ORCL Options History — August 2017

In August 2017, ORCL traded between $48.11 and $50.38. ATM implied volatility averaged 17.6%, placing in the 39.3% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 5.0% (HV 20d: 12.6%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 11 of 23 days. Put/call ratio averaged 0.80.

Notable Days

  • 2017-08-31: Highest Volume — 44,194 contracts
  • 2017-08-17: Largest IV spike — 22.2% change
  • 2017-08-31: Highest IV Rank — 78.3%
  • 2017-08-10: Largest Expected Move — 5.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.27$48.11$50.38$50.15$50.38
Max Pain$45.96$45.00$50.00$50.00$46.00
ATM IV17.6%12.9%23.3%14.1%23.3%
Expected Move4.3%3.8%5.0%3.8%4.5%
HV 20d12.6%11.2%13.5%12.4%12.5%
HV 60d21.3%21.0%21.7%21.0%21.5%
IV Rank39.3%6.7%78.3%14.8%78.3%
IV Percentile53.5%9.1%94.4%23.8%94.4%
Term Structure1.3%-1.3%6.5%0.1%-0.5%
VWIV15.5%13.4%18.1%13.4%17.2%
Skew 25d2.2%0.7%3.7%1.9%1.6%
Skew 10d4.9%2.8%7.2%4.7%3.0%
Call IV 25d17.1%12.7%22.9%13.7%22.9%
Put IV 25d19.3%14.6%25.2%15.6%24.5%
Bid-Ask Spread %7.243.2017.614.3914.28
Gamma HHI0.150.110.280.150.16
Net GEX24.5M4.9M47.2M35.3M33.2M
Net DEX-583.6M-904.6M-331.8M-740.4M-904.6M
Net VEX-3.5M-3.7M-3.3M-3.5M-3.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.800.341.560.680.95
Total Volume27,447.08713,91744,19418,32144,194
Total OI639,976.609576,735709,051615,369638,699

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-08-01$50.15$50.0014.1%3.8%12.4%14.8%13.4%1.9%0.1%35.3M-740.4M-3.5M0.684.3910,8927,429351,620263,749
2017-08-02$49.72$50.0014.0%3.9%12.7%14.3%13.4%1.8%-0.1%29.5M-646.4M-3.7M1.258.8812,47015,569355,306266,238
2017-08-03$50.21$45.0013.5%4.6%12.0%11.3%16.2%1.8%-0.1%39.3M-751.5M-3.5M0.345.9221,6777,310357,189274,120
2017-08-04$49.97$45.0013.7%4.5%11.7%12.2%16.1%1.2%-0.7%47.2M-715.9M-3.5M0.508.3616,8228,433358,932275,697
2017-08-07$49.59$45.0012.9%4.4%11.7%6.7%16.2%1.8%2.4%29.1M-631.2M-3.5M0.603.2015,0779,051349,736271,985
2017-08-08$49.10$45.0014.3%4.5%12.2%16.4%15.8%1.9%1.8%23.7M-548.5M-3.4M0.8417.6115,32012,842355,458275,434
2017-08-09$48.99$45.0014.6%4.5%11.2%18.3%15.6%2.2%1.1%22.6M-515.4M-3.6M0.9811.4717,58517,255363,675281,369
2017-08-10$48.11$45.0016.7%5.0%12.6%33.0%17.5%2.7%1.1%12.8M-331.8M-3.6M0.7210.4716,23411,729369,211290,409
2017-08-11$48.29$45.0016.7%5.0%12.5%32.7%17.3%2.8%1.4%13.0M-349.0M-3.6M0.866.4514,44612,491375,099293,923
2017-08-14$48.84$45.0014.1%4.2%13.4%15.3%15.3%2.0%4.7%18.0M-475.7M-3.4M1.225.0212,03614,703373,198294,137
2017-08-15$48.90$45.0014.6%4.2%13.4%18.9%14.9%1.4%5.8%14.0M-464.9M-3.5M0.354.3128,93310,030374,860301,689
2017-08-16$49.24$46.0014.0%4.0%13.0%14.7%14.4%0.7%6.0%20.7M-554.8M-3.5M0.825.929,9388,189393,460305,322
2017-08-17$48.61$46.0017.2%4.6%13.3%36.1%18.1%2.6%5.5%8.7M-394.6M-3.7M1.155.2410,61112,195397,590306,758
2017-08-18$48.76$46.0017.6%4.3%13.2%39.4%15.5%2.4%6.5%4.9M-434.4M-3.5M1.565.0713,12920,527399,970309,081
2017-08-21$48.91$46.0020.5%4.6%13.3%58.9%16.4%3.1%-0.6%21.0M-543.2M-3.4M0.385.9227,45310,419324,473252,262
2017-08-22$49.33$46.0020.0%3.9%13.5%55.6%13.6%2.8%-0.1%25.1M-622.0M-3.5M1.107.9820,59222,637334,298256,698
2017-08-23$49.14$46.0021.4%4.1%13.5%65.6%15.0%2.1%-0.2%26.1M-598.0M-3.5M0.644.3312,4297,987345,605268,804
2017-08-24$49.15$46.0022.2%4.5%12.6%71.0%15.6%2.9%-0.9%29.5M-580.6M-3.6M0.626.8011,5227,120348,943271,380
2017-08-25$49.24$46.0021.8%4.2%12.6%68.3%14.8%1.8%-0.8%30.7M-600.1M-3.5M0.816.979,4677,646352,484272,810
2017-08-28$49.22$46.0022.1%4.1%12.4%69.9%14.4%2.4%-1.3%22.3M-613.4M-3.3M0.654.568,4215,496345,780270,546
2017-08-29$49.50$46.0023.2%4.0%12.5%77.5%14.2%3.7%-1.0%27.1M-673.8M-3.3M0.846.4315,27712,813347,181271,044
2017-08-30$49.79$46.0022.9%4.1%12.3%75.6%14.6%1.9%-0.5%30.6M-732.3M-3.4M0.626.8715,3549,533355,269277,971
2017-08-31$50.38$46.0023.3%4.5%12.5%78.3%17.2%1.6%-0.5%33.2M-904.6M-3.3M0.9514.2822,70421,490357,478281,221