ORCL Options History — October 2016

In October 2016, ORCL traded between $37.94 and $39.14. ATM implied volatility averaged 16.1%, placing in the 13.8% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 1.0% (HV 20d: 15.1%). Max pain ranged from $39.00 to $40.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.73.

Notable Days

  • 2016-10-07: Highest Volume — 34,846 contracts
  • 2016-10-24: Largest IV drop — 7.1% change
  • 2016-10-13: Highest IV Rank — 21.4%
  • 2016-10-17: Largest Expected Move — 5.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.44$37.94$39.14$39.04$38.45
Max Pain$39.43$39.00$40.00$40.00$39.00
ATM IV16.1%14.6%17.5%15.1%16.0%
Expected Move4.7%4.3%5.1%4.4%5.0%
HV 20d15.1%10.0%22.3%22.1%10.0%
HV 60d14.4%14.2%14.6%14.6%14.5%
IV Rank13.8%6.2%21.4%8.6%13.6%
IV Percentile17.0%6.3%30.2%10.3%17.1%
Term Structure-0.0%-1.5%1.4%0.6%-0.0%
VWIV16.3%14.5%18.2%14.5%15.6%
Skew 25d4.0%3.1%5.3%4.0%4.2%
Skew 10d9.4%7.1%15.0%7.6%10.2%
Call IV 25d14.5%13.5%15.7%13.7%14.4%
Put IV 25d18.5%17.1%20.3%17.8%18.6%
Bid-Ask Spread %9.654.8121.137.7912.31
Gamma HHI0.150.080.340.110.08
Net GEX-16.2M-32.5M-6.2M-11.9M-6.2M
Net DEX282.6M203.8M387.9M229.5M203.8M
Net VEX-2.9M-3.0M-2.7M-3.0M-2.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.730.311.270.930.44
Total Volume20,08012,59934,84623,59228,220
Total OI574,268.048535,521605,894554,696542,419

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-10-03$39.04$40.0015.1%4.4%22.1%8.6%14.5%4.0%0.6%-11.9M229.5M-3.0M0.937.7912,24511,347251,674303,022
2016-10-04$38.88$40.0015.2%4.4%22.1%9.5%15.3%3.7%0.6%-13.1M260.1M-3.0M0.535.7110,6505,677255,709308,005
2016-10-05$39.14$40.0015.2%4.3%22.3%9.4%15.0%3.5%0.6%-9.2M213.2M-3.0M0.6610.739,6456,343257,676308,287
2016-10-06$38.90$40.0015.2%4.7%22.0%9.3%16.4%3.1%1.3%-13.6M249.1M-3.0M0.719.158,4816,004261,346309,585
2016-10-07$38.74$40.0016.1%4.6%21.5%14.0%16.1%3.4%1.4%-14.5M293.4M-3.0M0.849.1618,95215,894271,309320,310
2016-10-10$38.65$40.0016.0%4.5%20.7%13.7%14.6%4.2%-0.6%-15.7M301.7M-3.0M0.319.4315,5034,790263,959316,127
2016-10-11$38.04$40.0017.1%4.9%20.8%19.1%17.9%4.4%-0.0%-17.6M387.9M-2.8M0.419.9516,8696,968272,337316,483
2016-10-12$38.10$40.0016.8%5.0%20.7%17.7%16.6%3.9%0.6%-17.0M346.1M-2.8M0.8012.928,6566,926275,009311,164
2016-10-13$38.09$40.0017.5%5.0%19.6%21.4%16.6%4.3%-0.1%-16.8M346.1M-2.9M1.017.709,8769,976276,393314,142
2016-10-14$38.52$39.0016.6%4.6%11.2%16.7%16.1%5.3%-0.7%-19.3M284.0M-3.0M0.658.6612,5548,186279,889319,504
2016-10-17$38.31$39.0017.4%5.1%10.8%21.1%17.6%4.2%-1.5%-16.0M305.8M-3.0M0.764.817,7305,875277,634317,948
2016-10-18$38.38$39.0017.2%5.0%10.8%19.9%15.6%4.5%-1.4%-16.6M295.5M-2.9M0.737.628,1775,994277,634318,496
2016-10-19$38.42$39.0017.2%4.9%10.0%20.1%17.0%4.5%-1.4%-16.4M292.3M-2.9M0.896.486,6535,946280,552318,947
2016-10-20$38.14$39.0016.6%4.8%10.2%16.4%18.2%4.2%-0.5%-20.5M339.3M-2.8M1.276.907,5889,666281,308319,540
2016-10-21$37.94$39.0015.7%4.5%10.0%12.1%16.8%4.0%-0.4%-32.5M381.7M-2.7M1.116.459,68110,757283,857322,037
2016-10-24$38.30$39.0014.6%4.3%10.7%6.2%15.0%3.5%0.3%-19.0M249.9M-2.7M0.4111.6815,9816,485237,857297,664
2016-10-25$38.35$39.0014.6%4.3%10.4%6.3%15.7%3.6%0.0%-17.2M239.1M-2.8M0.5714.5311,0986,306242,301299,046
2016-10-26$38.35$39.0014.7%4.4%10.2%6.7%17.2%3.8%0.4%-17.5M231.0M-2.7M0.658.6311,8617,692244,722299,828
2016-10-27$38.23$39.0015.8%4.7%10.1%12.2%16.2%3.7%0.4%-21.2M249.1M-2.8M0.6210.9917,09210,518248,128301,459
2016-10-28$38.21$39.0016.4%5.0%10.0%15.7%18.1%3.6%0.2%-7.5M236.7M-2.8M1.0921.1310,94311,875252,120304,202
2016-10-31$38.45$39.0016.0%5.0%10.0%13.6%15.6%4.2%-0.0%-6.2M203.8M-2.8M0.4412.3119,6038,617248,641293,778