ORCL Options History — March 2015

In March 2015, ORCL traded between $41.47 and $44.41. ATM implied volatility averaged 21.8%, placing in the 55.1% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 1.6% (HV 20d: 20.2%). Max pain ranged from $42.00 to $43.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 1.00.

Notable Days

  • 2015-03-13: Highest Volume — 117,229 contracts
  • 2015-03-18: Largest IV drop — 41.2% change
  • 2015-03-13: Highest IV Rank — 100.0%
  • 2015-03-17: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.15$41.47$44.41$44.00$43.21
Max Pain$42.55$42.00$43.00$42.00$43.00
ATM IV21.8%15.6%29.3%22.3%17.7%
Expected Move6.2%4.4%8.3%6.9%4.9%
HV 20d20.2%14.1%25.2%15.3%24.8%
HV 60d23.6%19.2%27.5%26.5%19.8%
IV Rank55.1%12.7%100.0%59.9%26.0%
IV Percentile64.8%15.1%100.0%85.7%34.9%
Term Structure-0.9%-2.2%0.3%-1.8%0.1%
VWIV21.9%15.5%29.2%24.4%16.6%
Skew 25d3.8%2.6%5.3%5.3%3.1%
Skew 10d7.5%4.7%11.1%11.1%7.5%
Call IV 25d20.5%14.6%28.0%20.4%16.6%
Put IV 25d24.3%17.5%32.2%25.7%19.7%
Bid-Ask Spread %10.226.9718.289.0511.50
Gamma HHI0.120.080.220.110.13
Net GEX16.8M-1.9M54.4M17.7M18.8M
Net DEX-161.9M-503.7M56.6M-228.5M-105.1M
Net VEX-2.5M-2.7M-2.2M-2.3M-2.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.000.432.261.110.86
Total Volume39,68311,394117,22916,05823,864
Total OI477,382.682386,444651,272386,444465,960

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-03-02$44.00$42.0022.3%6.9%15.3%59.9%24.4%5.3%-1.8%17.7M-228.5M-2.3M1.119.057,6048,454217,053169,391
2015-03-03$43.38$42.0023.3%7.3%15.4%66.9%25.9%4.1%-1.3%11.9M-159.3M-2.3M0.9910.8111,50511,439218,379171,699
2015-03-04$43.60$42.0023.6%7.5%15.2%68.9%27.1%4.3%-1.7%13.5M-176.5M-2.3M1.419.6210,84615,243223,047176,444
2015-03-05$43.83$43.0022.9%6.0%14.1%64.0%22.0%4.6%-1.9%15.1M-203.5M-2.3M2.268.679,01120,409226,462183,083
2015-03-06$42.37$43.0025.0%6.8%17.6%78.5%22.8%3.8%-1.7%2.7M-27.6M-2.3M1.2311.0116,78320,711228,204194,907
2015-03-09$42.69$43.0025.1%6.7%17.8%79.8%24.6%4.3%-1.6%5.7M-75.1M-2.2M1.467.8211,75217,164229,888187,518
2015-03-10$41.82$43.0026.0%7.1%18.6%85.9%24.4%4.5%-1.0%-507.8K19.8M-2.3M1.439.709,73413,879237,731199,275
2015-03-11$41.47$43.0027.1%7.7%17.8%93.5%25.9%4.3%-0.5%-1.9M56.6M-2.3M1.599.408,78513,975241,210204,121
2015-03-12$41.62$43.0028.0%7.6%17.2%99.6%27.9%4.2%-2.1%60.5K30.2M-2.3M0.667.7818,96712,606244,245204,075
2015-03-13$42.38$43.0028.4%7.9%17.8%100.0%28.2%4.5%-1.1%4.2M-62.7M-2.4M0.908.4261,54755,682252,902211,193
2015-03-16$43.41$42.0028.1%8.0%20.0%98.5%28.1%4.5%-2.2%17.8M-252.7M-2.7M0.726.9730,51222,034296,185254,576
2015-03-17$42.87$42.0029.3%8.3%20.5%100.0%29.2%4.1%-1.7%13.4M-182.4M-2.7M0.9614.7757,19454,946306,039264,132
2015-03-18$44.13$43.0017.3%4.9%23.0%23.3%18.3%2.8%-0.3%52.7M-448.2M-2.5M0.6818.2865,73244,751337,416292,804
2015-03-19$44.16$42.0016.5%4.7%23.0%18.6%16.7%2.6%0.2%54.4M-441.7M-2.5M0.759.0516,01911,971341,959305,037
2015-03-20$44.41$42.0015.6%4.5%22.9%12.7%15.9%2.9%-0.4%31.4M-503.7M-2.5M0.8310.1229,03824,159344,493306,779
2015-03-23$44.25$42.0016.0%4.5%22.9%15.4%15.8%2.6%-0.1%29.9M-291.8M-2.6M0.539.779,6985,170246,845202,624
2015-03-24$43.71$42.0016.0%4.4%23.3%15.5%15.5%2.9%-0.3%25.5M-199.5M-2.5M0.589.6915,1588,814249,715204,839
2015-03-25$42.93$42.0017.8%5.1%24.2%27.0%19.9%3.5%0.1%13.5M-75.2M-2.6M0.7311.0618,00313,125254,122208,805
2015-03-26$43.00$43.0017.9%5.1%24.1%27.3%18.1%3.6%0.2%14.4M-72.2M-2.7M0.8811.6714,78412,992255,493213,731
2015-03-27$42.64$43.0018.2%5.1%24.2%29.4%18.1%3.5%0.3%9.3M-16.5M-2.6M0.439.627,9743,420257,460214,905
2015-03-30$43.45$43.0017.1%4.8%25.2%22.0%16.7%3.0%-0.1%20.9M-146.0M-2.6M0.9510.0114,11213,460248,143209,530
2015-03-31$43.21$43.0017.7%4.9%24.8%26.0%16.6%3.1%0.1%18.8M-105.1M-2.6M0.8611.5012,82611,038254,410211,550