ORCL Options History — February 2015

In February 2015, ORCL traded between $42.37 and $44.11. ATM implied volatility averaged 20.3%, placing in the 46.6% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 1.0% (HV 20d: 19.3%). Max pain ranged from $42.00 to $43.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 0.70.

Notable Days

  • 2015-02-12: Highest Volume — 31,218 contracts
  • 2015-02-17: Largest IV spike — 17.0% change
  • 2015-02-26: Highest IV Rank — 63.7%
  • 2015-02-26: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.56$42.37$44.11$42.68$43.85
Max Pain$42.16$42.00$43.00$43.00$42.00
ATM IV20.3%17.7%22.8%20.9%22.1%
Expected Move6.3%5.4%6.7%6.0%6.6%
HV 20d19.3%17.4%21.6%18.7%17.4%
HV 60d26.7%26.2%26.9%26.2%26.5%
IV Rank46.6%28.6%63.7%50.8%58.7%
IV Percentile65.3%34.5%89.3%71.8%84.1%
Term Structure0.9%-1.1%5.0%-0.3%-1.1%
VWIV21.9%18.6%24.5%21.0%24.5%
Skew 25d4.1%3.2%4.8%4.2%3.6%
Skew 10d8.7%6.7%10.6%10.6%8.3%
Call IV 25d19.0%15.7%21.8%19.2%21.8%
Put IV 25d23.0%19.2%25.6%23.5%25.4%
Bid-Ask Spread %9.036.6711.8111.4311.81
Gamma HHI0.130.090.290.100.11
Net GEX18.6M6.9M40.0M9.6M16.0M
Net DEX-182.1M-253.6M-59.2M-89.9M-214.5M
Net VEX-2.4M-2.5M-2.3M-2.5M-2.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.700.231.080.601.05
Total Volume21,926.7898,30631,21818,98118,098
Total OI394,121.158364,352418,340377,513390,203

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-02-02$42.68$43.0020.9%6.0%18.7%50.8%21.0%4.2%-0.3%9.6M-89.9M-2.5M0.6011.4311,8667,115210,603166,910
2015-02-03$43.03$43.0019.0%5.4%17.9%37.2%18.6%3.8%-0.2%11.9M-132.9M-2.5M0.7110.5711,7708,342214,197171,846
2015-02-04$42.37$43.0019.7%5.6%18.4%42.4%18.7%3.8%0.0%6.9M-59.2M-2.4M0.669.9913,2038,715215,935172,807
2015-02-05$43.17$42.0018.9%6.4%19.7%36.6%22.1%4.4%0.3%13.9M-142.4M-2.5M0.737.6412,2468,933216,640173,622
2015-02-06$42.97$42.0018.6%6.5%19.6%34.8%21.4%3.2%-0.3%7.7M-116.1M-2.4M0.789.0112,81010,034218,557174,661
2015-02-09$43.46$42.0018.5%6.7%20.0%34.0%22.4%4.1%5.0%16.6M-169.4M-2.5M0.706.6716,19911,407214,383173,763
2015-02-10$44.04$42.0017.7%6.3%20.6%28.6%21.7%3.5%4.3%25.7M-247.8M-2.5M0.679.9813,2798,835221,722179,556
2015-02-11$43.30$42.0018.5%6.6%21.1%34.0%22.7%4.0%4.6%16.8M-144.2M-2.4M0.949.3610,93410,295224,172181,006
2015-02-12$43.87$42.0018.2%6.3%21.6%31.8%21.4%3.8%4.6%27.6M-229.2M-2.5M0.348.1223,2917,927225,089181,376
2015-02-13$43.92$42.0018.6%6.2%21.1%34.4%22.7%3.5%4.6%40.0M-236.4M-2.4M0.647.7412,5368,073236,360181,980
2015-02-17$43.78$42.0021.7%6.4%19.8%56.0%22.4%4.3%-0.2%23.5M-202.4M-2.3M1.087.819,78910,574228,997178,003
2015-02-18$44.03$42.0022.4%6.4%19.7%61.0%22.8%4.3%-0.2%25.7M-230.7M-2.4M0.7810.9510,8548,514232,494179,552
2015-02-19$44.11$42.0022.3%6.4%19.4%60.0%22.4%4.4%-0.4%32.9M-253.6M-2.3M0.267.886,6171,689234,209180,580
2015-02-20$43.77$42.0021.6%6.2%19.1%55.5%21.8%4.2%-0.3%11.4M-182.7M-2.3M0.238.0322,5545,246234,372181,495
2015-02-23$43.79$42.0021.3%6.2%19.0%53.3%21.8%4.7%-0.7%15.1M-187.9M-2.3M0.898.369,1508,143201,439162,913
2015-02-24$43.90$42.0021.1%6.1%18.8%51.7%22.5%4.8%-0.7%16.8M-199.9M-2.3M0.669.3415,23510,036203,100164,897
2015-02-25$43.74$42.0022.3%6.6%18.4%60.2%22.5%4.7%-0.7%16.1M-198.2M-2.3M0.979.4212,59112,213210,384165,581
2015-02-26$43.93$42.0022.8%6.7%17.4%63.7%23.4%4.0%-1.0%18.6M-222.6M-2.3M0.517.5418,2169,280215,349169,549
2015-02-27$43.85$42.0022.1%6.6%17.4%58.7%24.5%3.6%-1.1%16.0M-214.5M-2.3M1.0511.818,8099,289220,141170,062