ORCL Options History — October 2015

In October 2015, ORCL traded between $35.93 and $38.89. ATM implied volatility averaged 18.6%, placing in the 20.4% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded below realized volatility by 3.6% (HV 20d: 22.2%). Max pain ranged from $35.00 to $37.00. Net GEX was positive for 13 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 1.47.

Notable Days

  • 2015-10-23: Highest Volume — 58,072 contracts
  • 2015-10-05: Largest IV drop — 9.5% change
  • 2015-10-01: Highest IV Rank — 41.5%
  • 2015-10-01: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.68$35.93$38.89$35.93$38.89
Max Pain$36.68$35.00$37.00$37.00$37.00
ATM IV18.6%16.8%23.6%23.6%17.3%
Expected Move5.4%4.9%6.8%6.8%5.0%
HV 20d22.2%17.3%28.8%27.1%17.8%
HV 60d24.2%23.3%24.7%23.3%24.7%
IV Rank20.4%12.5%41.5%41.5%14.8%
IV Percentile45.7%23.4%82.9%82.9%31.0%
Term Structure0.1%-1.1%1.1%0.0%0.6%
VWIV19.0%16.2%23.1%23.1%18.5%
Skew 25d3.8%3.1%4.6%4.4%3.1%
Skew 10d8.0%6.2%11.3%8.6%7.7%
Call IV 25d17.1%15.7%21.8%21.8%16.3%
Put IV 25d20.9%18.9%26.2%26.2%19.4%
Bid-Ask Spread %10.366.3618.3112.5015.93
Gamma HHI0.140.090.260.260.17
Net GEX3.1M-36.0M25.2M-36.0M13.9M
Net DEX53.9M-177.9M306.1M306.1M-177.9M
Net VEX-2.4M-2.6M-2.2M-2.3M-2.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.470.714.150.991.41
Total Volume32,769.521,71358,07224,28828,879
Total OI517,918.682487,655551,194518,758551,194

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-10-01$35.93$37.0023.6%6.8%27.1%41.5%23.1%4.4%0.0%-36.0M306.1M-2.3M0.9912.5012,18412,104218,874299,884
2015-10-02$36.78$37.0021.8%5.9%28.3%33.8%20.4%4.6%0.6%-8.3M174.4M-2.3M0.9916.8925,34225,174222,805302,512
2015-10-05$37.59$35.0019.7%5.5%28.8%25.0%21.0%4.4%0.5%-571.5K75.1M-2.4M0.878.5814,46412,518222,892279,321
2015-10-06$37.76$36.0019.5%5.6%26.1%24.2%20.8%4.1%0.5%1.6M61.2M-2.5M1.768.0111,35920,045227,733286,177
2015-10-07$37.57$36.0019.8%5.6%25.4%25.4%19.8%4.0%0.3%2.7M82.7M-2.5M2.5410.786,12515,588231,083291,291
2015-10-08$37.84$36.0019.0%5.5%25.0%22.2%20.2%3.6%0.4%5.1M48.4M-2.5M0.939.0119,13017,717233,009292,033
2015-10-09$38.08$36.0018.4%5.3%25.0%19.3%18.4%4.4%-0.4%8.0M16.2M-2.6M1.239.3612,69515,637233,593293,377
2015-10-12$38.01$36.0017.8%5.1%24.8%17.1%19.2%4.2%-0.0%5.9M25.4M-2.5M1.706.669,98516,997235,402271,225
2015-10-13$37.83$37.0018.0%5.1%24.4%17.6%17.8%4.2%0.3%4.3M55.9M-2.5M1.708.398,45414,383236,771275,009
2015-10-14$37.22$37.0019.1%5.5%24.7%22.2%19.6%4.0%0.1%572.6K124.8M-2.4M4.158.626,86128,504237,388275,618
2015-10-15$37.55$37.0017.8%4.9%19.0%17.0%17.1%3.9%-1.1%-197.3K93.2M-2.4M1.696.368,65714,614237,112283,182
2015-10-16$37.32$37.0017.4%5.2%19.0%15.5%16.2%3.5%1.1%-642.4K128.7M-2.4M0.828.8123,39319,112239,482283,503
2015-10-19$36.84$37.0018.1%5.2%19.4%18.1%18.2%3.7%-0.5%-2.7M172.5M-2.3M1.219.7115,22218,431227,213260,442
2015-10-20$36.85$37.0018.2%5.2%17.3%18.4%18.7%3.8%-0.2%-3.7M170.0M-2.3M1.456.9612,38817,989228,772265,593
2015-10-21$36.59$37.0018.6%5.3%17.5%20.5%17.5%3.8%-0.4%-5.4M194.6M-2.2M1.039.3512,00512,383232,372267,304
2015-10-22$37.77$37.0017.1%4.9%20.7%14.1%17.5%3.7%-0.4%7.6M46.9M-2.3M2.1513.7714,01630,134233,622267,450
2015-10-23$38.10$37.0017.8%5.2%20.8%16.9%18.0%3.4%-0.6%-7.8M-1.1M-2.4M0.717.7033,89324,179236,521281,273
2015-10-26$38.39$37.0018.0%5.4%19.6%17.7%18.5%3.6%0.3%17.8M-55.5M-2.5M1.2011.2018,23321,806250,808265,895
2015-10-27$38.33$37.0018.1%5.4%19.7%18.2%19.6%3.6%0.5%19.8M-46.7M-2.5M1.2410.3013,73917,000257,115270,800
2015-10-28$38.84$37.0017.9%5.3%19.5%17.3%20.0%3.3%0.1%21.6M-149.0M-2.5M1.5318.3113,57920,824265,867273,441
2015-10-29$38.85$37.0016.8%5.0%19.3%12.5%17.1%3.2%0.5%25.2M-160.4M-2.6M1.0410.7912,34212,845270,619278,634
2015-10-30$38.89$37.0017.3%5.0%17.8%14.8%18.5%3.1%0.6%13.9M-177.9M-2.5M1.4115.9311,99016,889271,657279,537