ORCL Options History — April 2015

In April 2015, ORCL traded between $42.65 and $44.47. ATM implied volatility averaged 16.8%, placing in the 20.2% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded below realized volatility by 2.6% (HV 20d: 19.4%). Max pain ranged from $43.00 to $44.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.80.

Notable Days

  • 2015-04-29: Highest Volume — 108,585 contracts
  • 2015-04-29: Largest IV spike — 35.4% change
  • 2015-04-29: Highest IV Rank — 44.4%
  • 2015-04-29: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.36$42.65$44.47$42.91$43.59
Max Pain$43.05$43.00$44.00$43.00$44.00
ATM IV16.8%15.2%20.6%17.3%18.4%
Expected Move4.8%4.5%6.4%4.9%5.5%
HV 20d19.4%17.0%24.8%24.8%18.4%
HV 60d19.6%19.2%20.1%19.4%19.6%
IV Rank20.2%10.2%44.4%23.6%30.9%
IV Percentile27.2%10.7%72.6%32.1%54.0%
Term Structure-0.0%-0.5%0.7%0.1%0.0%
VWIV17.0%15.8%22.6%17.4%18.9%
Skew 25d2.8%2.1%3.5%2.9%2.4%
Skew 10d5.8%4.1%7.8%5.7%4.1%
Call IV 25d15.8%14.7%19.1%16.6%17.5%
Put IV 25d18.6%16.8%21.7%19.5%19.9%
Bid-Ask Spread %12.869.0418.8512.9015.71
Gamma HHI0.140.110.230.120.12
Net GEX9.9M-8.7M26.4M13.8M12.9M
Net DEX-109.7M-273.0M4.3M-59.8M-127.2M
Net VEX-2.5M-2.8M-2.4M-2.6M-2.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.800.371.190.950.85
Total Volume33,655.817,895108,58523,79840,368
Total OI441,788.762396,920480,299469,862468,518

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-04-01$42.91$43.0017.3%4.9%24.8%23.6%17.4%2.9%0.1%13.8M-59.8M-2.6M0.9512.9012,18911,609257,541212,321
2015-04-02$42.65$43.0017.7%5.0%24.8%26.3%16.8%3.3%0.1%10.5M-14.6M-2.5M1.199.7611,22713,342255,275213,971
2015-04-06$43.00$43.0017.3%5.0%21.8%23.4%16.5%2.9%-0.0%13.2M-79.8M-2.5M0.9810.7510,1849,934253,012208,804
2015-04-07$42.96$43.0017.1%4.9%21.7%22.0%18.0%3.5%0.2%17.9M-84.5M-2.5M1.109.539,32410,296255,052210,056
2015-04-08$43.11$43.0017.2%4.9%20.2%23.1%16.2%3.1%-0.2%16.1M-95.8M-2.4M1.149.043,6934,202257,037211,814
2015-04-09$43.20$43.0017.0%4.8%19.9%21.7%16.4%3.2%-0.3%13.0M-116.5M-2.4M1.109.1012,50813,708259,529214,526
2015-04-10$43.54$43.0015.8%4.5%20.0%14.3%16.2%3.0%-0.5%7.7M-170.6M-2.4M0.899.8614,92313,351260,462219,837
2015-04-13$43.10$43.0016.6%4.8%19.5%19.3%16.2%3.1%-0.1%2.0M-56.2M-2.4M0.7210.8118,21813,173229,219188,432
2015-04-14$42.66$43.0016.2%4.6%17.8%16.6%16.8%3.2%0.7%-722.7K4.3M-2.4M0.9112.2413,11411,987239,325192,340
2015-04-15$43.98$43.0015.8%4.5%20.4%14.3%16.3%2.4%-0.2%14.2M-197.1M-2.4M0.6415.2134,30221,928241,222194,663
2015-04-16$43.56$43.0016.1%4.6%18.0%16.2%16.9%2.6%0.5%7.9M-133.4M-2.4M0.3815.4927,17810,347258,132201,629
2015-04-17$42.98$43.0017.3%5.0%18.5%23.9%17.1%2.9%-0.1%-5.9M-37.3M-2.5M0.379.8633,32712,399259,630203,163
2015-04-20$43.26$43.0016.2%4.6%18.5%16.9%16.1%2.9%-0.3%6.4M-83.1M-2.5M0.4312.6118,7858,008217,501179,419
2015-04-21$43.44$43.0016.3%4.7%18.6%17.5%16.7%2.6%-0.3%8.4M-106.9M-2.5M0.8411.9116,52713,899220,710180,689
2015-04-22$43.56$43.0015.9%4.6%18.2%14.8%16.6%2.5%0.1%9.9M-124.1M-2.5M0.9211.9316,04814,813224,043188,691
2015-04-23$43.41$43.0015.8%4.5%17.0%14.0%16.4%2.3%-0.4%4.9M-105.6M-2.4M0.8516.1513,49111,413226,262194,041
2015-04-24$43.15$43.0016.0%4.6%17.1%15.1%16.0%2.4%-0.2%-8.7M-56.7M-2.4M0.9016.2413,94312,510227,634195,351
2015-04-27$43.60$43.0015.9%4.7%17.2%14.6%16.6%2.5%0.1%13.5M-131.2M-2.5M0.5914.1320,63112,121220,831185,127
2015-04-28$44.44$43.0015.2%4.5%17.2%10.2%15.8%2.1%0.4%26.4M-253.7M-2.6M0.5818.8524,84014,327227,895190,111
2015-04-29$44.47$43.0020.6%6.4%17.0%44.4%22.6%2.5%-0.1%24.5M-273.0M-2.8M0.4018.0977,65030,935240,211193,538
2015-04-30$43.59$44.0018.4%5.5%18.4%30.9%18.9%2.4%0.0%12.9M-127.2M-2.7M0.8515.7121,83218,536262,244206,274