ORCL Options History — July 2015

In July 2015, ORCL traded between $38.49 and $40.96. ATM implied volatility averaged 16.7%, placing in the 18.9% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded below realized volatility by 1.8% (HV 20d: 18.5%). Max pain ranged from $41.00 to $43.00. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 1.31.

Notable Days

  • 2015-07-02: Highest Volume — 45,413 contracts
  • 2015-07-16: Largest IV drop — 7.5% change
  • 2015-07-08: Highest IV Rank — 33.8%
  • 2015-07-08: Largest Expected Move — 5.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.96$38.49$40.96$40.24$39.95
Max Pain$41.82$41.00$43.00$43.00$41.00
ATM IV16.7%14.6%19.0%17.7%15.3%
Expected Move4.8%4.2%5.4%4.9%4.3%
HV 20d18.5%11.4%25.1%25.0%15.3%
HV 60d19.2%18.5%20.2%20.2%18.5%
IV Rank18.9%5.1%33.8%26.1%10.0%
IV Percentile27.3%3.2%61.9%43.7%5.6%
Term Structure0.1%-0.4%0.8%0.1%0.4%
VWIV16.7%15.0%19.0%17.8%15.1%
Skew 25d2.1%1.4%2.8%1.8%1.9%
Skew 10d4.3%2.8%5.9%3.4%3.9%
Call IV 25d15.8%13.9%18.4%16.9%14.4%
Put IV 25d17.9%16.0%20.6%18.7%16.3%
Bid-Ask Spread %8.206.2110.778.518.57
Gamma HHI0.110.090.180.130.11
Net GEX-14.3M-24.2M4.4M-21.6M-11.2M
Net DEX310.8M218.8M407.7M407.7M229.0M
Net VEX-2.7M-3.0M-2.4M-2.8M-2.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.310.812.092.080.85
Total Volume26,589.18217,42945,41342,42817,429
Total OI575,954.455491,567650,745639,388535,959

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-07-01$40.24$43.0017.7%4.9%25.0%26.1%17.8%1.8%0.1%-21.6M407.7M-2.8M2.088.5113,77528,653311,445327,943
2015-07-02$40.38$43.0017.5%4.9%25.1%24.8%17.4%1.4%0.0%-22.4M370.0M-2.9M1.888.0615,76029,653316,287334,458
2015-07-06$40.13$42.0018.2%5.2%25.0%29.2%17.9%1.7%-0.1%-20.9M381.6M-2.8M1.636.2112,03819,634287,472330,974
2015-07-07$40.14$42.0018.3%5.2%24.8%28.7%17.5%2.0%0.3%-20.9M376.2M-2.9M1.148.2913,78015,705291,557339,384
2015-07-08$39.83$42.0019.0%5.4%24.8%33.8%19.0%2.2%-0.1%-24.2M401.5M-3.0M1.469.4310,95316,007296,127336,485
2015-07-09$40.29$42.0018.7%5.4%23.9%31.7%18.5%2.1%-0.3%-15.1M330.5M-3.0M1.406.2511,49516,112297,988339,131
2015-07-10$40.40$42.0017.7%5.1%23.7%25.2%17.3%2.4%-0.3%-9.8M302.1M-3.0M1.136.3011,37612,882300,168337,675
2015-07-13$40.80$42.0016.4%4.7%24.1%16.7%16.5%2.1%-0.4%-8.6M238.4M-2.9M1.316.498,94911,710289,949323,287
2015-07-14$40.76$42.0016.1%4.5%23.8%14.8%15.8%2.3%0.1%-6.3M241.1M-2.8M1.416.709,27313,097290,746322,930
2015-07-15$40.78$42.0015.8%4.4%22.2%12.7%16.3%2.1%-0.2%-5.6M245.3M-2.8M0.946.3710,6349,986293,180325,860
2015-07-16$40.96$42.0014.6%4.2%22.0%5.1%15.9%2.1%0.1%-4.7M218.8M-2.8M0.868.1415,42113,201295,491326,761
2015-07-17$40.40$42.0015.3%4.5%13.8%10.0%15.0%2.5%0.8%4.4M285.6M-2.7M0.977.9911,60811,298300,144323,798
2015-07-20$39.90$42.0016.3%4.7%11.4%16.3%16.3%2.8%-0.1%-12.7M266.4M-2.6M1.169.0810,23211,860219,071272,496
2015-07-21$39.55$42.0017.0%4.9%11.6%20.5%17.0%2.3%0.3%-15.3M306.7M-2.5M1.0510.7711,28811,832221,256276,624
2015-07-22$39.40$42.0016.6%4.8%11.5%18.0%16.5%2.5%0.0%-16.6M319.7M-2.5M0.859.659,5538,126225,546278,930
2015-07-23$38.99$41.5016.8%4.8%11.4%19.1%16.7%2.0%-0.1%-17.0M351.1M-2.5M2.099.168,51217,813226,939278,357
2015-07-24$39.02$41.5016.6%4.7%11.5%17.8%17.0%1.7%0.2%-21.9M352.8M-2.5M1.859.0712,18822,520228,682284,884
2015-07-27$38.49$41.0017.2%5.0%12.1%21.8%17.4%2.4%-0.0%-19.2M395.5M-2.4M1.817.8312,12821,943222,365282,503
2015-07-28$39.29$41.0016.3%4.6%14.1%15.8%16.3%1.8%0.3%-18.4M314.6M-2.6M0.818.6314,99712,223224,690295,725
2015-07-29$39.83$41.0015.3%4.3%15.1%9.4%15.4%1.7%0.4%-13.2M246.7M-2.6M0.969.0810,2709,816228,938296,956
2015-07-30$39.67$41.0015.2%4.4%15.1%9.3%15.3%2.0%0.3%-13.9M256.4M-2.6M1.229.738,68210,550232,568299,269
2015-07-31$39.95$41.0015.3%4.3%15.3%10.0%15.1%1.9%0.4%-11.2M229.0M-2.6M0.858.579,4138,016234,690301,269