ORCL Options History — January 2017

In January 2017, ORCL traded between $38.52 and $40.19. ATM implied volatility averaged 14.6%, placing in the 7.8% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 0.4% (HV 20d: 14.2%). Max pain ranged from $38.00 to $40.00. Net GEX was positive for 13 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 0.66.

Notable Days

  • 2017-01-20: Highest Volume — 50,674 contracts
  • 2017-01-20: Largest IV drop — 11.3% change
  • 2017-01-10: Highest IV Rank — 17.6%
  • 2017-01-10: Largest Expected Move — 4.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.39$38.52$40.19$38.52$40.09
Max Pain$39.00$38.00$40.00$40.00$39.00
ATM IV14.6%12.7%16.6%16.2%13.6%
Expected Move4.2%3.7%4.7%4.5%4.0%
HV 20d14.2%9.3%18.7%18.7%11.1%
HV 60d16.6%16.2%16.9%16.4%16.7%
IV Rank7.8%0.0%17.6%15.3%5.3%
IV Percentile11.1%0.0%28.2%23.8%3.2%
Term Structure0.2%-0.4%0.9%0.2%0.5%
VWIV15.0%12.7%17.6%16.3%13.8%
Skew 25d2.7%2.0%3.3%3.1%2.9%
Skew 10d6.5%4.9%8.4%6.8%6.2%
Call IV 25d13.7%12.0%15.3%15.0%12.6%
Put IV 25d16.4%14.1%18.2%18.1%15.4%
Bid-Ask Spread %11.405.6421.1910.9210.03
Gamma HHI0.130.110.190.130.14
Net GEX5.5M-14.4M19.9M-14.4M18.8M
Net DEX15.2M-173.0M303.8M303.8M-150.7M
Net VEX-2.4M-2.6M-2.2M-2.4M-2.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.301.200.550.90
Total Volume28,089.510,20150,67446,63010,201
Total OI565,598.05350,660682,471670,213392,820

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-01-03$38.52$40.0016.2%4.5%18.7%15.3%16.3%3.1%0.2%-14.4M303.8M-2.4M0.5510.9230,15916,471309,351360,862
2017-01-04$38.80$40.0015.3%4.4%18.3%10.7%15.5%3.0%0.2%-7.6M200.2M-2.4M0.3621.1931,44511,396317,710352,277
2017-01-05$38.64$39.0015.7%4.5%17.9%13.0%15.7%2.8%0.1%-10.8M245.3M-2.4M0.619.7518,39311,277323,328356,864
2017-01-06$38.53$39.0015.3%4.4%15.6%10.6%15.1%2.7%0.3%-10.9M266.3M-2.4M0.3613.0322,4188,002324,047358,093
2017-01-09$39.09$39.0016.1%4.7%16.7%15.2%17.6%2.7%0.1%-1.9M85.6M-2.4M0.4915.4925,27112,408299,602344,485
2017-01-10$38.72$38.0016.6%4.7%16.7%17.6%17.5%2.8%-0.2%-5.8M175.6M-2.4M0.7314.9612,6779,283305,812344,276
2017-01-11$39.09$38.0015.7%4.6%17.2%13.0%17.0%2.7%0.2%2.2M76.6M-2.4M0.8013.5710,5138,379310,280345,131
2017-01-12$39.26$39.0015.1%4.5%17.1%9.4%16.2%2.5%0.8%5.1M45.7M-2.4M0.9410.7213,18312,417313,245346,000
2017-01-13$39.28$39.0014.6%4.3%17.0%6.3%15.2%2.8%0.9%7.9M6.0M-2.4M0.497.8618,1008,833320,283351,450
2017-01-17$39.03$39.0015.7%4.5%17.1%12.7%17.2%3.3%-0.4%-371.6K78.4M-2.3M0.738.4611,7638,565315,439348,958
2017-01-18$39.20$39.0015.1%4.3%9.8%9.3%15.4%3.1%0.1%2.4M33.9M-2.2M0.489.6224,95512,076316,583350,512
2017-01-19$39.18$39.0014.7%4.2%9.3%7.1%14.3%2.9%-0.4%3.7M23.6M-2.3M0.795.6413,93411,035326,870350,744
2017-01-20$39.90$39.0013.0%3.8%11.3%0.0%13.4%3.2%-0.1%19.3M-137.0M-2.3M0.3011.6538,99611,678327,569354,902
2017-01-23$39.71$39.0013.9%4.0%11.4%4.5%13.7%3.1%0.0%14.2M-107.8M-2.3M0.6311.0114,3669,011176,753173,907
2017-01-24$40.11$39.0013.2%3.8%11.8%1.1%13.4%2.3%0.2%15.3M-165.9M-2.3M0.4811.8822,14010,625181,187178,219
2017-01-25$40.13$39.0013.0%3.8%11.7%0.0%12.7%2.4%0.3%16.8M-167.2M-2.5M0.839.3415,80113,132190,937183,551
2017-01-26$40.12$39.0013.0%3.8%11.7%0.0%12.8%2.2%0.4%17.3M-161.8M-2.5M0.429.3412,1665,136194,666191,039
2017-01-27$40.17$39.0012.7%3.7%11.5%0.0%12.7%2.0%0.4%18.9M-173.0M-2.5M1.2012.438,73110,499197,176191,810
2017-01-30$40.19$39.0013.5%4.0%11.5%4.7%13.8%2.5%0.3%19.9M-172.9M-2.5M1.1611.117,5608,795196,426188,797
2017-01-31$40.09$39.0013.6%4.0%11.1%5.3%13.8%2.9%0.5%18.8M-150.7M-2.6M0.9010.035,3754,826199,069193,751