ORCL Options History — November 2015

In November 2015, ORCL traded between $37.34 and $40.62. ATM implied volatility averaged 22.0%, placing in the 33.6% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 1.4% (HV 20d: 20.6%). Max pain ranged from $37.00 to $39.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 1.24.

Notable Days

  • 2015-11-13: Highest Volume — 55,409 contracts
  • 2015-11-13: Largest IV spike — 15.2% change
  • 2015-11-17: Highest IV Rank — 56.2%
  • 2015-11-13: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.31$37.34$40.62$39.71$38.97
Max Pain$38.75$37.00$39.00$37.00$39.00
ATM IV22.0%16.9%27.5%17.3%25.1%
Expected Move6.9%5.1%8.1%5.2%7.6%
HV 20d20.6%17.7%24.2%17.7%21.6%
HV 60d24.6%22.7%26.0%25.0%22.7%
IV Rank33.6%13.3%56.2%15.0%46.1%
IV Percentile64.5%22.6%90.1%31.3%86.5%
Term Structure1.0%-1.5%5.9%0.6%-0.7%
VWIV24.6%18.1%28.0%20.3%27.3%
Skew 25d3.9%3.0%4.7%3.1%4.7%
Skew 10d8.4%6.7%10.3%8.5%7.9%
Call IV 25d20.5%15.6%26.0%15.9%22.9%
Put IV 25d24.4%18.8%30.4%19.0%27.6%
Bid-Ask Spread %8.866.7314.2012.168.93
Gamma HHI0.130.090.240.160.17
Net GEX11.2M-3.2M22.0M15.0M10.6M
Net DEX-120.9M-347.2M204.9M-221.5M-18.8M
Net VEX-2.4M-2.6M-2.2M-2.5M-2.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.240.462.720.541.32
Total Volume29,969.85,40355,40950,03913,694
Total OI553,282.25517,527596,683517,527525,034

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-11-02$39.71$37.0017.3%5.2%17.7%15.0%20.3%3.1%0.6%15.0M-221.5M-2.5M0.5412.1632,56217,477250,587266,940
2015-11-03$40.22$37.0017.2%5.2%18.1%14.4%18.1%3.3%0.6%15.8M-300.0M-2.5M0.717.2224,62817,516257,428269,978
2015-11-04$40.43$38.0016.9%5.1%17.8%13.3%19.2%3.3%0.5%16.2M-320.7M-2.5M1.219.1018,06621,849264,437274,150
2015-11-05$40.30$39.0017.0%6.3%17.9%13.7%22.4%3.0%0.4%14.4M-301.7M-2.6M1.346.7313,81118,456269,984279,787
2015-11-06$40.62$39.0017.2%6.0%18.0%14.2%21.9%3.2%0.6%14.1M-347.2M-2.6M0.468.473,6981,705273,364285,229
2015-11-09$40.10$39.0018.0%6.6%18.8%17.9%23.1%3.4%4.8%13.7M-237.1M-2.5M0.739.324,3333,144263,078281,361
2015-11-10$39.89$39.0017.8%6.7%18.8%16.7%24.1%3.7%5.8%13.8M-208.0M-2.5M2.728.168,40222,835265,056282,283
2015-11-11$39.48$39.0019.2%7.0%18.1%22.2%28.0%4.5%5.3%10.1M-117.9M-2.6M2.2214.208,49318,887267,720292,974
2015-11-12$38.64$39.0021.1%7.4%19.9%28.6%26.2%3.7%5.6%7.4M15.6M-2.5M1.717.239,15315,625273,597297,323
2015-11-13$37.34$39.0024.3%8.1%23.5%42.7%27.3%4.2%5.9%-3.2M204.9M-2.4M1.849.9519,48435,925274,162296,426
2015-11-16$38.12$39.0026.5%7.9%24.1%51.9%27.2%4.6%-0.8%2.0M84.8M-2.5M0.5610.4219,18610,701273,934301,844
2015-11-17$38.18$39.0027.5%8.0%24.1%56.2%27.1%4.4%-0.9%7.8M45.7M-2.4M0.768.3230,53923,349283,001302,214
2015-11-18$38.73$39.0025.9%7.4%24.2%49.5%27.9%4.4%-0.2%18.4M-71.1M-2.5M1.468.4310,34715,124298,358298,325
2015-11-19$39.04$39.0025.5%7.4%21.8%47.8%25.1%4.2%-1.0%22.0M-124.1M-2.5M1.0510.0015,80716,558291,264299,684
2015-11-20$39.29$39.0024.5%7.1%21.7%43.4%24.0%4.2%-0.9%10.2M-200.8M-2.4M0.817.3321,04417,144293,686302,143
2015-11-23$39.14$39.0024.7%7.1%21.7%44.2%24.3%4.4%-0.9%11.5M-59.4M-2.4M1.487.686,1349,075253,955264,203
2015-11-24$39.46$39.0025.0%7.0%21.8%45.5%24.5%4.0%-1.5%10.6M-100.2M-2.4M0.737.874,2613,118257,335270,008
2015-11-25$39.28$39.0024.5%6.9%21.4%43.3%26.2%4.2%-1.4%7.6M-74.9M-2.4M2.267.887,08015,998259,711271,731
2015-11-27$39.18$39.0025.0%7.4%21.5%45.5%26.9%4.2%-1.4%6.5M-65.4M-2.3M0.877.7123,65220,536260,116273,235
2015-11-30$38.97$39.0025.1%7.6%21.6%46.1%27.3%4.7%-0.7%10.6M-18.8M-2.2M1.328.935,8927,802254,746270,288