ORCL Options History — June 2016

In June 2016, ORCL traded between $38.42 and $40.83. ATM implied volatility averaged 23.2%, placing in the 37.8% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 1.3% (HV 20d: 21.9%). Max pain ranged from $39.00 to $40.00. Net GEX was positive for 15 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 0.96.

Notable Days

  • 2016-06-16: Highest Volume — 138,875 contracts
  • 2016-06-24: Largest IV spike — 35.8% change
  • 2016-06-15: Highest IV Rank — 60.9%
  • 2016-06-15: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.40$38.42$40.83$40.22$40.83
Max Pain$39.27$39.00$40.00$40.00$40.00
ATM IV23.2%16.7%28.5%23.6%16.7%
Expected Move6.5%4.7%8.2%7.6%4.7%
HV 20d21.9%14.3%30.3%14.3%26.3%
HV 60d18.1%16.0%21.0%17.5%21.0%
IV Rank37.8%9.1%60.9%39.6%9.1%
IV Percentile57.8%10.3%85.3%59.5%10.3%
Term Structure-0.8%-2.7%1.4%-0.9%0.1%
VWIV23.0%16.9%29.6%26.7%17.1%
Skew 25d5.2%3.6%7.0%5.1%3.8%
Skew 10d11.4%6.5%18.6%11.5%9.4%
Call IV 25d21.1%15.3%26.0%21.4%15.6%
Put IV 25d26.2%19.4%31.3%26.5%19.4%
Bid-Ask Spread %11.556.2921.5710.1314.36
Gamma HHI0.100.080.150.110.15
Net GEX6.1M-8.2M28.5M10.4M26.6M
Net DEX30.8M-220.4M212.7M-72.1M-210.2M
Net VEX-3.5M-3.7M-3.3M-3.4M-3.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.960.311.811.420.31
Total Volume53,947.04520,646138,87528,35649,767
Total OI596,591.182519,982746,409527,665575,976

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-06-01$40.22$40.0023.6%7.6%14.3%39.6%26.7%5.1%-0.9%10.4M-72.1M-3.4M1.4210.1311,72616,630237,986289,679
2016-06-02$38.64$40.0027.3%6.9%20.2%55.5%25.1%3.9%-1.0%-8.2M173.3M-3.3M0.8313.3060,80250,690239,444293,012
2016-06-03$39.10$39.0025.6%6.9%20.6%47.9%23.9%5.2%-1.6%706.4K65.1M-3.5M0.6610.1841,56227,456273,551323,770
2016-06-06$39.48$39.0026.4%7.0%20.9%51.5%23.2%4.5%-1.7%8.1M5.7M-3.5M0.3611.6366,07023,803271,806322,113
2016-06-07$39.09$39.0026.4%7.1%21.2%51.6%25.3%5.2%-1.6%11.8M7.2M-3.6M1.6510.0713,36922,099304,212329,488
2016-06-08$39.26$39.0025.3%6.9%20.3%46.9%23.9%5.1%-1.0%9.3M768.6K-3.6M1.538.3411,68117,919303,537338,907
2016-06-09$39.07$39.0025.7%7.0%20.1%48.6%24.2%4.5%-1.9%4.8M39.0M-3.5M0.677.4826,78217,897304,881343,018
2016-06-10$38.74$39.0026.9%7.2%20.2%53.6%25.4%5.4%-2.7%-6.2M148.5M-3.5M1.308.0415,44720,090295,190345,895
2016-06-13$38.62$39.0027.5%7.7%20.1%56.2%29.6%6.3%-0.5%-6.8M173.7M-3.4M1.097.6122,50224,473275,050340,385
2016-06-14$38.85$39.0028.0%7.9%20.0%58.4%26.8%6.2%-1.1%-4.0M134.8M-3.5M1.8111.4819,57235,407286,815350,878
2016-06-15$38.42$39.0028.5%8.2%20.3%60.9%27.3%5.4%-2.6%-8.2M212.7M-3.4M1.1214.3220,24922,697296,079363,349
2016-06-16$38.65$39.0027.8%8.0%20.3%57.8%28.2%4.8%-0.6%-5.3M168.2M-3.5M1.0612.6667,43271,443305,487373,190
2016-06-17$39.75$39.0019.0%5.4%22.0%19.4%19.2%5.3%1.4%7.7M-82.6M-3.5M0.8121.5768,98056,136334,768411,641
2016-06-20$39.73$39.0018.8%5.3%21.6%18.5%17.6%5.2%-0.3%11.4M-10.6M-3.5M0.4610.3922,69410,503240,826279,156
2016-06-21$40.03$39.0017.7%5.2%21.7%13.5%16.9%4.9%0.0%15.1M-62.4M-3.5M0.586.2926,50215,454249,636281,180
2016-06-22$40.02$39.0018.4%5.5%20.5%16.8%19.9%5.1%-0.1%18.9M-66.9M-3.7M0.7110.2112,0698,577265,558284,824
2016-06-23$40.82$39.0016.8%4.8%21.6%9.6%17.6%5.3%-0.1%28.5M-220.4M-3.6M0.5611.8920,34311,344267,886287,337
2016-06-24$39.24$40.0022.8%6.8%25.9%35.8%23.7%7.0%-0.2%5.5M70.9M-3.6M1.7418.6124,53742,743273,961291,803
2016-06-27$38.48$40.0023.8%7.0%26.7%40.1%23.4%7.0%-0.3%-4.7M212.4M-3.5M0.8912.6515,06013,362252,550297,061
2016-06-28$39.15$39.5020.7%5.8%27.5%26.7%23.7%5.0%-0.2%109.9K119.8M-3.5M0.8414.2413,77711,615258,773299,144
2016-06-29$40.53$39.5017.6%5.1%30.3%13.3%18.5%3.6%0.3%19.5M-129.5M-3.6M0.688.5921,14514,429262,820302,384
2016-06-30$40.83$40.0016.7%4.7%26.3%9.1%17.1%3.8%0.1%26.6M-210.2M-3.7M0.3114.3638,01511,752271,486304,490