ORCL Options History — September 2016

In September 2016, ORCL traded between $38.98 and $41.29. ATM implied volatility averaged 19.1%, placing in the 29.7% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 3.2% (HV 20d: 15.9%). Max pain ranged from $40.00 to $41.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.85.

Notable Days

  • 2016-09-15: Highest Volume — 123,112 contracts
  • 2016-09-16: Largest IV drop — 30.6% change
  • 2016-09-13: Highest IV Rank — 61.6%
  • 2016-09-14: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.99$38.98$41.29$41.08$39.38
Max Pain$40.48$40.00$41.00$40.00$40.00
ATM IV19.1%14.0%25.1%22.6%14.0%
Expected Move5.2%4.0%6.7%6.2%4.0%
HV 20d15.9%7.2%22.1%7.4%22.1%
HV 60d16.4%14.6%19.4%16.7%14.6%
IV Rank29.7%2.9%61.6%45.4%2.9%
IV Percentile33.8%2.0%74.2%57.9%2.0%
Term Structure-0.6%-2.1%0.3%-1.2%0.0%
VWIV18.5%14.7%23.6%21.5%14.7%
Skew 25d4.0%3.1%5.0%3.7%3.9%
Skew 10d7.6%1.5%18.4%3.4%9.5%
Call IV 25d17.4%13.0%22.8%21.2%13.0%
Put IV 25d21.4%16.6%27.7%25.0%16.9%
Bid-Ask Spread %7.175.089.866.678.30
Gamma HHI0.130.090.600.110.14
Net GEX-898.6K-71.6M25.6M16.7M2.6M
Net DEX107.9M-158.5M439.0M-77.5M191.3M
Net VEX-3.2M-3.4M-2.9M-3.4M-3.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.850.411.721.340.61
Total Volume40,681.90518,264123,11219,76921,060
Total OI601,327.952540,178712,992596,171582,216

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-09-01$41.08$40.0022.6%6.2%7.4%45.4%21.5%3.7%-1.2%16.7M-77.5M-3.4M1.346.678,44511,324285,437310,734
2016-09-02$41.20$40.0021.9%5.6%7.2%42.8%19.4%3.1%-0.9%22.7M-115.1M-3.3M0.617.4118,81011,529288,476311,758
2016-09-06$41.20$41.0021.6%5.6%7.2%41.4%20.1%3.9%-1.4%23.3M-140.6M-3.3M0.845.429,9028,362287,317302,381
2016-09-07$41.29$41.0021.2%5.6%7.2%41.0%20.6%3.9%-1.0%25.6M-158.5M-3.3M1.438.3811,74216,791291,081305,932
2016-09-08$40.74$41.0022.2%5.6%8.7%46.2%19.8%3.6%-1.2%4.7M-2.6M-3.3M1.726.9112,73621,952294,727323,264
2016-09-09$40.15$41.0024.5%6.4%9.8%58.7%21.4%4.3%-1.5%-352.7K119.8M-3.3M1.197.9316,28719,420299,752332,251
2016-09-12$40.70$41.0023.4%6.0%11.0%52.5%22.1%4.8%-2.1%8.3M-22.0M-3.2M0.819.1215,83012,864292,294325,504
2016-09-13$40.11$41.0025.1%6.7%11.5%61.6%23.6%5.0%-1.5%2.4M82.8M-3.2M1.067.3622,57823,972298,371328,866
2016-09-14$40.29$41.0024.8%6.7%11.7%60.4%23.2%4.8%-1.2%4.0M52.1M-3.3M0.995.0821,40721,164305,707342,121
2016-09-15$40.91$41.0024.3%6.5%13.0%57.4%23.0%4.9%-1.7%11.5M-72.2M-3.4M0.718.5671,81851,294311,503350,902
2016-09-16$38.98$41.0016.9%4.8%21.5%18.0%16.3%3.8%-0.2%-71.6M439.0M-2.9M0.817.8765,42553,002335,753377,239
2016-09-19$39.30$41.0016.0%4.6%21.7%13.6%16.4%4.1%0.1%-10.0M228.9M-3.1M0.799.8631,75825,246249,292290,886
2016-09-20$39.15$40.0016.6%4.8%21.7%16.8%17.0%4.1%-0.2%-9.9M256.9M-3.2M0.517.2325,21412,813262,038304,380
2016-09-21$39.55$40.0015.3%4.4%21.9%9.9%15.8%3.9%0.1%-5.2M188.3M-3.2M0.567.5823,65113,235269,562309,885
2016-09-22$39.54$40.0014.6%4.2%21.7%5.9%14.9%3.7%0.0%-4.2M183.2M-3.2M0.695.2920,77414,298276,003313,638
2016-09-23$39.18$40.0014.9%4.3%21.8%7.7%15.1%3.4%0.1%-11.8M259.7M-3.1M0.806.8721,65617,392280,771314,701
2016-09-26$39.07$40.0016.0%4.6%21.7%13.4%16.4%3.7%-0.1%-10.5M244.6M-3.1M0.636.6115,4729,735256,829305,054
2016-09-27$39.32$40.0014.8%4.3%21.9%7.2%15.6%3.3%0.2%-6.8M206.2M-3.1M0.577.3316,5289,459259,995306,295
2016-09-28$39.45$40.0014.6%4.1%22.0%5.9%15.1%3.8%0.3%-4.1M184.5M-3.1M0.415.6318,7117,723261,881306,823
2016-09-29$39.23$40.0016.1%4.7%22.0%14.0%16.2%4.1%0.1%-5.9M216.3M-3.1M0.685.2013,6359,306268,834307,434
2016-09-30$39.38$40.0014.0%4.0%22.1%2.9%14.7%3.9%0.0%2.6M191.3M-3.1M0.618.3013,0767,984272,484309,732