ORCL Options History — March 2017

In March 2017, ORCL traded between $42.45 and $45.83. ATM implied volatility averaged 16.3%, placing in the 25.3% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded below realized volatility by 0.7% (HV 20d: 17.1%). Max pain ranged from $41.00 to $43.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 10 of 23 days. Put/call ratio averaged 0.89.

Notable Days

2017-03-16: Highest Volume — 223,159 contracts
2017-03-16: Largest IV drop — 27.6% change
2017-03-09: Highest IV Rank — 53.2%
2017-03-03: Largest Expected Move — 7.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$43.90	$42.45	$45.83	$42.94	$44.70
Max Pain	$42.26	$41.00	$43.00	$41.00	$43.00
ATM IV	16.3%	12.0%	21.0%	19.8%	12.5%
Expected Move	4.5%	3.3%	7.1%	6.0%	3.3%
HV 20d	17.1%	9.2%	23.9%	10.6%	23.3%
HV 60d	14.7%	13.0%	16.1%	14.0%	15.9%
IV Rank	25.3%	0.0%	53.2%	45.5%	3.1%
IV Percentile	35.3%	0.0%	77.0%	67.9%	2.4%
Term Structure	-0.6%	-3.2%	1.0%	-0.8%	0.2%
VWIV	16.2%	11.8%	24.7%	21.4%	12.1%
Skew 25d	2.4%	1.6%	3.7%	2.2%	1.9%
Skew 10d	5.0%	1.4%	11.6%	5.0%	4.1%
Call IV 25d	15.5%	11.0%	20.2%	19.2%	11.9%
Put IV 25d	17.9%	12.6%	23.2%	21.4%	13.8%
Bid-Ask Spread %	11.28	5.82	25.29	8.60	7.21
Gamma HHI	0.14	0.10	0.19	0.12	0.17
Net GEX	34.1M	22.0M	45.2M	29.0M	43.3M
Net DEX	-573.8M	-1.27B	-411.5M	-530.6M	-509.7M
Net VEX	-3.4M	-3.8M	-2.9M	-3.1M	-3.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.89	0.40	1.69	0.56	0.82
Total Volume	46,858.826	18,578	223,159	34,599	18,818
Total OI	586,010	527,550	797,692	527,550	557,860

Daily Data (23 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
2017-03-01	$42.94	$41.00	19.8%	6.0%	10.6%	45.5%	21.4%	2.2%	-0.8%	29.0M	-530.6M	-3.1M	0.56	8.60	22,211	12,388	275,044	252,506
2017-03-02	$42.87	$41.00	20.6%	6.3%	10.3%	50.6%	22.2%	2.5%	-1.2%	30.0M	-524.9M	-3.2M	1.09	9.23	11,014	12,001	288,750	258,568
2017-03-03	$42.66	$41.00	20.2%	7.1%	10.8%	47.9%	24.7%	1.9%	-1.4%	28.7M	-482.5M	-3.2M	0.77	9.41	10,688	8,278	292,748	262,951
2017-03-06	$42.68	$41.00	20.1%	5.2%	10.4%	47.8%	18.4%	2.3%	-0.6%	28.0M	-472.5M	-3.2M	0.52	7.88	14,704	7,667	290,492	261,896
2017-03-07	$42.55	$41.00	20.4%	5.2%	10.0%	49.5%	17.9%	2.1%	-0.8%	28.3M	-451.0M	-3.2M	1.03	5.82	15,543	16,019	298,105	264,478
2017-03-08	$42.63	$42.00	20.0%	5.1%	9.9%	47.1%	17.8%	3.3%	-0.8%	29.0M	-459.7M	-3.2M	1.28	10.87	19,864	25,508	305,742	272,157
2017-03-09	$42.45	$42.00	21.0%	5.4%	10.2%	53.2%	18.5%	3.4%	-1.0%	27.7M	-411.5M	-3.3M	0.98	8.93	18,802	18,350	313,466	281,478
2017-03-10	$42.65	$42.00	20.1%	5.0%	10.2%	47.6%	18.1%	2.8%	-1.4%	22.0M	-446.4M	-3.3M	1.02	6.07	11,189	11,390	315,833	288,440
2017-03-13	$42.66	$42.00	20.7%	5.1%	9.3%	51.3%	18.1%	3.7%	-3.2%	26.7M	-433.0M	-3.2M	0.67	10.18	19,450	12,998	311,573	284,813
2017-03-14	$42.76	$42.00	19.9%	5.3%	9.2%	46.4%	19.5%	2.8%	-1.5%	28.3M	-457.6M	-3.2M	1.46	18.41	26,977	39,314	319,153	287,901
2017-03-15	$43.10	$42.00	19.1%	5.1%	9.3%	41.7%	18.2%	2.9%	-1.8%	35.1M	-557.0M	-3.3M	0.88	25.29	81,526	71,393	334,502	311,856
2017-03-16	$45.83	$42.00	13.9%	3.8%	22.9%	8.8%	14.4%	2.2%	-0.6%	35.4M	-1.27B	-2.9M	0.40	11.32	159,929	63,230	373,273	347,050
2017-03-17	$45.69	$43.00	12.0%	3.3%	23.0%	0.0%	12.1%	2.0%	-1.2%	36.7M	-1.22B	-3.5M	0.50	9.76	63,389	31,694	430,766	366,926
2017-03-20	$45.25	$43.00	12.0%	3.4%	23.5%	0.0%	12.8%	1.6%	1.0%	38.9M	-653.6M	-3.6M	0.59	10.89	35,327	20,796	316,263	230,960
2017-03-21	$44.75	$43.00	13.5%	3.8%	23.9%	9.0%	13.6%	2.1%	0.4%	37.8M	-543.8M	-3.8M	0.88	22.67	18,742	16,408	324,784	234,472
2017-03-22	$44.84	$43.00	12.9%	3.7%	23.9%	5.5%	15.3%	2.2%	0.1%	37.1M	-561.0M	-3.7M	1.69	13.70	10,967	18,571	326,524	240,748
2017-03-23	$45.00	$43.00	12.8%	3.7%	23.7%	4.9%	13.4%	2.1%	0.4%	38.9M	-592.9M	-3.8M	1.07	9.45	11,602	12,458	330,009	245,597
2017-03-24	$44.73	$43.00	13.2%	3.8%	23.8%	7.2%	13.2%	2.1%	0.4%	37.6M	-536.6M	-3.8M	1.15	16.57	11,609	13,367	332,940	249,123
2017-03-27	$44.92	$43.00	13.2%	3.8%	23.5%	7.6%	13.5%	2.6%	0.1%	37.2M	-542.2M	-3.7M	0.60	9.48	14,954	9,006	315,531	226,467
2017-03-28	$44.79	$43.00	12.6%	3.5%	23.5%	3.9%	12.8%	2.1%	0.3%	40.9M	-535.8M	-3.7M	0.78	10.09	10,457	8,121	320,351	227,780
2017-03-29	$44.62	$43.00	12.4%	3.4%	23.5%	2.3%	12.3%	1.9%	0.0%	42.2M	-502.7M	-3.7M	0.97	10.89	10,255	9,981	323,300	229,143
2017-03-30	$44.64	$43.00	12.2%	3.3%	23.5%	1.5%	11.8%	2.0%	0.5%	45.2M	-503.8M	-3.7M	0.68	6.67	12,392	8,406	324,643	231,268
2017-03-31	$44.70	$43.00	12.5%	3.3%	23.3%	3.1%	12.1%	1.9%	0.2%	43.3M	-509.7M	-3.7M	0.82	7.21	10,325	8,493	325,515	232,345