ORCL Options History — December 2015

In December 2015, ORCL traded between $36.36 and $39.23. ATM implied volatility averaged 24.1%, placing in the 41.5% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded below realized volatility by 2.0% (HV 20d: 26.1%). Max pain ranged from $38.00 to $40.00. Net GEX was positive for 9 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 1.13.

Notable Days

  • 2015-12-17: Highest Volume — 136,163 contracts
  • 2015-12-17: Largest IV drop — 26.0% change
  • 2015-12-11: Highest IV Rank — 77.4%
  • 2015-12-11: Largest Expected Move — 8.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.68$36.36$39.23$39.23$36.63
Max Pain$39.45$38.00$40.00$39.00$38.00
ATM IV24.1%18.0%32.3%24.6%19.0%
Expected Move6.9%5.2%8.9%7.8%5.7%
HV 20d26.1%20.1%29.6%20.3%29.3%
HV 60d22.8%21.3%24.2%22.5%23.0%
IV Rank41.5%15.1%77.4%43.6%19.2%
IV Percentile72.1%37.3%97.2%83.3%50.4%
Term Structure-0.8%-3.1%0.2%-0.5%0.2%
VWIV24.2%18.1%31.5%26.5%19.5%
Skew 25d4.3%3.1%6.0%4.6%3.5%
Skew 10d8.6%6.0%12.5%10.4%7.8%
Call IV 25d22.5%16.7%30.4%22.7%17.7%
Put IV 25d26.8%20.5%35.8%27.3%21.1%
Bid-Ask Spread %9.616.6016.177.488.93
Gamma HHI0.130.080.210.180.14
Net GEX-3.4M-26.2M11.5M11.5M-8.3M
Net DEX151.1M-46.9M445.4M-41.9M211.2M
Net VEX-2.1M-2.3M-1.8M-2.3M-1.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.130.442.620.520.44
Total Volume43,170.9097,020136,1637,02037,748
Total OI552,351.818490,244668,094532,375499,735

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-12-01$39.23$39.0024.6%7.8%20.3%43.6%26.5%4.6%-0.5%11.5M-41.9M-2.3M0.527.484,6162,404255,659276,716
2015-12-02$38.72$39.0026.1%8.6%20.1%50.5%29.4%4.7%-0.9%9.1M36.6M-2.2M1.349.0912,72517,047257,810278,401
2015-12-03$37.80$40.0027.1%7.3%21.4%54.8%24.6%4.6%-0.7%-2.1M165.2M-2.2M1.198.4814,90417,666260,137281,027
2015-12-04$39.14$40.0026.1%6.9%25.3%50.3%23.9%4.1%-1.1%3.9M-46.9M-2.3M0.6110.9734,63920,985261,768283,009
2015-12-07$38.82$40.0026.0%7.0%25.2%50.1%24.1%4.4%-1.2%4.0M21.5M-2.3M0.869.9319,40516,616260,638284,994
2015-12-08$38.78$40.0026.8%7.3%24.9%53.5%26.6%4.3%-1.2%4.3M23.1M-2.3M2.628.0311,43129,950275,949296,999
2015-12-09$38.55$40.0029.0%7.7%24.9%63.0%28.3%4.6%-2.2%3.0M53.0M-2.3M0.879.6624,45921,269278,570300,360
2015-12-10$38.14$40.0029.6%8.1%24.9%65.6%28.8%4.9%-1.4%5.4M105.0M-2.3M1.4910.1812,20718,155289,165304,749
2015-12-11$37.21$40.0032.3%8.9%25.3%77.4%31.5%5.4%-1.6%-2.9M229.9M-2.2M1.197.6016,92620,153288,788304,953
2015-12-14$37.62$40.0031.0%8.7%22.5%71.7%31.4%5.8%-0.9%-1.2M161.7M-2.2M2.598.0810,63127,547280,146300,632
2015-12-15$38.26$40.0030.9%8.8%22.1%71.2%30.1%6.0%-3.1%599.7K85.6M-2.3M1.366.6016,46722,478282,075316,029
2015-12-16$38.98$40.0027.9%8.0%23.1%58.0%28.4%5.2%-2.4%5.5M-21.2M-2.2M1.2216.1733,68741,170284,705323,331
2015-12-17$37.01$40.0020.6%5.9%29.2%26.4%22.4%3.1%-0.4%-23.1M336.6M-1.8M1.9311.7346,44889,715307,300334,445
2015-12-18$36.43$40.0021.6%6.3%29.3%30.6%20.5%4.0%-1.7%-26.2M445.4M-1.9M0.849.0042,70135,794303,523364,571
2015-12-21$36.36$39.0020.4%5.9%29.1%25.6%20.4%3.5%0.2%-17.3M294.8M-1.8M0.5710.7427,69015,884221,855274,667
2015-12-22$36.56$39.0018.9%5.5%29.2%18.9%19.5%3.2%0.2%-15.7M278.1M-1.9M0.4711.1733,30215,670225,696278,867
2015-12-23$36.92$39.0018.3%5.2%29.3%16.4%18.9%3.5%0.2%-7.3M223.6M-1.9M0.949.6719,35218,140234,518279,417
2015-12-24$37.01$39.0018.4%5.3%29.4%16.7%20.3%3.7%0.2%-4.0M211.1M-1.9M1.5810.4410,57816,759240,208280,012
2015-12-28$36.81$39.0018.8%5.5%29.4%18.4%19.9%3.7%0.2%-8.7M207.0M-1.8M1.0010.2310,08510,125230,119261,797
2015-12-29$37.05$39.0018.2%5.3%29.6%15.7%18.1%3.7%0.1%-2.8M168.6M-1.8M0.687.8515,23110,313233,386256,858
2015-12-30$36.97$38.0018.0%5.2%29.4%15.1%19.2%3.8%0.1%-1.4M175.5M-1.8M0.579.3517,0309,658240,736257,420
2015-12-31$36.63$38.0019.0%5.7%29.3%19.2%19.5%3.5%0.2%-8.3M211.2M-1.8M0.448.9326,29511,453241,614258,121