ORCL Options History — May 2017

In May 2017, ORCL traded between $44.23 and $45.52. ATM implied volatility averaged 16.6%, placing in the 28.4% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 6.6% (HV 20d: 10.0%). Max pain ranged from $42.00 to $44.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 1.18.

Notable Days

  • 2017-05-30: Highest Volume — 50,394 contracts
  • 2017-05-15: Largest IV spike — 18.0% change
  • 2017-05-17: Highest IV Rank — 56.8%
  • 2017-05-17: Largest Expected Move — 6.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.07$44.23$45.52$45.16$45.44
Max Pain$42.64$42.00$44.00$44.00$43.00
ATM IV16.6%11.9%21.3%12.0%20.1%
Expected Move5.2%3.5%6.1%3.5%5.6%
HV 20d10.0%8.4%11.4%8.4%11.2%
HV 60d15.5%15.2%15.8%15.4%15.5%
IV Rank28.4%0.0%56.8%0.4%49.2%
IV Percentile42.5%0.0%80.2%0.4%72.6%
Term Structure1.1%-1.8%6.3%0.4%-1.8%
VWIV18.2%12.4%21.1%12.4%20.6%
Skew 25d2.1%1.4%2.9%2.2%1.6%
Skew 10d4.5%2.5%5.9%5.4%2.5%
Call IV 25d15.8%11.3%20.0%11.3%19.4%
Put IV 25d17.9%13.0%22.9%13.5%21.0%
Bid-Ask Spread %11.254.9234.9126.589.87
Gamma HHI0.170.120.260.180.12
Net GEX46.3M28.2M60.1M46.7M44.4M
Net DEX-528.6M-643.7M-332.8M-554.8M-568.6M
Net VEX-3.9M-4.0M-3.9M-3.9M-4.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.180.292.590.550.89
Total Volume23,862.513,32950,39413,32916,488
Total OI569,484.818533,645604,987533,645604,987

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-05-01$45.16$44.0012.0%3.5%8.4%0.4%12.4%2.2%0.4%46.7M-554.8M-3.9M0.5526.588,6044,725320,597213,048
2017-05-02$45.13$44.0011.9%3.5%8.4%0.0%12.5%1.4%1.3%45.9M-546.7M-3.9M1.137.828,8449,954322,776214,295
2017-05-03$44.88$44.0012.4%3.5%8.6%2.7%12.4%1.8%0.6%46.5M-485.0M-4.0M1.4034.915,8978,255327,532218,774
2017-05-04$45.52$42.0011.9%4.7%9.9%0.0%16.5%1.7%0.6%46.0M-634.4M-3.9M0.3414.1322,9077,681327,728219,799
2017-05-05$45.52$42.0012.4%5.0%9.5%3.0%18.3%1.9%0.3%55.0M-638.0M-3.9M0.9214.1411,76810,789337,109222,303
2017-05-08$45.48$42.0012.8%5.3%9.6%5.5%18.4%1.9%5.5%47.8M-622.3M-3.9M1.469.037,67511,240337,913222,993
2017-05-09$45.43$42.0012.8%5.3%9.1%5.7%18.9%1.8%5.8%49.6M-617.8M-3.9M1.9410.737,09413,735341,259225,484
2017-05-10$45.51$42.0012.6%5.1%9.0%4.4%18.9%1.9%5.1%54.4M-643.7M-4.0M1.717.048,04613,724350,116227,609
2017-05-11$45.09$42.0013.8%5.4%9.7%11.7%18.8%1.9%6.3%53.2M-540.6M-4.0M0.929.8410,8179,900351,221231,260
2017-05-12$45.07$42.0015.0%5.4%9.7%18.5%19.0%1.9%6.3%60.0M-545.8M-4.0M1.109.326,6517,295354,555233,351
2017-05-15$45.25$42.0017.7%5.4%9.7%34.7%19.1%2.1%0.1%56.2M-588.1M-3.9M1.147.666,9417,904351,037232,296
2017-05-16$45.25$42.0018.4%5.4%9.1%38.8%19.5%2.4%-0.4%60.1M-591.4M-3.9M1.314.926,3448,318353,112233,083
2017-05-17$44.34$42.0021.3%6.1%11.4%56.8%20.8%2.9%-1.2%39.1M-362.1M-3.9M0.2910.8731,1679,010356,265235,021
2017-05-18$44.23$42.0020.9%6.0%10.8%54.2%21.1%2.9%-0.2%28.2M-332.8M-3.9M0.8310.6018,03314,985349,044235,937
2017-05-19$44.27$43.0020.3%5.8%10.8%50.7%20.3%2.6%0.7%30.3M-346.9M-3.9M1.699.988,13213,735352,777236,901
2017-05-22$44.58$43.0019.7%5.3%10.8%46.6%18.7%2.5%-0.7%41.4M-457.0M-3.9M0.296.7529,7208,564346,063216,262
2017-05-23$44.56$43.0019.8%5.4%10.7%47.2%18.8%2.4%-0.7%36.9M-415.2M-3.9M0.595.7414,1778,321333,202215,824
2017-05-24$44.84$43.0020.1%5.3%10.9%49.2%18.4%2.3%-0.7%41.6M-465.2M-3.9M0.968.429,3208,921340,010218,448
2017-05-25$45.24$43.0019.8%5.4%11.3%47.4%19.5%1.9%-0.5%45.3M-552.5M-3.9M1.2813.0714,95319,143342,310220,533
2017-05-26$45.23$43.0019.9%5.4%11.3%48.4%19.2%2.3%-0.6%43.6M-545.2M-3.9M2.598.296,90417,900346,668232,645
2017-05-30$45.42$43.0020.1%5.5%11.2%49.4%19.4%1.5%-1.7%45.6M-574.8M-3.9M2.577.7714,11336,281345,577230,942
2017-05-31$45.44$43.0020.1%5.6%11.2%49.2%20.6%1.6%-1.8%44.4M-568.6M-4.0M0.899.878,7107,778352,365252,622