ORCL Options History — January 2016

In January 2016, ORCL traded between $33.96 and $36.31. ATM implied volatility averaged 24.6%, placing in the 43.8% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded below realized volatility by 1.8% (HV 20d: 26.4%). Max pain ranged from $35.00 to $38.00. Net GEX was positive for 4 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 1.12.

Notable Days

  • 2016-01-08: Highest Volume — 84,459 contracts
  • 2016-01-15: Largest IV spike — 13.5% change
  • 2016-01-20: Highest IV Rank — 59.8%
  • 2016-01-20: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.96$33.96$36.31$35.71$36.31
Max Pain$35.84$35.00$38.00$38.00$35.00
ATM IV24.6%20.6%28.3%22.6%20.6%
Expected Move7.0%5.7%8.1%6.2%5.7%
HV 20d26.4%23.2%29.4%29.4%28.8%
HV 60d24.7%23.4%26.1%23.5%26.1%
IV Rank43.8%26.4%59.8%35.1%26.4%
IV Percentile77.5%54.4%90.1%70.2%54.4%
Term Structure-0.3%-0.8%0.3%0.3%0.0%
VWIV25.2%20.9%30.7%22.5%20.9%
Skew 25d5.6%4.0%6.7%4.3%4.7%
Skew 10d11.9%8.1%15.7%9.0%9.9%
Call IV 25d22.3%18.9%25.5%20.6%18.9%
Put IV 25d27.9%23.7%31.9%24.9%23.7%
Bid-Ask Spread %11.177.7416.518.6712.51
Gamma HHI0.120.090.210.130.12
Net GEX-6.2M-16.4M10.4M-10.0M10.4M
Net DEX239.5M-28.1M436.3M284.4M-28.1M
Net VEX-2.0M-2.3M-1.7M-1.7M-2.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.120.512.121.020.51
Total Volume33,733.78914,00884,45941,16920,643
Total OI459,889.421331,301596,701477,554407,411

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-01-04$35.71$38.0022.6%6.2%29.4%35.1%22.5%4.3%0.3%-10.0M284.4M-1.7M1.028.6720,37620,793224,513253,041
2016-01-05$35.66$37.0022.5%6.1%25.8%34.5%21.5%4.0%-0.3%-11.3M284.3M-1.7M0.669.4131,19920,710227,624260,740
2016-01-06$35.78$37.0022.4%6.3%25.9%34.3%22.2%4.6%-0.1%-8.8M265.2M-1.7M1.0810.7020,71122,314238,703265,697
2016-01-07$35.22$37.0025.2%7.0%26.2%46.3%24.5%4.5%-0.1%-11.8M333.5M-1.8M1.1010.1312,11313,365241,331274,713
2016-01-08$34.67$37.0026.3%7.0%26.5%51.2%26.8%6.1%-0.5%-13.3M392.4M-1.8M0.9510.7143,37241,087246,467277,680
2016-01-11$34.99$37.0024.9%6.9%26.9%44.9%24.2%5.4%-0.7%-12.2M344.6M-2.0M1.4710.838,78812,891270,884298,200
2016-01-12$35.45$36.0023.2%6.7%26.5%37.6%22.9%5.1%0.2%-8.9M293.4M-2.0M0.929.6114,87013,743273,676299,275
2016-01-13$34.14$35.0026.2%7.3%28.7%50.6%28.5%6.3%-0.6%-16.4M436.3M-1.9M2.1211.8612,46326,364282,104302,490
2016-01-14$34.82$35.0023.8%6.7%29.0%40.2%22.6%5.8%-0.3%-16.1M367.6M-2.0M1.037.9115,28915,803282,818309,811
2016-01-15$34.19$35.0027.0%7.6%28.0%54.3%25.8%6.7%-0.8%-4.4M417.7M-1.9M1.8610.2112,48123,226287,300309,401
2016-01-19$34.66$36.0026.0%7.4%23.2%49.9%26.2%6.1%-0.4%-4.4M151.0M-2.0M1.2811.4215,68920,028156,078175,223
2016-01-20$33.96$36.0028.3%8.1%23.6%59.8%27.3%6.5%-0.6%-6.6M213.5M-2.0M0.7312.7325,34018,569165,078189,723
2016-01-21$34.23$35.0027.2%7.8%24.0%55.0%27.6%6.4%-0.8%-4.9M195.5M-2.0M0.8012.3110,9338,721169,402192,138
2016-01-22$34.79$35.0023.7%6.8%24.8%39.7%27.7%5.6%0.1%-771.2K153.3M-2.1M2.118.517,92616,699173,485195,448
2016-01-25$34.34$35.0024.9%7.2%24.6%45.2%30.7%6.0%-0.0%-3.9M166.6M-2.0M1.167.747,9259,202169,769192,996
2016-01-26$35.16$35.0024.6%7.2%26.4%43.9%28.8%5.7%-0.1%284.3K101.2M-2.1M0.6215.2415,7139,679172,797193,958
2016-01-27$34.89$35.0024.9%7.4%26.4%45.1%26.4%5.9%-0.0%1.1M107.3M-2.1M1.0316.516,8877,121181,311194,384
2016-01-28$35.34$35.0023.1%6.6%26.8%37.4%22.2%6.5%-0.0%3.7M71.3M-2.2M0.8415.3120,61917,290183,907198,323
2016-01-29$36.31$35.0020.6%5.7%28.8%26.4%20.9%4.7%0.0%10.4M-28.1M-2.3M0.5112.5113,6337,010197,697209,714