ORCL Options History — December 2016

In December 2016, ORCL traded between $38.40 and $40.92. ATM implied volatility averaged 19.4%, placing in the 32.3% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded below realized volatility by 2.3% (HV 20d: 21.7%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.93.

Notable Days

  • 2016-12-16: Highest Volume — 138,229 contracts
  • 2016-12-16: Largest IV drop — 31.2% change
  • 2016-12-01: Highest IV Rank — 60.4%
  • 2016-12-01: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.42$38.40$40.92$38.64$38.40
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV19.4%14.6%24.8%24.8%16.0%
Expected Move5.4%4.0%8.0%8.0%4.5%
HV 20d21.7%18.8%24.2%19.5%18.8%
HV 60d16.6%14.5%18.0%17.9%16.5%
IV Rank32.3%6.6%60.4%60.4%14.6%
IV Percentile41.7%6.3%75.0%75.0%21.0%
Term Structure-0.4%-1.7%0.7%-1.0%0.3%
VWIV19.3%14.0%27.3%27.3%17.2%
Skew 25d2.9%2.5%4.1%4.1%2.5%
Skew 10d5.6%2.4%8.1%4.9%5.3%
Call IV 25d18.4%13.8%23.4%23.4%15.7%
Put IV 25d21.4%16.4%27.5%27.5%18.2%
Bid-Ask Spread %14.926.5828.6728.6720.81
Gamma HHI0.130.080.250.080.12
Net GEX-9.6M-23.8M8.8M-4.9M-23.1M
Net DEX86.9M-257.2M323.7M213.6M323.7M
Net VEX-2.8M-3.1M-2.5M-2.8M-2.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.930.392.252.120.70
Total Volume44,955.23825,111138,22947,45750,290
Total OI671,382.952611,451784,580611,451668,954

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-12-01$38.64$40.0024.8%8.0%19.5%60.4%27.3%4.1%-1.0%-4.9M213.6M-2.8M2.1228.6715,21032,247289,906321,545
2016-12-02$38.48$40.0024.0%7.5%19.5%55.8%27.3%3.8%-1.2%-23.8M270.1M-2.8M1.1628.1718,94021,877293,841335,620
2016-12-05$38.98$40.0023.5%6.2%20.0%53.4%20.9%3.1%-0.7%-9.6M157.8M-2.8M0.8110.4115,88612,795292,511335,677
2016-12-06$39.42$40.0022.9%6.2%19.3%50.1%21.4%3.1%-0.7%-5.7M58.6M-2.8M1.1910.5214,37817,175299,114340,717
2016-12-07$40.31$40.0022.9%6.1%20.8%50.2%21.4%2.8%-1.2%-928.1K-140.7M-2.9M0.8010.4817,46213,965302,012351,106
2016-12-08$40.35$40.0023.0%6.2%20.5%50.7%21.2%2.8%-1.2%273.8K-156.9M-2.9M0.7611.3614,29010,821306,688353,479
2016-12-09$40.53$40.0023.2%6.0%20.5%51.8%22.0%2.7%-1.3%-18.3M-210.0M-2.9M2.2511.7617,80640,039313,676356,428
2016-12-12$40.49$40.0023.4%6.4%20.4%52.7%23.0%3.2%-0.8%6.0M-170.7M-3.0M1.1410.5917,12019,576309,300370,263
2016-12-13$40.75$40.0023.8%6.3%20.4%59.0%22.7%3.0%-1.7%8.2M-233.4M-3.1M1.0211.3616,13216,414317,721382,402
2016-12-14$40.92$40.0023.0%6.2%20.4%54.1%21.5%3.2%-1.5%8.6M-257.2M-3.1M0.7217.1626,31519,071321,438388,981
2016-12-15$40.78$40.0022.4%6.1%20.1%50.7%21.9%3.5%-1.1%8.8M-240.2M-3.1M0.7321.6666,46048,647332,589395,748
2016-12-16$39.19$40.0015.4%4.4%24.2%11.1%15.5%2.6%-0.4%-13.8M268.7M-2.7M1.2614.1061,26476,965370,723413,857
2016-12-19$38.86$40.0014.7%4.2%24.1%7.1%15.5%2.6%0.4%-18.1M244.4M-2.7M0.6013.9025,16514,979300,086355,239
2016-12-20$38.95$40.0014.8%4.2%24.1%7.6%15.3%2.6%0.4%-16.1M221.7M-2.7M0.518.8423,40311,955306,098357,324
2016-12-21$38.88$40.0014.6%4.2%24.0%6.7%14.8%2.5%0.6%-17.3M239.0M-2.6M0.7319.2017,52612,855310,598358,530
2016-12-22$38.96$40.0014.8%4.2%24.0%7.6%15.0%2.7%0.5%-16.5M220.8M-2.7M0.516.5823,65811,954312,443359,153
2016-12-23$38.80$40.0014.6%4.1%23.9%6.6%14.9%2.6%0.7%-16.2M256.7M-2.6M0.5613.1920,16111,230317,763361,958
2016-12-27$38.83$40.0014.6%4.0%23.9%6.6%14.0%2.5%0.4%-16.0M236.2M-2.5M0.3915.2420,7488,027306,181353,465
2016-12-28$38.70$40.0015.3%4.3%23.7%10.3%16.3%3.0%0.4%-16.7M262.1M-2.5M0.6020.8019,57911,778311,734354,251
2016-12-29$38.70$40.0015.4%4.3%23.7%10.8%15.7%2.9%0.4%-16.5M260.0M-2.5M0.908.4415,71814,179312,647357,276
2016-12-30$38.40$40.0016.0%4.5%18.8%14.6%17.2%2.5%0.3%-23.1M323.7M-2.5M0.7020.8129,62520,665310,684358,270