ORCL Options History — November 2014

In November 2014, ORCL traded between $38.98 and $42.41. ATM implied volatility averaged 17.0%, placing in the 23.5% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 1.7% (HV 20d: 15.2%). Max pain ranged from $39.00 to $41.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 1.10.

Notable Days

  • 2014-11-10: Highest Volume — 39,811 contracts
  • 2014-11-17: Largest IV spike — 14.6% change
  • 2014-11-25: Highest IV Rank — 46.5%
  • 2014-11-03: Largest Expected Move — 5.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.65$38.98$42.41$38.98$42.41
Max Pain$39.33$39.00$41.00$39.00$41.00
ATM IV17.0%13.8%20.2%16.5%19.8%
Expected Move5.5%5.0%5.9%5.9%5.2%
HV 20d15.2%10.5%20.8%20.8%11.9%
HV 60d18.7%18.4%19.0%18.5%19.0%
IV Rank23.5%1.4%46.5%20.5%43.7%
IV Percentile30.7%0.4%66.7%21.4%64.3%
Term Structure1.0%-1.6%4.8%0.3%-1.1%
VWIV21.6%16.7%26.8%26.8%16.7%
Skew 25d3.2%2.2%4.5%3.0%3.8%
Skew 10d7.7%5.6%10.4%9.7%10.4%
Call IV 25d15.9%12.9%19.1%15.4%19.1%
Put IV 25d19.0%15.5%22.8%18.5%22.8%
Bid-Ask Spread %9.343.7412.209.1210.75
Gamma HHI0.120.090.150.090.13
Net GEX16.1M2.6M25.8M2.6M25.8M
Net DEX-258.7M-496.8M10.4M10.4M-496.8M
Net VEX-2.5M-2.6M-2.3M-2.5M-2.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.100.262.342.180.33
Total Volume23,945.2118,98939,81120,92421,881
Total OI587,627.421556,756611,641568,923575,216

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-11-03$38.98$39.0016.5%5.9%20.8%20.5%26.8%3.0%0.3%2.6M10.4M-2.5M2.189.126,57314,351265,399303,524
2014-11-04$39.13$39.0016.2%5.9%19.9%18.2%25.7%3.3%0.7%4.5M-7.9M-2.5M1.3310.549,01012,027267,508304,049
2014-11-05$39.25$39.0016.3%5.7%19.3%19.1%25.0%3.2%0.2%7.7M-44.6M-2.5M1.9910.938,14016,236273,251304,531
2014-11-06$39.79$39.0014.7%5.6%19.6%8.0%25.2%3.2%0.2%13.3M-133.1M-2.6M1.328.119,89313,037276,869308,582
2014-11-07$39.95$39.0014.2%5.6%18.4%4.0%26.3%2.3%0.5%17.8M-162.2M-2.5M0.8410.3414,44512,174277,033308,670
2014-11-10$40.45$39.0013.8%5.6%18.8%1.4%21.1%2.8%4.3%16.5M-228.5M-2.6M1.0510.1219,37420,437278,892302,649
2014-11-11$40.45$39.0014.0%5.6%17.7%2.5%23.5%2.6%4.8%17.8M-244.1M-2.5M0.949.1014,30813,412277,802296,710
2014-11-12$40.15$39.0015.0%5.6%16.7%9.7%25.5%2.8%3.4%15.1M-173.3M-2.6M2.2511.1912,23327,501286,750308,164
2014-11-13$40.73$39.0015.1%5.5%14.8%10.8%24.8%3.5%4.0%14.7M-281.6M-2.6M1.0410.5915,98416,549286,959318,800
2014-11-14$40.84$39.0015.5%5.4%14.7%13.6%19.5%2.2%4.7%15.0M-305.9M-2.6M0.2610.5914,5973,829291,126320,515
2014-11-17$41.15$39.0017.8%5.5%14.6%29.4%18.9%3.0%0.2%17.8M-359.5M-2.5M0.677.5312,0778,104287,472316,563
2014-11-18$41.29$39.0018.1%5.5%14.1%31.8%18.7%2.8%-0.1%19.3M-390.8M-2.5M0.497.2914,8487,333289,136317,505
2014-11-19$40.92$39.0018.5%5.4%12.1%34.6%18.5%2.9%0.5%17.1M-322.0M-2.4M1.069.984,3544,635292,826318,329
2014-11-20$40.95$39.0018.6%5.5%11.4%35.4%19.2%2.9%0.8%16.6M-322.5M-2.4M0.8210.839,2277,599291,134316,981
2014-11-21$41.37$39.0019.0%5.5%11.2%37.6%20.8%3.2%-0.0%20.5M-407.7M-2.4M0.8912.2018,91316,892292,076317,854
2014-11-24$41.43$0.0019.2%5.1%10.5%39.2%18.2%4.3%-1.1%21.4M-339.1M-2.3M0.603.7410,5516,341267,670289,086
2014-11-25$41.20$41.0020.2%5.2%11.0%46.5%18.2%3.8%-1.6%19.4M-300.3M-2.4M2.347.907,49817,537272,205291,375
2014-11-26$41.87$41.0019.5%5.0%11.7%41.3%17.4%4.5%-0.9%23.6M-405.3M-2.5M0.436.579,1323,927273,372298,338
2014-11-28$42.41$41.0019.8%5.2%11.9%43.7%16.7%3.8%-1.1%25.8M-496.8M-2.4M0.3310.7516,4035,478275,474299,742