ORCL Options History — June 2015

In June 2015, ORCL traded between $40.41 and $44.98. ATM implied volatility averaged 21.1%, placing in the 47.6% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 1.9% (HV 20d: 19.2%). Max pain ranged from $43.00 to $44.00. Net GEX was positive for 13 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 1.08.

Notable Days

  • 2015-06-18: Highest Volume — 274,899 contracts
  • 2015-06-18: Largest IV drop — 22.0% change
  • 2015-06-15: Highest IV Rank — 72.4%
  • 2015-06-15: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.87$40.41$44.98$43.76$40.41
Max Pain$43.50$43.00$44.00$43.00$43.00
ATM IV21.1%16.1%25.0%23.3%18.3%
Expected Move5.9%4.6%7.0%6.1%5.2%
HV 20d19.2%13.0%26.7%15.3%25.3%
HV 60d18.8%16.5%20.5%19.8%20.2%
IV Rank47.6%16.0%72.4%61.7%29.7%
IV Percentile68.9%20.2%95.2%91.7%52.8%
Term Structure-0.7%-1.7%0.5%-1.2%-0.1%
VWIV20.6%15.0%25.0%21.2%19.2%
Skew 25d2.8%1.5%4.0%3.5%1.5%
Skew 10d5.6%2.6%9.5%5.9%3.6%
Call IV 25d20.0%15.3%23.4%22.2%17.8%
Put IV 25d22.8%17.0%27.2%25.7%19.3%
Bid-Ask Spread %11.057.2121.2911.728.83
Gamma HHI0.110.090.180.110.11
Net GEX6.6M-25.0M43.1M17.4M-16.9M
Net DEX8.5M-456.5M370.6M-129.4M370.6M
Net VEX-2.9M-3.2M-2.7M-2.9M-2.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.080.423.250.853.25
Total Volume62,946.521,262274,89929,58159,284
Total OI582,575.091488,896756,088488,896607,937

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-06-01$43.76$43.0023.3%6.1%15.3%61.7%21.2%3.5%-1.2%17.4M-129.4M-2.9M0.8511.7216,03113,550262,973225,923
2015-06-02$43.70$43.0023.8%6.4%15.0%65.2%21.4%3.6%-0.8%17.9M-125.3M-2.9M2.2012.737,29016,005269,829231,095
2015-06-03$43.97$43.0023.4%6.4%14.2%62.7%22.4%3.5%-1.7%21.2M-160.7M-3.0M2.4310.976,19715,065272,063237,810
2015-06-04$43.71$44.0024.5%6.4%13.1%69.3%24.6%4.0%-1.6%17.2M-114.4M-3.0M1.109.2611,12912,197273,876240,029
2015-06-05$43.82$44.0023.0%6.3%13.0%59.9%23.1%3.0%-1.4%17.9M-142.6M-3.0M0.639.8435,28022,207279,326243,341
2015-06-08$43.19$44.0024.5%6.6%13.2%69.2%22.6%3.6%-1.0%11.5M-44.8M-3.0M1.358.6215,42320,784279,482245,887
2015-06-09$43.08$44.0024.4%6.6%13.2%68.5%22.7%3.9%-1.1%10.0M-26.3M-3.0M1.2021.2913,32416,015287,342253,681
2015-06-10$43.96$44.0023.4%6.4%15.0%62.7%22.0%3.5%-1.0%19.8M-169.0M-3.2M0.779.9517,69413,679288,381256,234
2015-06-11$44.22$44.0023.4%6.4%15.1%62.6%22.3%3.6%-1.0%25.4M-222.0M-3.1M1.108.2010,17811,242294,290259,096
2015-06-12$44.37$44.0023.0%6.4%14.5%60.1%22.8%3.3%-1.0%24.0M-243.1M-3.1M1.149.7611,07212,594296,474260,674
2015-06-15$43.75$44.0025.0%7.0%15.2%72.4%25.0%2.8%-0.5%17.4M-138.8M-3.0M0.6111.5362,78038,581290,559259,721
2015-06-16$44.65$44.0024.3%6.9%16.9%68.1%24.5%3.1%-1.1%34.9M-374.5M-3.2M0.5710.6135,62820,235338,251283,859
2015-06-17$44.98$44.0023.1%6.6%17.0%60.7%22.6%3.0%-1.5%43.1M-456.5M-3.2M0.4219.51107,60545,255348,809289,468
2015-06-18$42.71$44.0018.1%5.2%25.3%28.4%19.3%1.5%0.5%-16.5M165.5M-2.8M0.899.39145,432129,467405,992306,989
2015-06-19$41.61$43.0017.5%5.0%26.7%24.6%17.6%2.3%0.2%-12.8M310.4M-2.7M0.8716.4567,53958,663417,379338,709
2015-06-22$41.65$43.0016.3%4.7%26.7%17.3%16.1%2.0%0.1%-12.2M228.1M-2.7M0.698.1938,35726,516298,817283,357
2015-06-23$41.72$43.0016.1%4.6%26.3%16.0%15.8%1.7%0.1%-10.0M207.4M-2.8M0.588.2252,78130,535311,427286,482
2015-06-24$41.25$43.0016.4%4.7%25.3%17.9%15.0%1.9%-0.0%-11.5M285.3M-2.8M0.658.6927,91618,056329,337295,635
2015-06-25$41.13$43.0016.2%4.6%25.2%16.9%15.9%2.0%-0.0%-13.7M301.5M-2.8M0.5310.5927,83114,854335,135297,378
2015-06-26$41.01$43.0016.4%4.8%25.2%18.1%16.6%2.0%-0.1%-25.0M311.0M-2.8M0.707.2127,40119,232340,068299,229
2015-06-29$40.45$43.0019.0%5.5%25.3%34.7%19.7%2.3%-0.6%-14.1M355.1M-2.8M1.2611.4415,02018,899300,887293,421
2015-06-30$40.41$43.0018.3%5.2%25.3%29.7%19.2%1.5%-0.1%-16.9M370.6M-2.8M3.258.8313,95045,334305,706302,231