ORCL Options History — September 2014

In September 2014, ORCL traded between $38.28 and $41.90. ATM implied volatility averaged 19.3%, placing in the 30.6% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 4.4% (HV 20d: 14.9%). Max pain ranged from $39.00 to $43.00. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.84.

Notable Days

  • 2014-09-19: Highest Volume — 205,533 contracts
  • 2014-09-19: Largest IV drop — 27.4% change
  • 2014-09-15: Highest IV Rank — 57.9%
  • 2014-09-12: Largest Expected Move — 6.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.30$38.28$41.90$41.66$38.28
Max Pain$41.43$39.00$43.00$43.00$39.00
ATM IV19.3%15.0%22.1%20.1%17.4%
Expected Move5.9%5.6%6.2%5.9%6.0%
HV 20d14.9%10.5%21.1%11.0%21.0%
HV 60d14.7%12.1%16.0%14.5%15.9%
IV Rank30.6%9.7%57.9%24.3%26.4%
IV Percentile52.0%5.2%78.6%64.7%35.7%
Term Structure-0.5%-2.2%0.7%-0.3%0.2%
VWIV20.8%19.4%22.8%19.9%21.5%
Skew 25d3.3%2.4%4.5%4.3%2.8%
Skew 10d6.8%4.3%9.5%7.8%5.4%
Call IV 25d18.2%14.3%21.0%18.7%16.8%
Put IV 25d21.5%17.0%24.6%23.0%19.6%
Bid-Ask Spread %9.397.8712.628.268.47
Gamma HHI0.120.100.140.120.12
Net GEX6.6M-12.7M25.8M23.3M-6.3M
Net DEX-81.1M-364.5M177.5M-322.8M177.5M
Net VEX-2.8M-3.0M-2.6M-2.9M-2.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.840.201.560.620.42
Total Volume39,168.196,570205,5337,73515,282
Total OI623,900.381558,700746,986604,605574,418

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-09-02$41.66$43.0020.1%5.9%11.0%24.3%19.9%4.3%-0.3%23.3M-322.8M-2.9M0.628.264,7682,967287,870316,735
2014-09-03$41.90$43.0019.7%5.8%10.9%23.0%22.4%3.7%-0.5%25.8M-364.5M-3.0M1.558.993,4625,372289,874317,795
2014-09-04$41.55$43.0020.0%5.8%11.5%24.1%20.7%2.9%-0.5%24.6M-302.4M-2.9M1.199.4111,92414,184290,944321,139
2014-09-05$41.27$43.0019.7%5.9%10.7%22.9%19.8%3.3%-0.4%11.2M-237.3M-2.9M0.209.5531,0846,259295,050328,524
2014-09-08$40.64$43.0022.1%6.0%12.2%32.0%21.5%4.1%-2.0%10.0M-118.7M-2.9M0.538.0923,36712,490303,884327,132
2014-09-09$40.71$42.0021.8%6.0%12.2%30.7%20.9%3.0%-1.7%9.9M-133.5M-2.9M1.217.895,2256,338309,262332,618
2014-09-10$40.71$42.0021.9%6.0%12.2%31.3%21.8%3.8%-2.2%11.0M-132.8M-3.0M1.128.313,0923,478311,533332,495
2014-09-11$40.68$42.0021.8%6.0%11.9%30.6%20.9%4.5%-2.0%10.0M-120.0M-3.0M0.687.8712,3778,355312,285333,161
2014-09-12$40.50$42.0021.9%6.2%12.0%57.0%22.8%3.4%-1.0%13.9M-93.3M-2.9M1.128.2111,53112,869315,220338,232
2014-09-15$40.66$42.0022.1%6.1%12.1%57.9%21.0%3.3%0.4%12.1M-148.9M-2.8M0.888.5312,36910,826312,736328,159
2014-09-16$41.19$42.0021.3%6.0%12.5%53.7%19.6%3.6%-0.1%17.9M-248.0M-2.9M1.569.4918,64829,073315,705332,079
2014-09-17$41.14$42.0021.0%6.0%10.5%51.7%21.3%3.5%-0.5%15.9M-230.5M-2.8M0.8011.4510,8878,673323,972350,996
2014-09-18$41.55$42.0020.6%5.8%11.0%49.1%20.7%3.3%-0.4%19.3M-311.0M-2.8M1.1412.6271,47581,433319,695350,071
2014-09-19$39.80$42.0015.0%5.6%18.6%9.7%20.9%2.7%0.7%-2.3M173.7M-2.6M1.1411.9796,017109,516355,191391,795
2014-09-22$39.58$40.0015.7%5.7%18.6%14.9%19.4%3.0%-0.4%-7.6M54.7M-2.6M0.7810.2118,37914,408275,666283,034
2014-09-23$38.83$40.0016.5%5.7%19.4%20.2%20.8%2.4%-0.1%-12.6M160.9M-2.6M0.658.9124,69816,079281,679290,567
2014-09-24$39.42$40.0015.8%5.7%20.4%15.1%20.0%3.0%-0.3%-9.3M55.1M-2.8M0.4310.2421,7009,369291,582297,631
2014-09-25$38.76$40.0016.7%5.9%21.0%22.0%20.7%2.8%-0.0%-10.5M150.7M-2.7M0.659.5514,3209,237293,519299,630
2014-09-26$38.95$39.0016.4%5.9%21.1%20.0%20.4%3.8%-0.3%-12.7M123.2M-2.8M0.609.7820,15812,063299,828298,769
2014-09-29$38.44$39.0017.4%6.0%21.1%27.0%20.3%3.1%0.2%-5.9M165.5M-2.7M0.349.2814,0274,753286,050285,383
2014-09-30$38.28$39.0017.4%6.0%21.0%26.4%21.5%2.8%0.2%-6.3M177.5M-2.6M0.428.4710,7374,545287,414287,004