in the 13.0% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 3.5% (HV 20d: 13.6%). Max pain ranged from $43.00 to $44.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 1.01.

Notable Days

  • 2014-08-19: Highest Volume — 41,713 contracts
  • 2014-08-25: Largest IV spike — 10.1% change
  • 2014-08-29: Highest IV Rank — 22.4%
  • 2014-08-07: Largest Expected Move — 6.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.69$39.61$41.84$39.61$41.53
Max Pain$43.71$43.00$44.00$44.00$43.00
ATM IV17.1%15.0%19.6%18.2%19.6%
Expected Move6.2%5.8%6.6%6.5%5.8%
HV 20d13.6%11.6%14.7%12.6%11.6%
HV 60d15.0%14.7%15.6%15.4%14.7%
IV Rank13.0%5.4%22.4%17.2%22.4%
IV Percentile28.5%7.1%57.9%41.3%57.9%
Term Structure1.4%-0.9%4.5%-0.1%-0.5%
VWIV22.2%19.5%27.6%23.2%20.6%
Skew 25d2.9%1.9%3.7%1.9%3.6%
Skew 10d6.4%4.2%8.2%4.2%7.4%
Call IV 25d16.1%13.3%18.9%17.9%18.9%
Put IV 25d19.0%15.7%22.5%19.7%22.5%
Bid-Ask Spread %7.665.8510.308.2210.04
Gamma HHI0.110.070.150.080.12
Net GEX11.5M-612.1K23.6M2.1M20.0M
Net DEX-177.3M-382.8M2.8M2.8M-317.6M
Net VEX-3.1M-3.3M-2.9M-3.2M-2.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.010.323.261.681.46
Total Volume18,090.9055,82641,71323,64828,044
Total OI586,900.143560,737614,208571,803602,998

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-08-01$39.61$44.0018.2%6.5%12.6%17.2%23.2%1.9%-0.1%2.1M2.8M-3.2M1.688.228,83214,816294,442277,361
2014-08-04$40.10$44.0016.7%6.4%13.2%11.7%22.5%2.9%0.1%7.4M-79.5M-3.2M0.487.707,1913,469285,306279,142
2014-08-05$39.96$44.0017.2%6.5%12.9%13.5%22.1%3.2%0.4%6.2M-58.7M-3.2M1.236.754,8915,995288,988280,389
2014-08-06$40.16$44.0017.1%6.6%12.8%13.2%22.9%2.8%0.3%8.0M-82.9M-3.3M0.516.738,9354,590290,006280,775
2014-08-07$39.67$43.0017.8%6.6%13.5%15.9%22.7%2.5%0.3%1.9M-3.5M-3.2M3.266.015,62218,330294,502281,994
2014-08-08$39.94$44.0016.6%6.6%13.7%11.2%22.4%2.6%0.7%1.4M-35.4M-3.2M0.805.856,6975,332296,384295,265
2014-08-11$39.92$44.0016.2%6.5%13.3%9.6%27.6%2.6%3.3%423.2K-29.9M-3.2M2.116.945,26911,095289,871292,423
2014-08-12$39.90$44.0015.7%6.4%13.2%7.8%23.6%2.5%3.6%-612.1K-27.2M-3.1M0.507.026,5383,283291,652297,103
2014-08-13$40.24$44.0015.0%6.3%13.4%5.4%23.0%2.4%3.9%5.6M-81.7M-3.2M1.1310.3014,40316,334294,789298,559
2014-08-14$40.22$44.0015.2%6.3%13.0%6.2%25.5%2.6%3.8%-325.3K-80.0M-3.1M0.326.9116,6125,387298,875306,846
2014-08-15$40.28$44.0015.4%6.2%13.0%6.8%21.2%2.4%4.5%8.2M-103.3M-3.1M1.258.4716,96921,187306,112308,096
2014-08-18$40.64$44.0016.1%6.0%13.4%9.5%21.4%3.5%1.8%11.0M-162.2M-3.0M0.428.3210,0444,242266,532294,205
2014-08-19$41.41$44.0015.8%6.0%14.5%8.3%21.3%3.2%2.5%18.3M-317.1M-3.0M0.928.2521,72819,985274,029296,520
2014-08-20$41.25$44.0016.6%5.9%14.5%11.2%20.9%3.1%2.4%20.0M-288.8M-3.1M1.146.917,2828,333284,149300,028
2014-08-21$41.58$44.0016.7%5.8%14.7%11.6%20.7%3.2%2.0%20.4M-343.4M-3.1M0.647.6511,8317,536286,384306,601
2014-08-22$41.63$44.0017.0%5.8%14.6%12.6%20.3%2.7%2.2%22.3M-366.5M-3.1M0.518.049,0854,648290,479309,130
2014-08-25$41.74$43.0018.7%5.8%14.5%19.0%21.1%3.3%-0.9%23.3M-361.3M-3.0M0.757.455,7584,335286,785305,653
2014-08-26$41.84$43.0018.2%5.8%14.5%17.3%20.7%3.2%-0.5%23.6M-382.8M-3.0M0.697.563,4512,375288,005307,803
2014-08-27$41.64$43.0019.1%5.8%14.4%20.8%22.2%3.7%-0.5%22.6M-334.7M-3.0M0.857.493,8883,318288,962308,381
2014-08-28$41.27$43.0019.4%5.9%13.8%21.6%19.5%3.2%-0.5%19.7M-269.1M-2.9M0.498.198,1964,053289,546309,833
2014-08-29$41.53$43.0019.6%5.8%11.6%22.4%20.6%3.6%-0.5%20.0M-317.6M-2.9M1.4610.0411,41816,626291,418311,580