ORCL Options History — December 2014

In December 2014, ORCL traded between $40.00 and $46.16. ATM implied volatility averaged 21.2%, placing in the 52.8% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded below realized volatility by 3.8% (HV 20d: 25.0%). Max pain ranged from $41.00 to $44.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 0.88.

Notable Days

  • 2014-12-18: Highest Volume — 164,273 contracts
  • 2014-12-18: Largest IV drop — 32.6% change
  • 2014-12-15: Highest IV Rank — 100.0%
  • 2014-12-17: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.15$40.00$46.16$42.10$44.97
Max Pain$42.18$41.00$44.00$42.00$44.00
ATM IV21.2%17.0%28.1%20.4%17.6%
Expected Move5.5%4.8%6.8%5.3%5.1%
HV 20d25.0%12.1%39.5%12.2%39.5%
HV 60d22.0%18.6%26.5%19.1%26.4%
IV Rank52.8%23.2%100.0%47.4%27.6%
IV Percentile65.5%28.6%100.0%68.7%36.9%
Term Structure-0.3%-1.7%1.0%0.7%-0.0%
VWIV19.6%17.0%25.3%18.2%17.8%
Skew 25d3.3%1.8%4.9%3.4%2.7%
Skew 10d7.9%4.7%13.4%7.2%5.6%
Call IV 25d20.2%16.6%26.1%19.1%16.9%
Put IV 25d23.4%18.7%30.9%22.5%19.6%
Bid-Ask Spread %12.037.5124.9111.009.68
Gamma HHI0.130.080.220.140.22
Net GEX29.4M6.1M55.0M24.4M55.0M
Net DEX-551.6M-1.28B-14.0M-432.2M-714.6M
Net VEX-2.4M-2.6M-2.1M-2.4M-2.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.880.191.700.830.81
Total Volume41,637.36414,613164,27325,37222,467
Total OI624,123.273573,485772,332573,485606,783

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-12-01$42.10$42.0020.4%5.3%12.2%47.4%18.2%3.4%0.7%24.4M-432.2M-2.4M0.8311.0013,87311,499277,248296,237
2014-12-02$42.12$42.0020.3%5.2%12.2%47.2%18.2%3.8%-0.1%24.0M-430.1M-2.4M1.3810.519,29912,877278,180299,707
2014-12-03$42.07$42.0021.0%5.3%12.3%52.0%17.9%3.3%-0.0%22.2M-413.3M-2.4M1.7010.2213,25622,563280,036303,767
2014-12-04$41.89$42.0021.3%5.3%12.6%54.2%18.7%3.9%-0.4%20.2M-369.7M-2.5M0.959.607,5017,112286,540313,232
2014-12-05$41.85$42.0021.4%5.4%12.1%54.3%19.9%3.7%-0.6%20.2M-361.6M-2.5M0.597.5122,85813,420289,967317,747
2014-12-08$41.35$42.0022.4%5.7%13.1%61.4%18.6%3.3%-0.2%16.6M-263.1M-2.5M1.108.747,8338,638298,046321,416
2014-12-09$41.88$42.0022.1%5.6%13.1%59.3%20.0%2.9%-0.7%21.4M-368.9M-2.5M0.928.6013,39912,320303,476323,717
2014-12-10$40.88$42.0024.5%6.0%16.0%76.0%20.7%3.5%-0.6%13.6M-180.1M-2.6M1.2210.418,96210,931308,198326,259
2014-12-11$40.73$41.0024.5%6.1%15.8%76.4%21.0%3.6%-1.6%11.5M-143.4M-2.5M0.9313.3010,1999,461310,787327,938
2014-12-12$40.00$41.0026.7%6.6%16.3%91.9%25.3%4.0%0.5%6.1M-14.0M-2.5M1.4511.4412,31517,807312,222328,568
2014-12-15$41.25$41.0028.0%6.8%19.8%100.0%23.7%4.8%-1.7%13.6M-239.0M-2.6M0.7311.1826,54619,505308,725332,115
2014-12-16$40.75$41.0028.1%6.8%20.1%100.0%24.2%4.9%-0.9%10.5M-155.0M-2.6M0.4911.2318,1658,936317,816340,017
2014-12-17$41.21$41.0027.7%6.8%20.5%97.3%24.6%4.5%-1.0%14.8M-245.7M-2.6M1.6117.2239,27763,116321,334342,330
2014-12-18$45.27$41.0018.7%5.3%38.9%35.1%18.7%3.5%-1.2%37.8M-1.08B-2.1M0.3617.71120,39243,881336,999383,736
2014-12-19$46.00$42.0018.3%5.3%39.1%32.6%18.8%2.8%-0.2%45.9M-1.28B-2.1M0.1924.91101,28519,119370,694401,638
2014-12-22$45.60$42.0017.4%4.9%39.3%26.3%17.4%2.2%0.3%47.8M-903.8M-2.3M0.6718.6924,99016,817323,334266,520
2014-12-23$46.08$43.0017.0%4.9%39.4%23.6%17.7%2.6%1.0%46.3M-955.7M-2.2M0.7311.6620,40414,927318,576271,064
2014-12-24$46.16$43.0017.1%4.9%39.2%24.2%17.7%2.4%0.2%47.3M-989.6M-2.2M0.8411.9217,63414,892326,330274,322
2014-12-26$46.14$44.0017.0%5.0%39.0%23.2%17.0%1.8%0.6%47.4M-981.4M-2.2M0.8911.4912,77111,426331,018277,037
2014-12-29$45.62$44.0017.3%4.8%39.3%25.8%17.6%2.5%-0.2%47.8M-829.0M-2.2M0.757.6415,19011,465314,948268,244
2014-12-30$45.34$44.0017.2%5.0%39.3%24.9%17.0%2.1%-0.8%52.1M-783.5M-2.2M0.249.9821,5325,162322,986270,858
2014-12-31$44.97$44.0017.6%5.1%39.5%27.6%17.8%2.7%-0.0%55.0M-714.6M-2.2M0.819.6812,43310,034334,236272,547