ORCL Options History — January 2015

In January 2015, ORCL traded between $41.97 and $44.41. ATM implied volatility averaged 19.1%, placing in the 37.7% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded below realized volatility by 9.8% (HV 20d: 28.8%). Max pain ranged from $43.00 to $44.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.57.

Notable Days

  • 2015-01-02: Highest Volume — 95,506 contracts
  • 2015-01-05: Largest IV spike — 11.0% change
  • 2015-01-30: Highest IV Rank — 53.3%
  • 2015-01-30: Largest Expected Move — 6.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.35$41.97$44.41$44.41$41.97
Max Pain$43.55$43.00$44.00$44.00$43.00
ATM IV19.1%16.5%21.3%17.9%21.3%
Expected Move5.5%4.7%6.2%5.2%6.2%
HV 20d28.8%15.4%40.8%39.9%17.7%
HV 60d25.8%25.3%26.6%26.3%26.1%
IV Rank37.7%20.0%53.3%29.9%53.3%
IV Percentile53.2%20.6%76.2%40.5%76.2%
Term Structure-0.0%-1.0%0.7%-0.4%-0.1%
VWIV18.9%16.3%21.4%18.0%21.4%
Skew 25d3.6%2.5%5.3%3.4%3.5%
Skew 10d7.6%5.2%13.2%6.1%6.4%
Call IV 25d17.9%15.0%20.3%17.0%20.1%
Put IV 25d21.5%18.4%23.6%20.4%23.6%
Bid-Ask Spread %11.558.3317.9010.9414.43
Gamma HHI0.120.090.150.120.09
Net GEX23.5M7.8M33.7M33.6M7.8M
Net DEX-224.3M-585.8M-24.3M-585.8M-24.3M
Net VEX-2.3M-2.4M-2.2M-2.2M-2.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.570.211.060.211.03
Total Volume34,991.920,49795,50695,50641,473
Total OI477,609.3328,479615,169615,169384,141

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-01-02$44.41$44.0017.9%5.2%39.9%29.9%18.0%3.4%-0.4%33.6M-585.8M-2.2M0.2110.9479,13816,368337,305277,864
2015-01-05$43.59$44.0019.9%5.6%40.5%43.6%20.1%3.2%0.0%33.7M-281.0M-2.3M0.719.9121,84115,514275,292276,232
2015-01-06$43.14$44.0020.7%6.0%40.8%49.1%20.5%3.4%-0.2%26.5M-203.6M-2.4M0.4910.4215,6827,692281,849283,716
2015-01-07$43.15$44.0020.1%5.7%40.5%44.9%19.2%3.7%0.0%29.3M-209.5M-2.3M0.5410.6917,3619,306289,404287,111
2015-01-08$43.43$44.0018.8%5.4%40.3%36.1%18.4%3.2%-0.3%31.2M-249.3M-2.3M0.369.6227,4469,781295,923290,265
2015-01-09$43.41$44.0019.0%5.5%39.1%37.4%18.1%3.3%-0.3%27.4M-253.0M-2.3M0.318.3331,3509,567293,165288,576
2015-01-12$43.35$44.0019.5%5.6%39.1%41.0%19.4%4.1%0.4%30.8M-274.9M-2.3M0.6710.4928,33919,074274,807282,790
2015-01-13$42.88$44.0019.3%5.4%38.6%39.4%19.0%3.7%0.1%24.7M-191.2M-2.2M0.5013.9422,08411,051284,552286,921
2015-01-14$43.06$44.0020.1%5.6%37.3%44.7%19.9%4.4%-0.4%25.1M-222.8M-2.3M0.8810.9016,68714,747278,373289,823
2015-01-15$42.60$44.0020.8%5.8%37.2%49.9%20.4%3.2%-1.0%20.4M-142.1M-2.2M0.749.9918,71813,823273,131292,596
2015-01-16$43.51$44.0019.0%5.3%37.7%37.5%19.5%5.3%-0.9%16.7M-312.5M-2.2M0.3411.9020,9767,145277,247291,375
2015-01-20$43.90$43.0018.6%5.3%16.6%34.4%19.1%3.8%0.3%18.9M-212.6M-2.3M0.2910.5021,6236,315192,304136,175
2015-01-21$43.49$43.0018.4%5.3%15.4%33.1%18.4%3.6%0.5%18.1M-183.2M-2.3M0.3710.8014,9355,562205,006140,400
2015-01-22$44.01$43.0017.2%4.9%16.1%24.7%16.6%3.1%0.5%25.0M-244.6M-2.4M0.2611.2628,2967,330208,779143,445
2015-01-23$44.25$43.0016.5%4.7%15.7%20.0%17.0%3.4%0.5%31.2M-284.6M-2.4M0.4412.3324,71410,814216,341145,225
2015-01-26$43.90$43.0016.8%4.7%15.7%21.8%16.3%3.9%-0.2%24.9M-222.3M-2.3M0.4611.3815,8777,240211,930144,036
2015-01-27$43.40$43.0018.2%5.4%16.0%31.6%18.7%3.9%0.7%18.8M-174.9M-2.4M0.7616.2316,38812,495217,326146,068
2015-01-28$42.73$43.0019.6%5.8%16.4%41.2%19.2%2.5%0.1%12.5M-102.2M-2.4M1.0617.9012,29813,094221,379151,523
2015-01-29$42.87$43.0019.6%5.6%16.5%41.4%19.4%4.0%-0.1%12.3M-110.6M-2.4M1.049.0113,55914,135224,137155,654
2015-01-30$41.97$43.0021.3%6.2%17.7%53.3%21.4%3.5%-0.1%7.8M-24.3M-2.4M1.0314.4320,43721,036224,337159,804