ORCL Options History — May 2015

In May 2015, ORCL traded between $43.22 and $44.59. ATM implied volatility averaged 18.7%, placing in the 32.6% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 0.5% (HV 20d: 18.2%). 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 13 of 20 days. Put/call ratio averaged 0.74.

Notable Days

  • 2015-05-15: Highest Volume — 41,578 contracts
  • 2015-05-26: Largest IV spike — 16.3% change
  • 2015-05-27: Highest IV Rank — 62.6%
  • 2015-05-06: Largest Expected Move — 6.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.96$43.22$44.59$44.23$43.55
Max Pain$43.05$43.00$44.00$44.00$43.00
ATM IV18.7%16.1%23.4%17.4%23.3%
Expected Move5.5%5.1%6.2%5.1%5.8%
HV 20d18.2%16.1%21.0%18.9%16.1%
HV 60d19.4%19.2%20.0%19.5%19.8%
IV Rank32.6%16.0%62.6%24.6%61.8%
IV Percentile51.8%20.6%92.5%41.3%92.1%
Term Structure1.3%-1.1%3.5%-0.0%-0.3%
VWIV19.2%17.8%21.1%17.8%19.7%
Skew 25d2.9%1.8%3.9%1.8%3.6%
Skew 10d6.1%3.1%8.7%3.1%7.2%
Call IV 25d17.5%14.7%22.1%16.7%22.1%
Put IV 25d20.4%17.0%25.8%18.6%25.7%
Bid-Ask Spread %12.5510.8014.7113.9512.04
Gamma HHI0.120.100.270.130.10
Net GEX22.9M11.2M46.8M31.0M12.6M
Net DEX-172.9M-279.4M-68.1M-234.6M-91.5M
Net VEX-2.9M-3.0M-2.7M-2.8M-2.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.740.381.370.620.85
Total Volume27,180.28,80041,57838,00720,744
Total OI471,240.6436,672496,473474,954496,473

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-05-01$44.23$44.0017.4%5.1%18.9%24.6%17.8%1.8%-0.0%31.0M-234.6M-2.8M0.6213.9523,39614,611263,968210,986
2015-05-04$44.59$43.0017.1%5.6%18.9%22.6%19.7%2.0%-0.3%30.9M-279.4M-2.8M0.5911.7815,7759,312241,693194,979
2015-05-05$43.92$43.0017.7%5.9%19.8%26.1%20.4%2.7%0.1%21.8M-176.0M-2.8M0.7712.0818,81814,430249,544201,983
2015-05-06$43.22$43.0018.8%6.2%20.7%33.0%21.1%2.6%0.2%11.2M-68.1M-2.8M0.8814.1916,78314,748252,988206,150
2015-05-07$43.48$43.0018.2%6.0%20.8%29.3%20.7%2.5%0.0%13.3M-99.1M-2.8M0.9012.6312,10210,926255,226209,923
2015-05-08$44.01$43.0016.5%5.4%21.0%18.4%19.0%2.5%-0.1%21.8M-178.6M-2.8M0.4612.2625,22011,518256,535212,579
2015-05-11$43.84$43.0016.6%5.5%20.7%19.0%19.0%2.6%2.6%22.3M-165.1M-2.8M0.8312.454,8193,981264,187216,006
2015-05-12$43.61$43.0016.7%5.3%20.5%19.6%18.3%2.7%1.9%16.4M-114.7M-2.7M0.5912.9120,64612,109265,214217,578
2015-05-13$43.82$43.0016.4%5.5%17.4%18.0%18.6%2.7%2.8%20.4M-147.0M-2.8M0.7212.3314,84610,651265,123219,146
2015-05-14$44.35$43.0016.1%5.4%17.5%16.0%18.4%2.5%3.5%31.4M-241.9M-2.8M0.6512.3415,94610,363268,884219,819
2015-05-15$44.09$43.0017.1%5.5%16.9%22.5%19.4%2.2%3.0%46.8M-214.2M-2.8M0.7614.7123,59417,984271,678220,849
2015-05-18$44.24$43.0017.8%5.3%16.8%27.1%18.5%3.5%2.2%20.2M-186.9M-2.8M0.3811.5915,7595,973236,553201,034
2015-05-19$44.32$43.0018.1%5.3%16.7%28.8%18.2%3.4%3.1%23.0M-215.5M-2.9M0.5111.8311,6965,950249,791203,996
2015-05-20$44.30$43.0018.5%5.3%16.7%31.5%18.6%3.3%3.2%24.8M-223.8M-2.9M0.8612.8516,08613,799256,671205,958
2015-05-21$44.31$43.0019.1%5.3%16.7%35.4%18.6%3.4%3.5%25.6M-226.8M-3.0M0.6311.0914,6169,257261,741210,258
2015-05-22$43.96$43.0019.7%5.3%16.8%38.5%18.6%3.3%3.1%29.0M-175.0M-2.9M0.8710.8015,53713,470265,432211,327
2015-05-26$43.35$43.0022.9%5.8%17.2%58.9%19.9%3.9%-1.0%12.3M-72.3M-2.9M0.9114.0214,94913,638259,224212,351
2015-05-27$44.21$43.0023.4%5.8%17.3%62.6%19.7%3.5%-0.9%22.7M-198.2M-2.9M0.7414.1517,30012,774260,750217,421
2015-05-28$43.86$43.0022.7%5.6%17.5%57.9%19.8%3.4%-1.1%19.4M-149.3M-2.9M1.3710.938,20611,272268,623222,171
2015-05-29$43.55$43.0023.3%5.8%16.1%61.8%19.7%3.6%-0.3%12.6M-91.5M-2.9M0.8512.0411,2399,505270,141226,332