ORCL Options History — August 2015

In August 2015, ORCL traded between $35.89 and $39.89. ATM implied volatility averaged 23.4%, placing in the 49.0% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 6.1% (HV 20d: 17.3%). Max pain ranged from $41.00 to $42.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 1.33.

Notable Days

  • 2015-08-27: Highest Volume — 43,799 contracts
  • 2015-08-24: Largest IV spike — 26.7% change
  • 2015-08-21: Highest IV Rank — 100.0%
  • 2015-08-24: Largest Expected Move — 11.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.61$35.89$39.89$39.71$37.19
Max Pain$41.86$41.00$42.00$41.00$42.00
ATM IV23.4%15.5%37.5%16.0%31.4%
Expected Move7.3%4.6%11.3%4.6%9.9%
HV 20d17.3%14.6%23.3%15.3%23.3%
HV 60d19.1%18.2%21.4%18.5%21.4%
IV Rank49.0%11.1%100.0%14.0%74.2%
IV Percentile61.5%6.3%100.0%11.5%98.0%
Term Structure0.9%-2.4%6.2%-0.2%-0.2%
VWIV25.6%15.4%41.9%16.5%34.9%
Skew 25d3.6%1.8%7.8%1.8%5.7%
Skew 10d7.2%3.7%16.4%4.1%11.6%
Call IV 25d21.9%14.7%35.1%15.2%27.9%
Put IV 25d25.5%16.9%42.1%17.0%33.6%
Bid-Ask Spread %10.755.6423.1713.4010.57
Gamma HHI0.090.080.120.100.10
Net GEX-13.0M-15.5M-10.2M-13.3M-12.6M
Net DEX330.5M223.5M499.8M258.5M398.6M
Net VEX-2.4M-2.5M-2.1M-2.5M-2.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.330.572.591.091.21
Total Volume22,492.197,08543,7997,08528,359
Total OI524,913.952487,384541,004520,886527,497

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-08-03$39.71$41.0016.0%4.6%15.3%14.0%16.5%1.8%-0.2%-13.3M258.5M-2.5M1.0913.403,3913,694228,260292,626
2015-08-04$39.62$41.0016.3%4.6%15.3%16.1%15.8%2.2%-0.4%-13.6M266.0M-2.5M1.059.106,7107,065230,320293,973
2015-08-05$39.67$41.0016.1%4.6%15.1%14.6%15.4%2.3%-0.0%-13.5M253.4M-2.5M0.746.698,9686,672232,304293,624
2015-08-06$39.35$42.0016.4%6.0%14.6%16.6%21.7%2.0%-0.1%-15.0M295.6M-2.5M1.398.965,6787,883235,565294,807
2015-08-07$39.54$42.0016.5%5.9%14.7%17.6%20.5%2.2%0.1%-14.5M273.8M-2.5M1.077.838,0628,646235,984295,368
2015-08-10$39.89$42.0015.5%5.8%14.6%11.1%19.7%2.2%4.8%-10.4M230.0M-2.5M0.815.6410,3938,432235,171287,268
2015-08-11$39.17$42.0017.0%6.2%15.8%20.7%21.2%2.3%4.8%-15.5M316.4M-2.4M0.578.605,6883,269241,492288,946
2015-08-12$39.26$42.0017.4%6.5%15.9%23.0%22.3%2.3%5.5%-14.2M297.7M-2.4M0.799.7711,3448,988243,286289,478
2015-08-13$39.34$42.0018.0%6.6%15.8%27.2%22.8%2.3%6.2%-12.7M285.3M-2.5M1.726.446,76811,652246,555291,139
2015-08-14$39.40$42.0018.9%6.5%15.2%33.2%22.9%2.4%5.7%-13.2M281.6M-2.4M1.577.896,51110,233247,142292,369
2015-08-17$39.69$42.0020.9%6.3%14.9%45.8%22.6%3.0%0.7%-11.7M242.6M-2.4M1.328.367,82210,323242,822278,452
2015-08-18$39.81$42.0021.1%6.2%14.6%47.0%21.8%2.9%0.6%-10.2M223.5M-2.4M0.766.1812,0579,211244,496278,948
2015-08-19$39.53$42.0022.3%6.4%14.7%54.5%22.8%2.9%0.4%-10.9M254.5M-2.4M1.309.163,3474,351249,515279,525
2015-08-20$38.67$42.0025.8%7.4%16.3%77.5%25.7%3.3%0.4%-13.6M351.2M-2.3M2.5210.257,33318,480250,819280,964
2015-08-21$37.64$42.0029.6%8.5%18.8%100.0%29.0%4.6%-0.3%-12.1M456.0M-2.2M1.9210.8812,29023,573253,108285,468
2015-08-24$36.45$42.0037.5%11.3%21.4%100.0%41.9%7.8%-2.0%-10.7M452.6M-2.2M2.5923.1710,35926,830219,401267,983
2015-08-25$35.89$42.0036.8%10.8%19.9%97.2%37.2%5.5%-2.4%-12.6M499.8M-2.1M1.9217.8812,30023,632220,632279,724
2015-08-26$36.87$42.0033.3%9.9%22.0%82.4%33.6%6.5%-1.1%-13.4M448.3M-2.2M0.6418.1923,16814,783224,485283,131
2015-08-27$36.66$42.0033.1%9.8%22.0%81.4%35.4%5.2%-1.8%-14.0M459.0M-2.2M2.0816.6314,21929,580232,679286,863
2015-08-28$37.41$42.0031.4%9.5%23.3%74.4%34.6%5.8%-2.0%-14.3M395.3M-2.3M0.9410.1415,57014,702238,374302,630
2015-08-31$37.19$42.0031.4%9.9%23.3%74.2%34.9%5.7%-0.2%-12.6M398.6M-2.3M1.2110.5712,82215,537235,331292,166