ORCL Options History — September 2017

In September 2017, ORCL traded between $47.92 and $52.76. ATM implied volatility averaged 20.2%, placing in the 56.7% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded below realized volatility by 2.0% (HV 20d: 22.2%). Max pain ranged from $47.00 to $50.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 0.60.

Notable Days

  • 2017-09-15: Highest Volume — 324,160 contracts
  • 2017-09-15: Largest IV drop — 33.2% change
  • 2017-09-13: Highest IV Rank — 100.0%
  • 2017-09-14: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.82$47.92$52.76$50.72$48.42
Max Pain$49.65$47.00$50.00$47.00$50.00
ATM IV20.2%15.8%26.7%22.5%16.4%
Expected Move5.4%4.2%7.1%4.2%4.7%
HV 20d22.2%9.2%31.5%12.6%31.0%
HV 60d21.4%20.3%27.3%21.5%20.3%
IV Rank56.7%26.8%100.0%72.8%30.3%
IV Percentile73.4%46.0%100.0%89.3%53.2%
Term Structure-0.8%-2.1%0.5%-1.0%-0.3%
VWIV19.1%15.2%24.9%15.2%16.6%
Skew 25d1.7%0.0%3.6%1.9%1.4%
Skew 10d3.3%-1.8%7.7%5.1%1.6%
Call IV 25d19.8%15.2%26.8%22.4%16.1%
Put IV 25d21.5%16.7%28.7%24.3%17.5%
Bid-Ask Spread %8.952.6728.5721.4614.01
Gamma HHI0.130.090.170.150.15
Net GEX25.5M4.8M47.9M27.0M47.9M
Net DEX-587.0M-1.32B-78.2M-959.8M-266.9M
Net VEX-3.9M-4.3M-3.2M-3.3M-4.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.600.291.330.390.34
Total Volume80,233.720,989324,16042,07766,535
Total OI751,398.3649,852960,329652,322790,154

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-09-01$50.72$47.0022.5%4.2%12.6%72.8%15.2%1.9%-1.0%27.0M-959.8M-3.3M0.3921.4630,16911,908363,416288,906
2017-09-05$50.93$49.0025.2%6.3%12.3%91.3%21.7%3.6%-1.9%33.7M-989.6M-3.2M0.4612.2925,64911,858363,136286,716
2017-09-06$50.99$49.0024.4%6.2%11.5%86.3%20.7%2.7%-1.8%35.3M-980.0M-3.4M0.847.8939,43633,200376,453291,071
2017-09-07$51.62$49.0023.6%6.0%12.0%80.2%22.3%0.9%-1.2%35.7M-1.09B-3.5M0.555.2231,04117,185385,487306,500
2017-09-08$51.62$49.0023.5%6.1%9.2%80.0%22.3%1.8%-1.9%32.2M-1.09B-3.6M1.337.3720,53627,225391,948312,163
2017-09-11$52.54$50.0025.7%6.8%10.5%94.8%23.9%2.4%-1.3%30.2M-1.22B-3.5M0.733.9656,69341,180389,376319,905
2017-09-12$52.76$50.0025.6%6.9%10.2%94.4%23.9%2.1%-1.4%34.9M-1.28B-3.7M0.596.5748,00528,139413,618322,288
2017-09-13$52.74$50.0026.7%7.1%10.2%100.0%24.9%1.8%-2.1%37.7M-1.32B-3.7M0.899.4447,23142,074437,671337,772
2017-09-14$52.76$50.0025.9%7.1%10.2%94.7%24.6%1.9%-1.6%36.5M-1.31B-3.8M0.5828.57160,41693,394455,119362,332
2017-09-15$48.65$50.0017.3%4.9%31.4%36.6%17.7%0.0%-0.1%8.3M-89.0M-3.6M0.7711.64183,636140,524551,552408,777
2017-09-18$48.25$50.0016.1%4.6%31.5%28.3%16.2%0.8%-0.4%4.8M-78.2M-4.0M0.327.8682,26326,253419,653292,734
2017-09-19$48.02$50.0016.2%4.6%31.5%28.9%16.5%0.8%-0.3%11.6M-82.2M-4.1M0.524.6338,76920,096451,466295,823
2017-09-20$48.04$50.0016.7%4.8%31.3%32.7%17.4%1.4%-0.9%13.9M-85.2M-4.2M0.5010.8831,07315,480463,791298,964
2017-09-21$47.97$50.0016.3%4.7%31.3%30.0%17.0%1.4%0.5%15.1M-85.1M-4.2M0.623.3622,83414,083474,385304,375
2017-09-22$48.18$50.0016.8%4.8%31.4%33.5%16.7%1.8%0.2%13.5M-131.6M-4.3M0.295.3560,36017,335480,084309,906
2017-09-25$47.95$50.0017.3%5.0%31.4%36.3%17.1%2.0%-0.5%18.1M-140.1M-4.3M0.423.6625,99111,010462,678299,574
2017-09-26$47.92$50.0016.3%4.8%31.4%29.6%16.4%1.6%0.2%18.2M-139.5M-4.2M0.466.9714,3636,626468,082298,985
2017-09-27$48.20$50.0015.9%4.5%31.4%27.2%15.8%1.6%0.0%26.6M-205.0M-4.1M0.855.2519,92817,010472,322299,681
2017-09-28$48.19$50.0015.8%4.4%31.3%26.8%15.8%1.6%-0.2%28.8M-198.0M-4.2M0.512.6716,6548,512479,209301,894
2017-09-29$48.42$50.0016.4%4.7%31.0%30.3%16.6%1.4%-0.3%47.9M-266.9M-4.2M0.3414.0149,58016,955487,167302,987