ORCL Options History — September 2015

In September 2015, ORCL traded between $35.50 and $38.38. ATM implied volatility averaged 27.4%, placing in the 57.5% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded below realized volatility by 2.7% (HV 20d: 30.1%). Max pain ranged from $37.00 to $42.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 1.61.

Notable Days

  • 2015-09-17: Highest Volume — 145,874 contracts
  • 2015-09-17: Largest IV drop — 31.2% change
  • 2015-09-01: Highest IV Rank — 99.1%
  • 2015-09-01: Largest Expected Move — 11.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.73$35.50$38.38$36.02$36.12
Max Pain$37.48$37.00$42.00$42.00$37.00
ATM IV27.4%20.1%37.3%37.3%23.3%
Expected Move7.8%5.8%11.8%11.8%6.7%
HV 20d30.1%25.4%34.7%25.4%27.8%
HV 60d22.5%20.6%23.5%22.1%23.3%
IV Rank57.5%26.6%99.1%99.1%40.3%
IV Percentile86.5%64.7%99.6%99.6%81.0%
Term Structure-0.9%-3.0%0.7%-1.8%0.1%
VWIV27.4%19.9%40.8%40.8%22.8%
Skew 25d5.4%3.9%7.1%6.6%4.6%
Skew 10d11.2%7.2%16.0%13.2%11.5%
Call IV 25d25.1%18.6%33.5%33.5%21.5%
Put IV 25d30.5%22.9%40.0%40.0%26.1%
Bid-Ask Spread %10.916.6528.3113.1110.56
Gamma HHI0.170.060.670.110.20
Net GEX-22.3M-89.2M-5.6M-14.7M-27.3M
Net DEX384.2M254.9M585.3M496.0M289.0M
Net VEX-2.3M-2.5M-2.0M-2.2M-2.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.610.804.271.741.35
Total Volume43,994.14316,650145,87428,65124,023
Total OI558,766488,300718,993536,765510,323

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-09-01$36.02$42.0037.3%11.8%25.4%99.1%40.8%6.6%-1.8%-14.7M496.0M-2.2M1.7413.1110,46118,190238,683298,082
2015-09-02$36.67$42.0033.6%10.6%26.6%83.7%36.3%6.5%-1.7%-17.4M456.6M-2.2M1.269.2917,04621,417241,181307,621
2015-09-03$36.93$37.0031.2%8.3%26.8%73.5%29.9%6.1%-0.9%-16.8M435.5M-2.3M1.7810.5210,30418,375251,227319,529
2015-09-04$36.40$37.0033.1%9.0%27.0%81.6%32.3%7.1%-0.7%-14.3M487.1M-2.2M2.219.4013,00228,700252,526321,496
2015-09-08$37.68$37.0030.8%8.1%30.0%71.9%29.1%5.9%-2.6%-8.7M337.2M-2.3M2.299.6515,53835,616249,324302,456
2015-09-09$37.04$37.0032.2%8.6%29.9%77.5%29.9%5.9%-1.8%-10.2M398.4M-2.4M1.759.5113,22423,148258,139321,559
2015-09-10$37.58$37.0031.3%8.3%30.5%74.0%29.0%6.3%-3.0%-7.3M343.8M-2.4M1.669.9618,18330,143259,099322,444
2015-09-11$37.85$37.0031.5%8.7%30.6%74.8%30.2%6.8%-1.8%-8.2M312.7M-2.5M1.717.8017,83930,463263,729328,463
2015-09-14$37.53$37.0031.1%8.7%30.7%73.2%32.6%6.3%-0.5%-9.6M355.8M-2.4M0.808.7223,02618,359261,676324,585
2015-09-15$37.99$37.0030.4%8.6%30.9%70.1%29.6%6.4%-1.9%-7.0M296.6M-2.4M1.778.976,57611,656273,221331,975
2015-09-16$38.38$37.0029.9%8.6%31.2%68.0%30.0%6.1%-2.6%-5.6M254.9M-2.4M1.1712.4348,33856,685275,807334,667
2015-09-17$36.70$37.0020.6%5.9%34.7%28.7%21.3%4.2%0.4%-22.5M535.1M-2.0M4.2728.3127,662118,212298,725360,772
2015-09-18$36.52$37.0020.9%6.0%34.1%30.1%22.1%3.9%0.4%-26.2M585.3M-2.1M1.6812.6725,93043,643306,800412,193
2015-09-21$36.85$37.0020.1%5.8%33.0%26.6%19.9%4.3%0.7%-22.8M271.0M-2.2M0.978.1117,59517,000189,966298,334
2015-09-22$35.99$37.0022.4%6.4%32.1%36.3%22.3%4.5%0.1%-32.4M383.7M-2.2M0.857.4214,59312,430192,971301,654
2015-09-23$35.99$37.0021.9%6.3%31.6%34.3%20.7%4.3%0.1%-36.5M376.4M-2.2M1.036.6511,77712,110200,123303,318
2015-09-24$36.06$37.0022.3%6.4%30.0%35.9%23.8%4.2%-0.1%-37.0M361.2M-2.2M1.4713.5510,43815,343204,205302,727
2015-09-25$36.07$37.0021.9%6.4%30.0%34.3%22.1%4.1%0.2%-89.2M335.3M-2.2M1.789.7317,38130,952210,309304,136
2015-09-28$35.50$37.0025.1%7.4%29.4%47.5%25.8%5.0%-0.2%-26.3M377.1M-2.2M1.3511.107,0979,553207,294291,044
2015-09-29$35.54$37.0024.9%7.3%29.4%46.9%24.8%4.6%-0.6%-29.1M378.9M-2.2M0.8611.6411,71510,134209,707291,996
2015-09-30$36.12$37.0023.3%6.7%27.8%40.3%22.8%4.6%0.1%-27.3M289.0M-2.3M1.3510.5610,21013,813216,345293,978