ORCL Options History — February 2017

In February 2017, ORCL traded between $39.88 and $43.14. ATM implied volatility averaged 16.4%, placing in the 22.7% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 6.0% (HV 20d: 10.4%). Max pain ranged from $39.00 to $41.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 1.05.

Notable Days

  • 2017-02-23: Highest Volume — 48,441 contracts
  • 2017-02-13: Largest IV spike — 25.2% change
  • 2017-02-28: Highest IV Rank — 51.1%
  • 2017-02-28: Largest Expected Move — 6.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.31$39.88$43.14$39.88$42.62
Max Pain$39.68$39.00$41.00$39.00$41.00
ATM IV16.4%12.4%20.7%13.4%20.7%
Expected Move5.0%4.0%6.0%4.0%6.0%
HV 20d10.4%9.1%11.8%11.4%10.7%
HV 60d16.4%16.1%16.7%16.7%16.5%
IV Rank22.7%0.0%51.1%3.7%51.1%
IV Percentile35.3%0.0%71.4%2.0%71.4%
Term Structure1.1%-1.1%4.6%0.7%-0.9%
VWIV17.6%14.1%21.5%14.1%21.5%
Skew 25d2.4%1.9%2.9%2.7%2.9%
Skew 10d5.1%4.0%6.3%6.1%5.1%
Call IV 25d15.4%11.2%19.3%12.8%19.3%
Put IV 25d17.8%13.1%22.2%15.5%22.2%
Bid-Ask Spread %8.496.3414.9814.988.56
Gamma HHI0.160.120.390.140.12
Net GEX24.5M18.0M46.7M18.0M27.7M
Net DEX-323.1M-593.4M-125.3M-125.3M-472.3M
Net VEX-2.7M-3.1M-2.5M-2.5M-3.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.050.353.961.490.75
Total Volume27,710.15814,07948,44114,81914,408
Total OI456,598.526395,021523,576395,021523,576

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-02-01$39.88$39.0013.4%4.0%11.4%3.7%14.1%2.7%0.7%18.0M-125.3M-2.5M1.4914.985,9508,869200,387194,634
2017-02-02$39.97$39.0013.5%5.1%11.2%4.6%18.8%2.6%0.4%20.0M-133.3M-2.6M3.966.884,01215,896202,122199,211
2017-02-03$40.40$39.0012.4%4.9%11.4%0.0%16.1%2.3%0.6%20.3M-200.6M-2.6M0.478.0518,3298,560202,292207,254
2017-02-06$40.11$39.0013.1%4.9%11.8%3.7%16.6%2.4%3.8%21.5M-149.0M-2.6M1.347.656,0078,072205,789206,772
2017-02-07$40.06$39.0012.6%4.9%10.9%0.7%16.4%2.7%4.6%20.4M-130.5M-2.6M1.528.106,4949,885207,700210,704
2017-02-08$40.06$39.0012.4%4.9%10.1%0.1%16.0%2.4%4.6%20.9M-125.8M-2.6M1.217.167,1028,608210,934215,624
2017-02-09$40.24$39.0013.2%4.8%9.8%4.2%16.1%2.5%4.2%23.1M-164.2M-2.6M0.986.3416,96216,646212,812216,552
2017-02-10$40.80$40.0013.2%4.6%10.7%3.9%16.3%1.9%4.5%22.9M-272.5M-2.6M0.788.5322,53017,681219,648223,305
2017-02-13$41.10$40.0016.5%5.0%10.8%22.1%17.1%2.4%0.9%23.8M-303.5M-2.7M0.677.1024,45616,456221,403226,327
2017-02-14$41.07$40.0017.9%5.3%10.4%29.8%18.1%1.9%0.2%23.7M-300.7M-2.8M0.717.3116,98812,017234,170235,806
2017-02-15$41.46$40.0018.2%5.2%10.7%32.7%17.8%2.3%0.2%25.2M-379.0M-2.8M0.937.1114,38113,311242,953238,607
2017-02-16$41.50$40.0018.3%5.2%10.6%33.4%18.0%2.2%0.1%24.8M-402.3M-2.8M0.766.5615,01911,473246,882241,791
2017-02-17$41.97$40.0017.6%4.9%9.5%29.4%17.4%2.4%1.5%46.7M-472.6M-2.8M1.058.1016,95817,785249,895244,914
2017-02-21$42.35$40.0019.2%5.1%9.4%38.2%18.6%2.3%-1.0%21.6M-431.3M-2.7M0.679.5517,73011,918227,658234,125
2017-02-22$42.44$40.0019.5%5.1%9.1%40.2%17.9%2.5%-0.9%23.6M-445.2M-2.7M0.809.9013,75311,011236,101237,371
2017-02-23$42.98$40.0019.7%5.1%9.6%41.9%18.4%2.4%-0.9%24.3M-532.0M-2.7M0.3510.2935,92612,515240,278240,547
2017-02-24$43.14$40.0019.5%5.2%9.5%41.9%19.0%2.2%-1.1%28.3M-593.4M-3.0M0.497.6823,89711,663265,027242,617
2017-02-27$42.75$40.0020.4%5.7%10.5%49.4%20.4%2.3%-0.9%28.9M-506.0M-3.0M0.9211.4817,28815,937266,663242,921
2017-02-28$42.62$41.0020.7%6.0%10.7%51.1%21.5%2.9%-0.9%27.7M-472.3M-3.1M0.758.568,2526,156272,272251,304