ORCL Options History — March 2016

In March 2016, ORCL traded between $37.76 and $41.57. ATM implied volatility averaged 22.9%, placing in the 36.3% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 1.8% (HV 20d: 21.1%). Max pain ranged from $36.00 to $38.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 1.18.

Notable Days

  • 2016-03-16: Highest Volume — 177,420 contracts
  • 2016-03-16: Largest IV drop — 32.4% change
  • 2016-03-15: Highest IV Rank — 60.6%
  • 2016-03-02: Largest Expected Move — 8.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.58$37.76$41.57$37.90$40.96
Max Pain$36.95$36.00$38.00$36.00$38.00
ATM IV22.9%17.4%28.4%26.6%17.4%
Expected Move6.5%4.8%8.6%8.5%4.8%
HV 20d21.1%17.4%24.2%24.2%21.2%
HV 60d25.2%23.9%27.1%27.1%23.9%
IV Rank36.3%12.2%60.6%52.6%12.4%
IV Percentile59.6%24.6%84.5%79.8%24.6%
Term Structure-0.4%-1.7%0.5%-0.8%0.2%
VWIV23.3%17.8%32.0%32.0%17.8%
Skew 25d5.1%4.2%6.5%5.8%4.2%
Skew 10d10.2%7.2%13.9%13.2%7.6%
Call IV 25d20.8%15.7%26.3%24.3%15.7%
Put IV 25d25.9%19.9%31.5%30.2%19.9%
Bid-Ask Spread %7.974.5615.389.626.03
Gamma HHI0.110.090.140.110.11
Net GEX14.6M4.9M30.2M11.4M15.7M
Net DEX-262.4M-707.9M-109.2M-125.8M-260.5M
Net VEX-2.8M-3.3M-2.4M-2.4M-3.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.180.701.830.871.11
Total Volume54,576.45526,028177,42027,35931,730
Total OI495,771.545393,109660,513393,109516,275

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-03-01$37.90$36.0026.6%8.5%24.2%52.6%32.0%5.8%-0.8%11.4M-125.8M-2.4M0.879.6214,63712,722184,779208,330
2016-03-02$37.76$36.0027.4%8.6%21.5%56.0%30.2%5.5%-0.9%14.4M-118.7M-2.4M0.7911.0822,71317,872191,847212,630
2016-03-03$37.89$36.0026.9%7.2%21.3%53.7%24.6%4.6%-0.8%16.0M-147.5M-2.4M1.138.8615,23217,193205,337221,578
2016-03-04$37.95$36.0027.0%7.2%20.4%54.2%24.3%5.3%-0.6%10.6M-160.7M-2.5M0.9712.7828,89528,104210,465227,126
2016-03-07$38.32$36.0027.3%7.4%18.2%55.5%25.6%6.4%-1.0%10.4M-149.3M-2.5M1.017.9915,32315,444204,554229,961
2016-03-08$38.09$36.0028.0%7.7%18.5%58.7%25.6%5.7%-1.1%10.3M-123.5M-2.5M1.098.7812,44213,586209,952233,670
2016-03-09$38.40$36.0027.4%7.7%17.4%55.8%27.3%6.5%-0.6%11.7M-162.6M-2.5M1.558.3511,01417,119213,302235,819
2016-03-10$37.95$36.0027.6%7.7%18.3%57.0%25.8%5.5%-1.1%10.6M-109.2M-2.5M1.439.3213,10418,774218,043241,813
2016-03-11$38.95$36.0026.9%7.3%19.3%53.9%27.4%6.3%-1.7%14.3M-243.1M-2.5M1.315.5024,91832,719223,887250,111
2016-03-14$38.72$37.0026.8%7.4%19.2%53.5%27.8%4.9%-0.5%13.7M-205.5M-2.5M1.544.5623,08635,474227,648243,491
2016-03-15$38.67$37.0028.4%8.0%19.3%60.6%28.6%5.2%-0.6%4.9M-151.2M-2.6M0.867.8556,36048,317237,827300,631
2016-03-16$40.34$37.0019.2%5.5%22.2%20.3%20.5%4.7%-0.2%26.9M-523.7M-2.4M0.7015.38104,08373,337254,778317,268
2016-03-17$40.57$37.0017.5%5.0%22.1%12.9%20.1%4.4%0.5%30.2M-578.5M-2.8M0.936.8026,40124,564296,312358,863
2016-03-18$41.41$37.0018.7%5.5%22.8%18.0%19.2%4.3%-1.1%22.9M-707.9M-2.8M1.367.5754,10673,682300,024360,489
2016-03-21$41.57$38.0018.4%5.4%22.7%16.9%19.9%4.3%0.1%15.1M-389.4M-3.1M1.735.6320,33835,208229,195273,123
2016-03-22$41.40$38.0018.2%5.2%22.0%15.7%18.8%4.7%-0.1%14.5M-362.7M-3.2M1.205.2021,26725,424234,307285,552
2016-03-23$40.78$38.0018.8%5.4%23.2%18.5%19.0%4.2%0.1%12.4M-278.1M-3.3M1.187.6820,66324,465239,454287,553
2016-03-24$40.95$38.0018.7%5.3%22.9%18.1%21.4%4.7%0.0%17.6M-301.6M-3.3M1.245.1819,55924,250242,416291,603
2016-03-28$40.59$38.0019.7%5.6%23.2%22.2%19.7%4.8%-0.1%11.5M-201.6M-3.2M1.839.1315,26327,942227,790259,756
2016-03-29$40.69$38.0018.9%5.3%23.0%19.0%18.6%4.9%0.3%11.2M-210.0M-3.2M1.205.0116,68220,077228,514268,141
2016-03-30$41.00$38.0017.4%4.8%21.3%12.2%18.1%4.8%0.2%14.0M-261.8M-3.1M0.897.0024,61821,975232,457270,303
2016-03-31$40.96$38.0017.4%4.8%21.2%12.4%17.8%4.2%0.2%15.7M-260.5M-3.2M1.116.0315,00816,722241,802274,473