ORCL Options History — November 2017

In November 2017, ORCL traded between $48.52 and $50.63. ATM implied volatility averaged 19.9%, placing in the 54.0% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 7.4% (HV 20d: 12.4%). Max pain ranged from $49.00 to $50.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.91.

Notable Days

2017-11-21: Highest Volume — 71,932 contracts
2017-11-09: Largest IV spike — 28.2% change
2017-11-29: Highest IV Rank — 100.0%
2017-11-30: Largest Expected Move — 8.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$49.40	$48.52	$50.63	$50.63	$49.10
Max Pain	$49.24	$49.00	$50.00	$50.00	$49.00
ATM IV	19.9%	12.6%	26.9%	14.5%	25.7%
Expected Move	6.1%	4.1%	8.8%	4.1%	8.8%
HV 20d	12.4%	9.9%	14.0%	10.6%	13.2%
HV 60d	19.9%	19.5%	20.2%	19.9%	20.2%
IV Rank	54.0%	4.9%	100.0%	18.0%	91.8%
IV Percentile	68.0%	6.0%	100.0%	31.3%	97.6%
Term Structure	1.4%	-3.2%	7.2%	0.4%	-2.6%
VWIV	21.7%	15.3%	29.5%	15.3%	29.5%
Skew 25d	1.0%	0.4%	2.6%	1.0%	0.9%
Skew 10d	1.6%	-1.0%	5.9%	1.8%	0.0%
Call IV 25d	19.7%	12.2%	26.7%	14.4%	26.0%
Put IV 25d	20.7%	13.4%	27.8%	15.4%	26.9%
Bid-Ask Spread %	30.16	3.27	59.94	12.91	45.05
Gamma HHI	0.15	0.11	0.21	0.18	0.12
Net GEX	28.2M	12.2M	39.4M	37.9M	27.5M
Net DEX	-410.0M	-695.3M	-222.8M	-695.3M	-406.6M
Net VEX	-4.1M	-4.2M	-3.9M	-4.1M	-4.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.91	0.32	2.01	0.82	0.90
Total Volume	34,672.667	20,742	71,932	28,388	42,267
Total OI	694,761.429	659,480	740,590	661,408	740,590

Daily Data (21 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
2017-11-01	$50.63	$50.00	14.5%	4.1%	10.6%	18.0%	15.3%	1.0%	0.4%	37.9M	-695.3M	-4.1M	0.82	12.91	15,618	12,770	374,601	286,807
2017-11-02	$50.28	$49.00	14.5%	5.5%	11.0%	17.7%	19.2%	0.8%	0.1%	38.6M	-612.9M	-4.1M	0.54	20.22	19,508	10,557	380,101	290,757
2017-11-03	$50.20	$49.00	13.9%	5.5%	10.0%	13.9%	19.4%	0.9%	0.4%	34.3M	-589.3M	-4.2M	1.00	24.47	11,805	11,781	384,160	291,758
2017-11-06	$50.37	$49.00	14.3%	5.4%	10.0%	16.0%	19.3%	0.9%	4.5%	36.1M	-603.5M	-4.1M	0.83	18.12	12,253	10,200	377,470	289,144
2017-11-07	$50.47	$49.00	13.4%	5.7%	9.9%	10.1%	19.8%	0.8%	6.4%	37.4M	-638.8M	-4.0M	1.12	3.27	9,798	10,944	382,236	291,308
2017-11-08	$50.54	$49.00	12.6%	5.6%	9.9%	4.9%	19.9%	2.6%	7.2%	39.4M	-660.9M	-4.0M	1.19	19.61	9,844	11,711	384,364	292,819
2017-11-09	$49.27	$49.00	16.2%	5.7%	13.9%	29.0%	20.5%	1.3%	4.0%	25.4M	-352.5M	-4.0M	0.93	59.94	30,093	27,918	386,052	293,646
2017-11-10	$49.34	$49.00	16.8%	5.9%	13.7%	32.9%	20.7%	1.4%	6.1%	28.0M	-393.4M	-4.1M	0.94	34.72	13,300	12,513	396,244	309,193
2017-11-13	$49.41	$49.00	18.6%	5.6%	13.5%	45.2%	20.6%	0.4%	4.1%	31.3M	-405.3M	-4.0M	1.14	56.07	9,919	11,352	393,796	296,213
2017-11-14	$49.16	$49.00	20.7%	6.1%	13.5%	59.9%	21.9%	1.2%	3.1%	26.2M	-349.2M	-4.0M	1.02	46.83	12,942	13,148	395,931	297,023
2017-11-15	$48.77	$49.00	20.1%	5.8%	13.4%	55.6%	21.8%	0.4%	3.5%	21.7M	-245.8M	-3.9M	1.03	19.66	13,715	14,188	398,675	300,554
2017-11-16	$49.25	$49.00	20.9%	5.8%	13.8%	60.9%	20.6%	1.0%	2.7%	31.6M	-350.9M	-3.9M	0.79	15.03	19,801	15,564	400,828	302,792
2017-11-17	$48.93	$49.00	22.8%	6.3%	14.0%	74.2%	22.1%	0.9%	2.8%	37.7M	-272.4M	-3.9M	2.01	37.70	22,912	46,002	405,595	305,243
2017-11-20	$49.05	$50.00	22.8%	5.8%	14.0%	73.7%	20.3%	1.9%	-1.7%	13.8M	-289.7M	-4.0M	0.56	34.99	21,549	12,175	366,414	293,066
2017-11-21	$48.57	$50.00	23.6%	6.2%	13.6%	79.1%	23.2%	0.9%	-2.2%	12.2M	-222.8M	-4.1M	0.32	21.76	54,612	17,320	373,712	296,580
2017-11-22	$48.59	$50.00	24.2%	6.0%	13.5%	83.1%	21.6%	1.0%	-1.2%	17.8M	-265.0M	-4.1M	0.88	27.03	16,281	14,288	415,934	300,031
2017-11-24	$49.01	$50.00	24.3%	6.0%	13.5%	83.9%	21.2%	0.4%	-0.7%	34.7M	-340.6M	-4.1M	0.87	39.73	16,818	14,560	420,664	304,493
2017-11-27	$48.90	$49.00	25.1%	6.6%	12.2%	89.3%	23.5%	0.4%	-1.8%	17.8M	-298.3M	-4.1M	0.58	24.29	23,192	13,385	409,974	304,449
2017-11-28	$48.96	$49.00	26.0%	7.1%	12.2%	95.4%	25.2%	1.3%	-3.2%	22.8M	-350.2M	-4.1M	0.73	41.29	16,212	11,858	419,753	305,640
2017-11-29	$48.52	$49.00	26.9%	8.2%	12.2%	100.0%	29.3%	1.1%	-2.4%	19.0M	-266.8M	-4.1M	0.91	30.63	22,748	20,705	423,124	308,256
2017-11-30	$49.10	$49.00	25.7%	8.8%	13.2%	91.8%	29.5%	0.9%	-2.6%	27.5M	-406.6M	-4.2M	0.90	45.05	22,260	20,007	429,085	311,505