ORCL Options History — June 2017 In June 2017, ORCL traded between $44.72 and $50.97. ATM implied volatility averaged 20.4%, placing in the 54.3% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 3.4% (HV 20d: 17.0%). Max pain ranged from $43.00 to $46.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 0.65.
Notable Days 2017-06-22 : Highest Volume — 329,693 contracts2017-06-22 : Largest IV drop — 42.1% change2017-06-21 : Highest IV Rank — 100.0%2017-06-21 : Largest Expected Move — 7.6%Monthly Statistics Metric Avg Min Max Open Close Price $47.08 $44.72 $50.97 $45.71 $50.39 Max Pain $44.55 $43.00 $46.00 $43.00 $46.00 ATM IV 20.4% 14.9% 26.5% 20.0% 14.9% Expected Move 5.5% 3.6% 7.6% 6.0% 4.3% HV 20d 17.0% 8.2% 31.9% 11.1% 31.8% HV 60d 14.7% 9.0% 20.0% 15.5% 20.0% IV Rank 54.3% 20.8% 100.0% 48.4% 20.8% IV Percentile 74.5% 33.7% 100.0% 71.8% 33.7% Term Structure -0.9% -1.9% 0.5% -0.6% 0.3% VWIV 19.8% 12.5% 26.9% 20.4% 16.5% Skew 25d 2.6% 1.8% 3.4% 1.8% 2.5% Skew 10d 5.2% 3.1% 8.7% 3.1% 4.6% Call IV 25d 19.4% 14.4% 25.5% 19.8% 14.4% Put IV 25d 22.1% 16.7% 28.5% 21.6% 16.9% Bid-Ask Spread % 7.30 3.59 16.08 13.57 6.83 Gamma HHI 0.14 0.10 0.41 0.12 0.11 Net GEX 47.1M 33.7M 85.0M 45.2M 39.4M Net DEX -792.3M -1.74B -355.5M -628.6M -1.20B Net VEX -3.9M -4.1M -3.4M -4.0M -3.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.65 0.10 1.10 0.69 0.69 Total Volume 63,081.182 18,019 329,693 28,970 20,411 Total OI 648,472.727 543,499 784,802 609,621 692,525
Daily Data (22 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 2017-06-01 $45.71 $43.00 20.0% 6.0% 11.1% 48.4% 20.4% 1.8% -0.6% 45.2M -628.6M -4.0M 0.69 13.57 17,140 11,830 355,190 254,431 2017-06-02 $45.61 $43.00 21.0% 3.6% 10.0% 54.6% 12.5% 2.1% -1.8% 52.5M -625.4M -3.9M 0.53 16.08 27,784 14,792 364,521 260,219 2017-06-05 $45.95 $44.00 20.5% 5.4% 10.3% 51.6% 18.8% 2.4% -0.6% 54.4M -700.8M -3.9M 0.98 5.42 10,179 9,955 367,396 257,291 2017-06-06 $45.69 $44.00 21.8% 5.5% 10.5% 59.4% 19.5% 2.4% -0.8% 49.7M -622.8M -4.0M 0.61 3.66 16,516 9,996 364,479 261,492 2017-06-07 $45.44 $44.00 22.4% 5.7% 10.7% 63.5% 20.7% 2.7% -1.0% 47.7M -558.0M -4.0M 1.10 3.59 8,570 9,449 368,600 266,019 2017-06-08 $45.42 $44.00 22.9% 5.8% 10.7% 66.1% 19.9% 2.8% -1.5% 48.5M -555.2M -3.9M 0.72 4.00 14,318 10,363 370,799 267,766 2017-06-09 $44.93 $44.00 24.0% 6.1% 10.9% 72.6% 21.8% 3.4% -1.7% 51.8M -429.0M -4.0M 0.79 4.90 15,631 12,397 375,437 269,758 2017-06-12 $44.76 $44.00 24.0% 6.3% 11.0% 72.7% 22.6% 3.4% -1.7% 37.3M -381.4M -3.8M 0.59 6.68 22,610 13,259 371,184 268,970 2017-06-13 $44.91 $44.00 22.7% 6.0% 10.9% 64.7% 21.4% 3.0% -1.8% 42.5M -427.6M -3.8M 0.10 3.83 94,291 9,589 374,596 273,722 2017-06-14 $44.73 $44.00 22.7% 6.0% 11.0% 65.1% 21.0% 2.9% -1.7% 36.6M -369.2M -3.8M 0.68 9.34 16,334 11,101 366,997 273,551 2017-06-15 $44.72 $44.00 23.3% 6.2% 8.2% 68.3% 21.1% 2.9% -1.9% 38.6M -355.5M -3.8M 0.32 4.47 28,508 9,196 373,721 277,171 2017-06-16 $45.05 $44.00 21.6% 6.0% 8.5% 61.2% 20.7% 3.3% -1.3% 85.0M -477.6M -3.9M 0.67 6.13 20,330 13,673 392,436 280,190 2017-06-19 $45.70 $44.00 21.9% 6.1% 9.7% 75.7% 21.0% 2.6% -0.9% 33.7M -444.7M -3.9M 0.32 5.72 38,691 12,552 323,892 219,607 2017-06-20 $45.90 $44.50 24.1% 6.8% 9.6% 92.4% 23.9% 2.7% -1.7% 36.5M -511.0M -4.0M 0.88 5.74 27,132 24,002 340,371 225,563 2017-06-21 $46.39 $45.00 26.5% 7.6% 10.1% 100.0% 26.9% 3.0% -1.0% 37.3M -602.4M -4.1M 0.57 12.00 113,831 64,512 352,307 241,055 2017-06-22 $50.51 $45.00 15.3% 4.4% 31.2% 23.5% 17.4% 2.2% 0.5% 54.8M -1.65B -3.4M 0.47 8.26 224,887 104,806 425,013 286,797 2017-06-23 $50.97 $45.50 15.6% 4.4% 31.2% 25.2% 17.0% 2.0% 0.5% 80.7M -1.74B -3.7M 0.45 9.25 106,623 48,269 475,865 308,937 2017-06-26 $50.95 $46.00 15.9% 4.5% 31.2% 27.4% 19.1% 2.2% 0.1% 44.4M -1.36B -3.8M 0.39 5.51 46,650 18,245 413,252 256,726 2017-06-27 $50.87 $46.00 16.4% 4.8% 31.3% 31.3% 20.2% 2.5% -0.4% 42.6M -1.30B -3.9M 0.57 6.42 29,015 16,430 413,660 262,793 2017-06-28 $50.88 $46.00 15.2% 4.3% 31.3% 22.5% 15.9% 2.1% 0.1% 40.5M -1.32B -3.6M 1.08 9.54 17,459 18,826 415,520 267,613 2017-06-29 $50.30 $46.00 16.0% 4.6% 31.9% 28.5% 16.4% 3.0% -0.3% 36.5M -1.17B -3.9M 0.99 9.68 13,865 13,769 415,344 273,624 2017-06-30 $50.39 $46.00 14.9% 4.3% 31.8% 20.8% 16.5% 2.5% 0.3% 39.4M -1.20B -3.6M 0.69 6.83 12,063 8,348 417,304 275,221
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