ORCL Options History — April 2016

In April 2016, ORCL traded between $39.89 and $41.34. ATM implied volatility averaged 17.2%, placing in the 11.4% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded below realized volatility by 0.6% (HV 20d: 17.8%). Max pain ranged from $38.00 to $40.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 1.24.

Notable Days

  • 2016-04-04: Highest Volume — 54,806 contracts
  • 2016-04-28: Largest IV spike — 10.2% change
  • 2016-04-07: Highest IV Rank — 19.2%
  • 2016-04-07: Largest Expected Move — 5.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.75$39.89$41.34$41.14$39.89
Max Pain$39.90$38.00$40.00$38.00$40.00
ATM IV17.2%16.1%19.0%16.7%18.3%
Expected Move5.0%4.6%5.5%4.6%5.4%
HV 20d17.8%13.6%23.2%21.2%14.7%
HV 60d21.8%19.3%24.0%23.9%19.4%
IV Rank11.4%6.8%19.2%9.4%16.2%
IV Percentile21.4%6.7%43.7%15.9%36.9%
Term Structure0.3%-0.3%0.9%0.6%-0.3%
VWIV17.5%16.1%20.6%16.5%18.5%
Skew 25d4.0%3.5%5.1%3.9%4.4%
Skew 10d9.1%7.0%11.9%11.1%9.9%
Call IV 25d15.7%14.4%17.7%15.0%16.9%
Put IV 25d19.7%18.1%22.2%18.9%21.4%
Bid-Ask Spread %5.003.639.254.815.49
Gamma HHI0.110.080.140.110.10
Net GEX15.1M-309.4K26.4M17.2M-309.4K
Net DEX-188.3M-301.4M-1.9M-301.4M-1.9M
Net VEX-3.3M-3.3M-3.1M-3.1M-3.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.240.491.991.190.49
Total Volume30,474.09517,60654,80632,20525,919
Total OI515,429.476477,570554,982518,002484,974

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-04-01$41.14$38.0016.7%4.6%21.2%9.4%16.5%3.9%0.6%17.2M-301.4M-3.1M1.194.8114,67817,527243,270274,732
2016-04-04$41.02$40.0017.1%5.0%21.3%10.8%17.7%4.1%0.4%17.1M-264.5M-3.1M0.936.0328,40326,403239,245269,200
2016-04-05$40.51$40.0018.4%5.2%22.0%16.6%19.0%3.5%-0.1%15.1M-185.3M-3.3M1.283.6314,59818,624252,172279,414
2016-04-06$40.76$40.0017.3%5.1%21.8%12.0%17.6%5.1%0.1%16.6M-217.3M-3.3M1.644.5410,14216,611252,441280,109
2016-04-07$39.95$40.0019.0%5.5%23.2%19.2%18.8%4.4%0.1%10.0M-75.4M-3.3M1.634.8310,03116,325255,183282,090
2016-04-08$40.36$40.0017.5%5.3%22.8%12.6%18.1%4.3%0.4%13.7M-144.9M-3.3M1.524.3212,18818,586257,348284,527
2016-04-11$40.46$40.0017.6%5.3%21.1%13.0%18.1%4.2%0.9%14.9M-177.5M-3.3M0.704.3130,81821,572255,598285,261
2016-04-12$40.43$40.0017.7%5.3%20.9%13.7%16.6%4.6%0.8%13.6M-142.1M-3.3M1.004.9915,75315,680250,096289,656
2016-04-13$41.34$40.0016.1%4.9%22.1%6.8%17.0%4.1%0.8%22.2M-297.3M-3.3M0.814.1024,40219,760249,262291,059
2016-04-14$41.20$40.0016.5%4.8%16.7%8.3%16.7%4.1%0.4%23.9M-299.3M-3.3M1.694.5810,21617,277259,297294,195
2016-04-15$41.09$40.0016.1%4.6%16.6%6.8%17.1%3.7%0.3%26.4M-286.7M-3.3M1.994.849,90619,742259,564295,418
2016-04-18$41.22$40.0016.3%4.7%14.9%7.5%16.1%3.8%0.4%23.9M-258.4M-3.3M1.784.6110,59618,888236,143257,545
2016-04-19$41.01$40.0016.5%4.7%14.9%8.4%16.6%3.7%0.3%21.1M-222.5M-3.3M1.414.2711,18715,782239,768262,619
2016-04-20$41.16$40.0016.6%4.8%15.0%8.9%16.3%3.6%0.3%24.4M-251.0M-3.3M1.364.5411,06715,089241,718264,371
2016-04-21$41.00$40.0016.6%4.8%14.0%9.0%17.1%3.8%-0.2%18.0M-219.0M-3.3M1.645.0610,03016,450242,914264,915
2016-04-22$40.71$40.0017.5%5.0%14.1%12.6%20.6%3.9%-0.1%8.5M-165.9M-3.3M1.444.6417,22124,741242,372267,577
2016-04-25$40.73$40.0017.6%5.1%13.8%13.1%17.0%4.7%0.2%8.2M-123.6M-3.3M0.745.5710,9858,139220,150257,420
2016-04-26$40.62$40.0017.0%4.9%13.8%10.6%17.2%3.6%0.2%9.0M-114.2M-3.2M1.164.828,1429,464223,625256,261
2016-04-27$40.85$40.0016.4%4.7%13.6%8.1%17.5%3.5%0.5%10.9M-152.6M-3.2M0.949.259,1368,547224,047255,951
2016-04-28$40.24$40.0018.1%5.2%14.6%15.4%17.1%3.9%0.1%3.9M-53.9M-3.2M0.685.8911,4797,852225,453257,059
2016-04-29$39.89$40.0018.3%5.4%14.7%16.2%18.5%4.4%-0.3%-309.4K-1.9M-3.2M0.495.4917,4038,516226,771258,203