ORCL Options History — August 2016

In August 2016, ORCL traded between $40.67 and $41.52. ATM implied volatility averaged 17.6%, placing in the 16.9% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 9.0% (HV 20d: 8.6%). Max pain ranged from $40.00 to $40.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 13 of 23 days. Put/call ratio averaged 1.14.

Notable Days

  • 2016-08-15: Highest Volume — 48,768 contracts
  • 2016-08-15: Largest IV spike — 23.3% change
  • 2016-08-24: Highest IV Rank — 37.7%
  • 2016-08-29: Largest Expected Move — 5.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.17$40.67$41.52$41.10$41.27
Max Pain$40.02$40.00$40.50$40.50$40.00
ATM IV17.6%13.5%22.4%14.5%21.9%
Expected Move5.2%4.1%5.9%4.1%5.7%
HV 20d8.6%7.1%11.4%11.4%7.3%
HV 60d19.0%16.6%20.1%20.0%16.6%
IV Rank16.9%0.0%37.7%2.1%35.6%
IV Percentile25.2%0.0%54.4%1.6%54.4%
Term Structure1.0%-1.2%5.3%-0.0%-1.0%
VWIV17.7%14.7%20.3%15.0%19.8%
Skew 25d3.2%2.4%4.0%3.1%3.9%
Skew 10d6.3%2.0%10.7%7.4%10.7%
Call IV 25d16.4%11.7%21.4%13.4%20.6%
Put IV 25d19.6%14.2%25.3%16.5%24.5%
Bid-Ask Spread %8.895.6913.706.186.73
Gamma HHI0.140.110.330.110.11
Net GEX25.6M14.7M55.1M22.7M20.3M
Net DEX-153.5M-233.0M-65.3M-138.3M-134.8M
Net VEX-3.4M-3.5M-3.3M-3.5M-3.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.140.352.531.621.57
Total Volume25,141.69615,21748,76817,91224,169
Total OI565,624526,431589,396542,931589,396

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-08-01$41.10$40.5014.5%4.1%11.4%2.1%15.0%3.1%-0.0%22.7M-138.3M-3.5M1.626.186,83611,076259,055283,876
2016-08-02$40.74$40.0015.7%4.6%10.5%7.3%15.2%3.8%-0.1%17.7M-75.0M-3.5M0.9513.709,5119,044261,961284,885
2016-08-03$40.67$40.0014.9%4.2%10.4%4.0%14.7%3.5%0.2%18.0M-65.3M-3.5M0.5713.0619,98411,480263,699285,356
2016-08-04$40.87$40.0014.2%5.2%10.5%0.6%17.5%2.8%0.2%24.9M-114.1M-3.5M0.9310.5510,0749,382274,878287,665
2016-08-05$41.10$40.0013.6%5.0%10.3%0.0%16.8%2.9%0.0%35.2M-172.0M-3.5M1.177.4011,45913,390278,758288,207
2016-08-08$41.15$40.0013.8%5.1%10.3%0.8%17.2%2.5%3.9%28.4M-174.7M-3.4M1.739.709,14215,837274,565287,342
2016-08-09$41.09$40.0013.7%5.1%8.4%0.2%16.3%2.7%4.0%26.1M-153.6M-3.4M1.3711.446,4178,800274,397289,674
2016-08-10$41.12$40.0013.5%5.2%8.4%0.0%19.4%2.9%4.7%27.3M-150.8M-3.4M2.5311.106,12515,491276,621290,215
2016-08-11$41.32$40.0013.7%5.2%8.3%0.8%17.1%2.6%5.3%34.6M-198.0M-3.4M1.807.296,08110,927278,065295,955
2016-08-12$41.09$40.0014.0%4.8%8.5%2.4%16.2%2.5%4.6%25.1M-141.2M-3.4M1.048.5310,30610,693278,783295,785
2016-08-15$41.45$40.0017.3%5.3%9.1%16.0%16.7%2.4%1.6%26.4M-223.3M-3.3M0.3512.6936,18712,581268,114294,129
2016-08-16$41.36$40.0017.8%5.2%7.6%17.9%16.8%2.9%1.5%37.5M-233.0M-3.4M0.975.9310,52410,222285,133295,377
2016-08-17$41.21$40.0018.3%5.3%7.4%20.3%18.1%3.0%2.1%40.6M-197.7M-3.3M0.3512.6913,5024,754288,564296,587
2016-08-18$41.14$40.0018.6%5.2%7.1%21.3%17.7%3.1%1.9%55.1M-185.4M-3.3M0.386.8319,4417,462288,975299,211
2016-08-19$41.30$40.0017.8%4.9%7.3%18.0%17.2%2.6%1.8%17.0M-188.2M-3.3M0.616.5725,05815,296284,837303,821
2016-08-22$41.24$40.0020.8%5.3%7.3%30.4%19.7%3.4%-0.8%17.8M-140.2M-3.3M2.168.209,36320,188251,736274,695
2016-08-23$41.52$40.0020.8%5.1%7.5%30.6%17.2%2.8%-1.1%21.7M-178.7M-3.4M0.665.6916,81411,080256,932285,566
2016-08-24$41.07$40.0022.4%5.6%8.5%37.7%20.2%4.0%-1.2%14.7M-104.1M-3.4M0.869.729,7788,387264,959288,912
2016-08-25$41.12$40.0021.9%5.6%8.1%35.2%18.9%3.8%-1.0%15.8M-110.4M-3.4M0.947.3510,0149,418268,097294,651
2016-08-26$41.30$40.0022.1%5.7%8.1%36.4%19.7%3.9%-1.2%19.0M-144.5M-3.4M0.528.1927,65614,316271,453293,971
2016-08-29$41.28$40.0022.2%5.9%8.1%36.6%20.3%3.9%-1.2%21.3M-157.9M-3.4M1.637.489,88716,151277,021295,503
2016-08-30$41.32$40.0021.8%5.6%7.4%34.9%20.3%3.8%-1.0%21.8M-148.6M-3.4M1.477.399,71114,245280,044301,926
2016-08-31$41.27$40.0021.9%5.7%7.3%35.6%19.8%3.9%-1.0%20.3M-134.8M-3.4M1.576.739,40414,765282,980306,416