ORCL Options History — December 2017

In December 2017, ORCL traded between $47.25 and $50.46. ATM implied volatility averaged 20.7%, placing in the 49.6% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 1.1% (HV 20d: 19.5%). Max pain ranged from $46.00 to $49.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.68.

Notable Days

  • 2017-12-15: Highest Volume — 190,741 contracts
  • 2017-12-15: Largest IV drop — 43.0% change
  • 2017-12-04: Highest IV Rank — 100.0%
  • 2017-12-01: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.49$47.25$50.46$49.63$47.34
Max Pain$46.75$46.00$49.00$49.00$47.00
ATM IV20.7%13.4%29.9%25.0%13.8%
Expected Move5.6%3.7%8.4%8.4%3.8%
HV 20d19.5%13.7%23.0%13.7%22.1%
HV 60d16.8%13.1%21.0%20.2%16.0%
IV Rank49.6%8.5%100.0%87.5%10.4%
IV Percentile66.2%20.2%100.0%96.0%24.6%
Term Structure-0.9%-5.4%0.5%-1.6%0.4%
VWIV19.8%13.1%29.0%29.0%13.1%
Skew 25d1.9%0.9%4.3%4.3%1.8%
Skew 10d3.9%-2.0%11.0%-2.0%3.4%
Call IV 25d20.1%12.9%27.2%22.6%12.9%
Put IV 25d22.0%14.7%29.7%26.9%14.7%
Bid-Ask Spread %10.943.6337.3437.345.83
Gamma HHI0.120.100.140.120.14
Net GEX19.6M-1.8M48.9M33.6M1.8M
Net DEX-276.9M-744.6M-11.8M-514.0M-11.8M
Net VEX-4.0M-4.6M-3.4M-4.4M-3.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.680.171.360.540.63
Total Volume53,705.917,095190,74144,56620,201
Total OI764,125.9690,980931,639759,585696,985

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-12-01$49.63$49.0025.0%8.4%13.7%87.5%29.0%4.3%-1.6%33.6M-514.0M-4.4M0.5437.3428,90215,664438,332321,253
2017-12-04$48.40$46.0029.9%7.2%16.2%100.0%24.7%2.1%-5.4%20.2M-265.1M-4.3M0.738.3117,21212,589434,526318,665
2017-12-05$48.01$46.0027.6%7.1%16.2%87.3%24.9%1.9%-2.6%16.0M-172.7M-4.2M1.087.5215,95117,269439,680320,841
2017-12-06$48.46$46.0027.7%6.9%16.7%88.0%24.2%2.6%-1.7%21.4M-272.0M-4.2M0.744.2237,36327,736445,775323,031
2017-12-07$48.58$46.0025.5%6.5%16.7%75.7%23.4%1.2%-0.3%26.5M-314.5M-4.4M1.0011.4315,95015,959467,825328,552
2017-12-08$49.58$46.0025.6%6.7%16.1%76.2%23.9%2.2%-0.5%40.6M-561.2M-4.6M0.904.3232,37429,046473,745331,541
2017-12-11$50.46$46.0028.1%7.2%17.2%90.1%25.2%3.3%-1.8%41.3M-720.6M-4.5M0.176.22103,96517,270463,833333,332
2017-12-12$50.45$46.0025.3%6.9%17.2%74.5%24.1%1.3%-0.8%48.3M-744.6M-4.5M0.629.8832,63320,371503,022337,644
2017-12-13$50.16$47.0027.1%6.9%17.3%84.5%24.5%2.3%-3.2%45.0M-671.9M-4.4M0.2313.8848,91011,341509,943345,784
2017-12-14$50.25$47.0026.6%7.4%16.9%82.0%25.7%2.4%-0.8%48.9M-734.8M-4.5M0.5722.4187,75349,594537,106348,496
2017-12-15$48.18$47.0015.2%4.4%22.6%18.3%15.4%0.9%0.3%9.5M-49.5M-3.7M0.8414.42103,39387,348565,655365,984
2017-12-18$47.70$47.0014.8%4.3%22.8%16.1%15.3%1.9%-0.6%7.6M-79.4M-3.7M0.549.7135,90019,442389,628301,352
2017-12-19$47.78$47.0015.0%4.3%22.8%17.0%15.4%1.0%0.3%11.5M-129.7M-3.7M0.477.2121,53410,202400,736305,599
2017-12-20$47.88$47.0014.6%4.2%22.6%15.3%15.4%1.6%0.5%14.3M-125.4M-3.8M0.729.2215,05510,903404,010306,918
2017-12-21$47.25$47.0015.2%4.4%23.0%18.6%15.5%0.9%0.2%-1.8M-21.0M-3.6M1.3611.2115,05920,527407,048307,923
2017-12-22$47.35$47.0013.8%4.0%22.7%10.7%14.2%1.3%-0.2%1.1M-20.2M-3.6M0.653.6314,2969,274411,258313,855
2017-12-26$47.40$47.0014.8%4.1%22.7%16.0%14.7%1.0%-0.1%478.3K-40.0M-3.5M0.7211.2210,6977,709390,160301,251
2017-12-27$47.36$47.0014.6%4.1%22.7%15.1%14.7%1.7%0.3%182.8K-22.3M-3.4M0.708.8710,3657,266391,420303,021
2017-12-28$47.51$47.0013.4%3.7%22.6%8.5%13.3%1.4%-0.3%5.1M-66.5M-3.4M0.4411.9511,8355,260391,944304,845
2017-12-29$47.34$47.0013.8%3.8%22.1%10.4%13.1%1.8%0.4%1.8M-11.8M-3.4M0.635.8312,3987,803391,879305,106