ORCL Options History — October 2014

In October 2014, ORCL traded between $37.56 and $39.08. ATM implied volatility averaged 19.3%, placing in the 39.7% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded below realized volatility by 2.8% (HV 20d: 22.0%). Max pain ranged from $39.00 to $40.00. Net GEX was positive for 7 of 23 trading days. Term structure was in contango for 7 of 23 days. Put/call ratio averaged 1.28.

Notable Days

  • 2014-10-03: Highest Volume — 42,466 contracts
  • 2014-10-17: Largest IV drop — 14.8% change
  • 2014-10-16: Highest IV Rank — 84.5%
  • 2014-10-16: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.42$37.56$39.08$38.09$39.01
Max Pain$39.04$39.00$40.00$39.00$39.00
ATM IV19.3%16.4%25.7%17.7%16.4%
Expected Move6.3%5.9%7.0%6.2%5.9%
HV 20d22.0%20.6%25.0%20.6%20.8%
HV 60d17.6%15.8%19.0%15.8%18.5%
IV Rank39.7%19.6%84.5%29.0%19.6%
IV Percentile52.4%19.8%95.6%39.3%19.8%
Term Structure-0.4%-2.2%0.7%0.7%-0.5%
VWIV23.9%20.7%28.1%21.2%27.2%
Skew 25d3.5%1.8%7.6%3.0%3.0%
Skew 10d7.9%4.8%13.9%5.6%8.5%
Call IV 25d17.9%15.1%23.6%17.0%15.1%
Put IV 25d21.5%18.0%28.6%20.0%18.0%
Bid-Ask Spread %9.717.5112.179.858.88
Gamma HHI0.100.090.170.120.09
Net GEX-2.4M-13.8M13.4M-7.2M3.3M
Net DEX112.2M2.4M232.2M192.9M11.2M
Net VEX-2.8M-3.0M-2.6M-2.6M-2.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.280.163.590.871.24
Total Volume22,601.6524,71442,46622,71926,022
Total OI581,858.217541,671612,477577,508578,240

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-10-01$38.09$39.0017.7%6.2%20.6%29.0%21.2%3.0%0.7%-7.2M192.9M-2.6M0.879.8512,13410,585290,132287,376
2014-10-02$38.27$39.0018.1%6.2%20.8%31.7%20.8%2.1%-0.3%-6.8M174.4M-2.7M0.208.5216,3763,218292,076287,285
2014-10-03$38.89$39.0017.2%5.9%22.0%25.5%21.0%2.5%-0.7%4.1M64.7M-2.8M0.168.7436,5155,951301,043288,351
2014-10-06$39.08$39.0016.7%5.9%21.7%22.0%20.7%2.9%0.4%10.7M5.0M-2.8M0.387.5116,7076,419298,861284,342
2014-10-07$38.46$39.0018.2%6.2%22.2%32.4%21.0%1.8%-0.6%4.9M109.0M-2.8M0.317.968,7722,721303,432287,511
2014-10-08$39.03$39.0017.6%6.0%23.0%28.2%21.2%3.7%-0.1%13.4M2.4M-2.8M1.209.639,10410,880306,522287,145
2014-10-09$38.74$39.0019.3%6.2%23.1%39.9%22.2%3.0%0.3%12.7M49.6M-2.8M1.138.866,4247,265306,797287,996
2014-10-10$38.10$39.0021.1%6.5%23.6%52.9%22.6%2.1%-0.1%-2.4M164.3M-2.8M1.259.539,26711,586308,185291,230
2014-10-13$38.23$40.0022.8%6.8%23.6%64.4%24.2%3.0%-0.6%-3.7M130.6M-2.8M0.8510.035,7734,904292,098289,885
2014-10-14$38.99$39.0021.4%6.5%24.3%54.6%25.2%4.8%-1.2%1.3M33.2M-3.0M0.9011.0910,6109,576297,855294,664
2014-10-15$38.35$39.0023.8%7.0%24.8%71.5%25.1%7.6%-1.0%-3.2M123.9M-2.9M1.1212.1714,82416,631300,285299,114
2014-10-16$37.56$39.0025.7%7.0%25.0%84.5%24.6%4.5%-2.2%-9.0M232.2M-2.8M1.609.849,73515,529297,732302,491
2014-10-17$37.87$39.0021.9%6.7%20.9%57.9%26.5%4.3%-1.1%-13.8M210.5M-2.8M3.599.466,24822,447301,153311,324
2014-10-20$37.80$39.0020.4%6.5%20.9%47.4%22.1%3.7%-1.3%-9.0M191.6M-2.7M1.0211.5210,10710,329250,228291,443
2014-10-21$38.37$39.0018.7%6.4%20.8%36.0%28.1%3.9%-0.1%-6.6M119.6M-2.8M1.8510.0110,60519,598254,177304,564
2014-10-22$37.63$39.0020.5%6.4%20.9%48.0%27.6%4.1%-0.1%-11.1M212.8M-2.7M2.6910.179,20624,745257,922308,192
2014-10-23$38.21$39.0018.8%6.3%21.1%36.5%27.4%3.7%0.0%-7.6M132.9M-2.7M1.489.5511,16216,514258,734312,644
2014-10-24$38.71$39.0017.8%6.1%21.6%29.5%26.5%4.0%-0.5%-4.1M58.7M-2.7M0.929.6217,61116,201261,263314,248
2014-10-27$38.43$39.0018.3%6.3%21.2%32.9%21.2%3.7%-0.4%-5.1M101.7M-2.7M1.0010.064,6424,640262,955306,969
2014-10-28$38.65$39.0017.1%6.0%21.2%24.3%22.3%3.6%0.2%-3.8M71.7M-2.7M0.3410.313,5061,208265,320308,668
2014-10-29$38.58$39.0016.6%5.9%21.2%21.4%25.7%3.3%0.7%-5.0M86.4M-2.7M2.4010.866,58715,817266,084308,610
2014-10-30$38.51$39.0016.7%5.9%21.1%22.0%25.7%3.3%0.3%-7.1M101.4M-2.6M2.879.165,45515,682267,855309,738
2014-10-31$39.01$39.0016.4%5.9%20.8%19.6%27.2%3.0%-0.5%3.3M11.2M-2.6M1.248.8811,61214,410268,266309,974