ORCL Options History — February 2016

In February 2016, ORCL traded between $34.91 and $37.20. ATM implied volatility averaged 28.1%, placing in the 59.2% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 1.2% (HV 20d: 26.9%). Max pain ranged from $35.00 to $36.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 1.53.

Notable Days

  • 2016-02-19: Highest Volume — 51,825 contracts
  • 2016-02-02: Largest IV spike — 13.6% change
  • 2016-02-11: Highest IV Rank — 72.0%
  • 2016-02-11: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.13$34.91$37.20$36.37$36.85
Max Pain$35.85$35.00$36.00$35.00$36.00
ATM IV28.1%21.2%31.1%21.2%28.5%
Expected Move8.6%6.0%10.0%6.0%9.0%
HV 20d26.9%22.1%30.6%28.6%22.1%
HV 60d26.5%25.9%27.2%25.9%26.6%
IV Rank59.2%28.8%72.0%28.8%60.8%
IV Percentile85.7%56.7%94.0%56.7%84.9%
Term Structure0.5%-2.2%4.6%0.3%-0.7%
VWIV31.9%24.6%41.7%25.4%32.3%
Skew 25d6.4%5.0%7.3%5.0%6.2%
Skew 10d14.1%10.6%17.1%10.6%13.0%
Call IV 25d25.4%19.6%28.4%19.6%25.7%
Put IV 25d31.8%24.5%35.7%24.5%31.8%
Bid-Ask Spread %7.996.1113.4713.479.55
Gamma HHI0.100.080.150.140.10
Net GEX7.2M518.6K14.8M11.6M7.4M
Net DEX10.3M-92.8M141.6M-39.5M-14.3M
Net VEX-2.3M-2.4M-2.2M-2.3M-2.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.530.572.790.771.29
Total Volume26,946.9513,78451,82530,92721,270
Total OI429,422.65367,494479,212406,091384,864

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-02-01$36.37$35.0021.2%6.0%28.6%28.8%25.4%5.0%0.3%11.6M-39.5M-2.3M0.7713.4717,49913,428199,006207,085
2016-02-02$35.35$35.0024.1%7.0%29.0%41.3%24.6%5.8%-0.1%6.4M69.2M-2.3M0.5712.2114,6738,437210,569212,257
2016-02-03$35.70$35.0024.5%7.2%29.2%43.5%26.1%5.5%0.1%8.2M33.3M-2.4M0.996.336,9386,846212,933214,098
2016-02-04$36.41$36.0024.0%8.3%30.0%41.2%28.5%6.0%-0.4%13.8M-64.6M-2.4M0.836.3111,6869,692214,506216,586
2016-02-05$35.58$36.0027.2%8.6%30.6%55.1%31.5%6.5%-0.2%7.7M39.0M-2.4M0.896.5018,51216,544219,259220,688
2016-02-08$35.57$36.0028.6%9.1%30.0%61.1%35.9%6.1%3.3%6.8M52.1M-2.4M2.487.236,80916,872217,634226,616
2016-02-09$35.07$36.0030.1%9.9%30.4%67.6%36.6%6.9%4.6%1.8M118.1M-2.4M1.747.068,93115,581218,960233,242
2016-02-10$35.20$36.0029.6%9.7%30.0%65.8%32.9%6.7%4.3%3.6M105.2M-2.4M1.356.7310,05513,556222,002242,145
2016-02-11$34.91$36.0031.1%10.0%26.8%72.0%35.1%7.1%4.6%518.6K141.6M-2.3M1.876.947,12713,305225,632243,605
2016-02-12$35.51$36.0028.7%9.0%26.6%61.9%33.5%6.5%3.8%4.8M75.9M-2.3M1.836.3611,98921,969226,927244,129
2016-02-16$35.64$36.0030.8%9.0%25.6%70.7%37.3%7.3%0.0%6.5M60.3M-2.2M2.546.547,71319,599220,081241,181
2016-02-17$36.63$36.0029.1%8.3%26.9%63.5%30.9%7.1%0.5%12.0M-64.6M-2.3M1.876.1114,17726,529222,328242,727
2016-02-18$36.62$36.0029.2%8.4%25.5%64.0%30.4%6.4%-0.0%14.8M-71.2M-2.3M2.166.4910,25722,112228,180244,065
2016-02-19$36.72$36.0028.9%8.3%25.4%62.5%31.1%6.5%0.2%4.7M-92.8M-2.3M2.796.5713,68738,138231,546247,666
2016-02-22$37.06$36.0029.2%8.5%25.1%63.9%29.3%6.4%-2.0%6.5M-44.9M-2.3M0.619.1415,2699,313168,734198,760
2016-02-23$36.60$36.0030.1%8.8%25.0%67.7%31.6%6.5%-1.8%4.6M1.8M-2.3M0.849.6010,8029,095176,064198,729
2016-02-24$36.63$36.0029.7%8.8%23.8%66.2%31.8%6.4%-1.5%4.6M464.1K-2.3M2.348.846,90616,166178,044201,210
2016-02-25$37.20$36.0029.4%8.8%24.0%64.7%41.7%7.0%-2.2%7.7M-55.5M-2.4M1.577.989,99715,711179,739206,179
2016-02-26$37.01$36.0028.7%8.8%23.9%61.5%31.5%6.2%-2.1%10.4M-43.7M-2.4M1.299.849,47712,272184,063206,414
2016-02-29$36.85$36.0028.5%9.0%22.1%60.8%32.3%6.2%-0.7%7.4M-14.3M-2.3M1.299.559,30711,963181,785203,079