ORCL Options History — July 2016

In July 2016, ORCL traded between $40.35 and $41.73. ATM implied volatility averaged 15.5%, placing in the 5.2% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded below realized volatility by 7.6% (HV 20d: 23.1%). Max pain ranged from $40.00 to $41.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 1.23.

Notable Days

  • 2016-07-08: Highest Volume — 37,654 contracts
  • 2016-07-08: Largest IV drop — 12.2% change
  • 2016-07-06: Highest IV Rank — 17.5%
  • 2016-07-05: Largest Expected Move — 5.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.09$40.35$41.73$40.96$41.05
Max Pain$40.38$40.00$41.00$40.00$40.50
ATM IV15.5%14.0%18.6%17.0%14.3%
Expected Move4.4%3.9%5.5%4.6%4.0%
HV 20d23.1%11.5%26.7%26.1%11.5%
HV 60d20.5%20.1%20.7%20.6%20.1%
IV Rank5.2%0.0%17.5%10.7%1.1%
IV Percentile6.7%0.0%35.3%13.9%0.4%
Term Structure0.2%-0.5%1.1%0.2%0.4%
VWIV15.9%14.3%19.8%16.7%14.6%
Skew 25d3.6%2.9%4.7%3.9%2.9%
Skew 10d8.5%6.2%11.2%10.6%7.2%
Call IV 25d14.1%12.9%16.7%15.3%13.2%
Put IV 25d17.7%15.9%21.1%19.2%16.0%
Bid-Ask Spread %8.116.0811.309.128.08
Gamma HHI0.150.110.330.220.33
Net GEX30.5M18.3M60.1M42.0M54.0M
Net DEX-188.9M-406.4M-83.0M-234.3M-143.9M
Net VEX-3.6M-3.7M-3.5M-3.7M-3.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.230.543.270.970.68
Total Volume24,077.2516,40037,65426,65928,817
Total OI559,871.35503,435605,294586,566549,537

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-07-01$40.96$40.0017.0%4.6%26.1%10.7%16.7%3.9%0.2%42.0M-234.3M-3.7M0.979.1213,54113,118280,382306,184
2016-07-05$40.35$40.0018.4%5.5%26.7%16.9%19.4%4.4%-0.2%20.6M-83.0M-3.6M1.556.587,01110,834270,091305,375
2016-07-06$40.54$40.0018.6%5.0%26.4%17.5%19.8%4.0%0.2%25.8M-119.0M-3.6M1.658.638,68614,311272,349306,435
2016-07-07$40.53$40.0018.0%5.0%26.4%14.8%19.1%4.7%0.5%26.5M-108.0M-3.6M3.278.834,42914,503276,698310,730
2016-07-08$40.87$40.0015.8%4.6%26.3%5.2%16.2%4.0%0.0%30.0M-167.7M-3.6M0.547.7724,38013,274277,764313,772
2016-07-11$40.79$40.0015.5%4.4%26.1%3.9%16.7%4.4%0.0%34.6M-166.4M-3.5M1.597.147,47111,874277,195304,023
2016-07-12$41.46$40.0015.0%4.6%26.4%1.7%14.6%3.6%1.1%47.8M-325.4M-3.5M0.698.0620,92814,413279,248306,526
2016-07-13$41.48$40.0014.7%4.5%26.4%0.7%15.9%3.5%1.1%53.1M-333.8M-3.5M0.939.3711,12110,357287,882310,698
2016-07-14$41.73$40.0014.7%4.1%25.9%0.7%14.3%3.5%-0.5%60.1M-378.8M-3.6M0.956.8514,72513,951288,488311,682
2016-07-15$41.73$40.0014.0%3.9%25.9%0.0%14.6%3.0%-0.4%21.2M-406.4M-3.5M0.759.7020,87015,740291,949313,345
2016-07-18$41.61$40.0014.4%4.1%24.4%1.9%15.1%3.4%0.3%21.6M-229.3M-3.5M1.1711.307,7469,034234,564268,871
2016-07-19$41.04$40.0015.2%4.3%25.0%5.1%14.6%3.6%0.4%18.3M-141.5M-3.5M1.517.9711,52217,413238,713270,523
2016-07-20$41.30$41.0014.4%4.1%25.0%1.5%14.4%3.4%0.1%21.6M-174.2M-3.6M1.306.089,38112,232245,017279,165
2016-07-21$41.07$41.0015.3%4.4%25.1%5.6%14.3%3.4%0.2%19.2M-130.3M-3.5M1.309.898,90911,556247,629282,510
2016-07-22$41.07$41.0014.7%4.2%24.1%3.0%14.4%3.4%0.1%21.5M-132.5M-3.6M1.218.909,38311,310252,206284,638
2016-07-25$41.11$41.0015.0%4.3%19.0%4.2%16.0%3.8%0.3%21.9M-133.7M-3.5M1.186.878,73110,276251,388278,561
2016-07-26$40.94$41.0014.8%4.2%17.4%3.3%16.6%3.5%0.1%21.0M-102.3M-3.5M1.236.457,3619,039254,536281,812
2016-07-27$40.93$41.0014.6%4.2%16.6%2.5%15.5%3.0%0.3%22.4M-104.8M-3.5M1.206.109,57111,455257,253283,363
2016-07-28$41.23$41.0015.0%4.3%11.6%4.1%15.5%3.0%0.1%27.4M-162.6M-3.6M0.998.4211,17211,100260,613285,712
2016-07-29$41.05$40.5014.3%4.0%11.5%1.1%14.6%2.9%0.4%54.0M-143.9M-3.5M0.688.0817,14211,675264,361285,176