ORCL Options History — November 2016

In November 2016, ORCL traded between $38.09 and $40.53. ATM implied volatility averaged 19.4%, placing in the 31.4% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 8.0% (HV 20d: 11.4%). Max pain ranged from $39.00 to $40.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 1.07.

Notable Days

2016-11-16: Highest Volume — 39,045 contracts
2016-11-14: Largest IV spike — 13.3% change
2016-11-16: Highest IV Rank — 41.5%
2016-11-04: Largest Expected Move — 6.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$39.51	$38.09	$40.53	$38.51	$40.27
Max Pain	$39.90	$39.00	$40.00	$39.00	$40.00
ATM IV	19.4%	16.1%	21.3%	17.8%	20.9%
Expected Move	5.9%	5.2%	6.6%	5.7%	6.1%
HV 20d	11.4%	9.9%	12.5%	9.9%	12.5%
HV 60d	15.3%	14.5%	15.8%	14.5%	15.8%
IV Rank	31.4%	14.1%	41.5%	22.9%	39.3%
IV Percentile	46.8%	18.7%	57.5%	37.3%	57.5%
Term Structure	0.8%	-1.3%	5.0%	0.3%	-0.9%
VWIV	20.6%	17.9%	23.0%	20.7%	21.4%
Skew 25d	4.1%	3.1%	4.9%	4.4%	3.2%
Skew 10d	9.0%	6.3%	11.1%	8.8%	6.3%
Call IV 25d	17.9%	14.4%	20.1%	16.2%	20.1%
Put IV 25d	22.0%	18.4%	24.6%	20.6%	23.3%
Bid-Ask Spread %	16.74	6.82	31.97	20.11	29.25
Gamma HHI	0.09	0.07	0.15	0.08	0.10
Net GEX	3.9M	-7.1M	18.1M	-3.6M	5.3M
Net DEX	2.0M	-181.2M	245.1M	184.0M	-124.5M
Net VEX	-2.9M	-3.0M	-2.8M	-2.9M	-2.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.07	0.54	1.72	1.24	1.72
Total Volume	25,281.619	19,039	39,045	22,056	25,256
Total OI	577,984.429	547,184	610,660	547,184	603,331

Daily Data (21 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2016-11-01	$38.51	$39.00	17.8%	5.7%	9.9%	22.9%	20.7%	4.4%	0.3%	-3.6M	184.0M	-2.9M	1.24	20.11	9,825	12,231	252,045	295,139
2016-11-02	$38.09	$39.00	18.3%	6.0%	10.2%	25.6%	21.7%	4.3%	0.0%	-7.1M	245.1M	-2.8M	1.44	31.97	9,247	13,327	254,404	296,976
2016-11-03	$38.26	$40.00	18.6%	6.5%	10.2%	27.0%	22.8%	4.7%	0.3%	-6.1M	218.0M	-2.9M	1.22	13.10	11,745	14,339	254,060	300,953
2016-11-04	$38.31	$40.00	18.9%	6.6%	10.2%	29.0%	21.9%	4.5%	-0.2%	-6.4M	211.1M	-2.9M	0.91	6.82	11,573	10,510	255,905	303,215
2016-11-07	$39.03	$40.00	17.5%	6.0%	12.2%	21.4%	21.2%	4.5%	3.4%	-1.3M	96.8M	-2.9M	0.90	11.18	10,576	9,555	254,823	301,777
2016-11-08	$39.19	$40.00	17.2%	6.0%	10.6%	20.0%	20.0%	4.6%	3.7%	285.2K	70.3M	-2.9M	0.99	10.62	9,691	9,637	256,562	302,157
2016-11-09	$39.63	$40.00	16.1%	5.5%	11.1%	14.1%	20.2%	4.0%	3.3%	5.7M	-14.6M	-2.9M	0.61	13.38	18,520	11,376	259,016	303,673
2016-11-10	$39.58	$40.00	17.7%	5.8%	11.2%	22.5%	22.4%	4.4%	3.3%	8.8M	-20.3M	-2.9M	0.84	13.40	18,522	15,648	269,465	305,795
2016-11-11	$39.46	$40.00	18.5%	6.2%	10.7%	26.7%	23.0%	4.3%	5.0%	8.9M	5.1M	-2.9M	1.38	12.43	8,013	11,026	272,314	310,028
2016-11-14	$39.31	$40.00	20.9%	6.3%	10.6%	39.7%	20.9%	4.9%	-0.1%	3.4M	52.4M	-2.8M	1.55	11.92	10,943	16,944	266,060	309,156
2016-11-15	$39.19	$40.00	21.0%	6.1%	10.7%	39.9%	20.1%	4.4%	0.8%	2.0M	79.1M	-2.8M	1.57	15.56	10,474	16,436	271,694	314,455
2016-11-16	$39.64	$40.00	21.3%	6.1%	11.3%	41.5%	21.7%	4.3%	0.8%	9.8M	-23.6M	-2.9M	1.67	19.66	14,648	24,397	276,841	316,731
2016-11-17	$40.26	$40.00	20.1%	5.7%	11.9%	35.2%	20.0%	3.6%	0.8%	11.7M	-163.2M	-3.0M	0.77	15.55	16,664	12,841	284,516	324,573
2016-11-18	$39.85	$40.00	19.9%	5.5%	12.4%	34.3%	19.4%	3.7%	1.7%	18.1M	-73.5M	-2.9M	0.59	18.30	17,527	10,277	286,557	324,103
2016-11-21	$39.84	$40.00	20.2%	5.4%	12.2%	35.7%	18.3%	4.2%	-1.3%	6.6M	-52.5M	-2.9M	0.54	17.24	14,338	7,803	270,967	305,501
2016-11-22	$40.07	$40.00	20.1%	5.3%	12.2%	35.3%	17.9%	3.7%	-0.7%	6.4M	-99.6M	-2.9M	0.66	17.15	12,415	8,164	274,165	306,361
2016-11-23	$40.07	$40.00	20.6%	5.3%	12.2%	37.7%	18.1%	3.7%	-0.7%	4.4M	-102.3M	-2.9M	0.75	17.72	12,503	9,439	277,433	306,943
2016-11-25	$40.27	$40.00	20.1%	5.2%	12.1%	35.0%	19.5%	3.4%	-0.8%	5.3M	-148.4M	-2.8M	0.82	21.74	12,468	10,212	279,950	310,089
2016-11-28	$40.26	$40.00	20.9%	5.7%	12.1%	39.5%	20.6%	3.3%	-0.9%	4.6M	-115.8M	-2.8M	1.52	17.80	10,612	16,091	277,503	307,529
2016-11-29	$40.53	$40.00	20.5%	5.7%	12.1%	37.7%	19.9%	3.1%	-0.7%	6.0M	-181.2M	-2.8M	0.76	16.76	14,298	10,803	281,772	313,136
2016-11-30	$40.27	$40.00	20.9%	6.1%	12.5%	39.3%	21.4%	3.2%	-0.9%	5.3M	-124.5M	-2.9M	1.72	29.25	9,292	15,964	288,531	314,800