ORCL Options History — May 2016

In May 2016, ORCL traded between $38.84 and $40.26. ATM implied volatility averaged 21.3%, placing in the 29.5% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 6.9% (HV 20d: 14.4%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.73.

Notable Days

  • 2016-05-20: Highest Volume — 38,894 contracts
  • 2016-05-18: Largest IV spike — 10.4% change
  • 2016-05-23: Highest IV Rank — 48.7%
  • 2016-05-31: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.67$38.84$40.26$40.26$40.20
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV21.3%17.2%25.7%17.5%23.7%
Expected Move6.6%5.1%7.2%5.1%7.2%
HV 20d14.4%12.5%16.7%15.2%15.3%
HV 60d18.2%17.5%19.1%19.1%17.6%
IV Rank29.5%11.4%48.7%12.9%39.9%
IV Percentile50.0%19.4%73.8%25.0%60.3%
Term Structure1.2%-1.5%6.2%0.7%-1.0%
VWIV22.9%18.0%24.5%18.0%24.2%
Skew 25d4.5%3.5%5.5%4.0%4.7%
Skew 10d9.8%7.7%11.8%10.6%11.2%
Call IV 25d19.5%15.6%23.3%16.2%21.5%
Put IV 25d24.0%19.1%28.3%20.2%26.2%
Bid-Ask Spread %5.964.277.574.776.43
Gamma HHI0.100.090.130.100.11
Net GEX1.6M-8.1M13.1M5.0M7.9M
Net DEX10.5M-71.2M144.6M-57.6M-60.8M
Net VEX-3.2M-3.5M-3.1M-3.2M-3.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.730.281.430.751.28
Total Volume21,852.76210,31338,89423,83525,738
Total OI508,429.476479,134550,551479,134517,856

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-05-02$40.26$40.0017.5%5.1%15.2%12.9%18.0%4.0%0.7%5.0M-57.6M-3.2M0.754.7713,63510,200222,754256,380
2016-05-03$39.67$40.0019.2%5.7%15.5%20.1%19.1%4.4%0.1%-265.4K29.4M-3.2M0.474.3520,0279,436227,721260,058
2016-05-04$39.31$40.0018.6%5.6%15.5%17.6%19.8%4.1%-0.1%-2.9M72.7M-3.2M0.564.9512,5967,054234,631260,752
2016-05-05$39.20$40.0018.9%6.9%13.9%19.1%24.4%4.2%0.0%-3.4M86.4M-3.1M0.466.1016,1607,481236,036261,079
2016-05-06$39.38$40.0018.1%6.9%13.4%15.2%22.7%3.9%0.3%-2.5M62.3M-3.1M0.494.2716,9258,278238,973262,294
2016-05-09$39.35$40.0018.2%7.0%13.4%15.7%23.7%4.0%6.2%-2.8M56.7M-3.1M0.434.3314,5006,212234,521261,986
2016-05-10$40.02$40.0017.2%6.5%14.9%11.4%22.7%3.7%5.3%5.8M-45.4M-3.2M0.284.7614,2554,045238,816263,247
2016-05-11$39.66$40.0017.5%6.6%12.5%12.6%23.1%3.8%5.4%2.1M11.2M-3.1M0.735.828,3296,107241,715263,245
2016-05-12$39.83$40.0018.1%6.5%12.7%15.3%23.8%3.5%6.0%4.7M-18.7M-3.2M0.635.236,8394,322244,934265,303
2016-05-13$39.60$40.0019.9%6.7%12.7%23.1%23.9%3.6%5.6%-2.1M30.0M-3.1M0.837.575,6354,678246,172265,789
2016-05-16$39.92$40.0021.8%6.6%13.1%31.7%23.1%5.0%0.6%2.7M-37.8M-3.1M0.416.7912,6465,168243,140265,131
2016-05-17$39.80$40.0022.6%6.7%13.1%35.0%23.7%5.1%0.7%431.8K-15.3M-3.1M0.407.3711,5874,626250,396266,347
2016-05-18$39.46$40.0024.9%7.2%13.1%45.3%23.6%5.3%0.2%-2.9M42.9M-3.2M0.686.5515,09310,190258,429275,238
2016-05-19$38.84$40.0025.0%7.1%14.0%45.6%23.9%5.0%0.7%-8.1M144.6M-3.1M0.856.0615,89213,467260,409280,386
2016-05-20$39.32$40.0024.3%6.9%14.9%42.2%22.8%5.0%0.6%-3.9M77.3M-3.2M0.446.0527,05811,836263,752286,799
2016-05-23$39.17$40.0025.7%7.2%14.9%48.7%24.5%5.5%-1.4%-1.4M49.6M-3.2M1.397.158,72712,149223,282260,287
2016-05-24$39.95$40.0024.4%6.7%16.7%42.9%23.8%5.2%-0.9%5.8M-43.0M-3.4M1.286.6112,34415,782226,694268,408
2016-05-25$40.16$40.0024.4%6.7%16.7%43.0%23.4%4.9%-1.2%9.0M-71.2M-3.5M1.436.087,34010,480232,876277,778
2016-05-26$39.96$40.0024.3%6.8%15.9%42.6%23.1%5.2%-1.3%7.2M-38.4M-3.4M0.706.5910,6277,467234,641279,768
2016-05-27$40.05$40.0023.8%6.6%15.6%40.1%22.8%4.9%-1.5%13.1M-54.2M-3.4M0.837.3913,08710,890238,089280,907
2016-05-31$40.20$40.0023.7%7.2%15.3%39.9%24.2%4.7%-1.0%7.9M-60.8M-3.4M1.286.4311,28814,450233,778284,078