ORCL Options History — February 2018

In February 2018, ORCL traded between $47.05 and $51.55. ATM implied volatility averaged 25.5%, placing in the 75.9% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded below realized volatility by 1.8% (HV 20d: 27.3%). Max pain ranged from $49.00 to $50.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 0.91.

Notable Days

  • 2018-02-06: Highest Volume — 72,462 contracts
  • 2018-02-05: Largest IV spike — 43.3% change
  • 2018-02-09: Highest IV Rank — 96.1%
  • 2018-02-08: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.64$47.05$51.55$51.55$50.82
Max Pain$49.16$49.00$50.00$49.00$50.00
ATM IV25.5%16.7%29.2%16.7%28.1%
Expected Move7.8%6.0%9.2%6.0%8.2%
HV 20d27.3%14.8%31.3%14.8%29.5%
HV 60d22.3%18.4%23.8%18.4%23.6%
IV Rank75.9%26.6%96.1%26.6%89.8%
IV Percentile91.1%59.5%99.6%59.5%98.4%
Term Structure0.5%-3.8%5.5%-0.3%-3.8%
VWIV27.1%21.1%31.6%21.1%30.7%
Skew 25d2.8%1.4%6.0%1.4%2.2%
Skew 10d6.3%2.8%13.8%3.0%5.2%
Call IV 25d24.3%16.2%28.1%16.2%28.1%
Put IV 25d27.1%17.6%32.0%17.6%30.2%
Bid-Ask Spread %33.574.9478.604.9459.74
Gamma HHI0.130.090.180.150.17
Net GEX17.9M519.2K29.9M27.1M29.2M
Net DEX-253.0M-517.5M96.6M-517.5M-435.1M
Net VEX-4.2M-4.3M-4.1M-4.1M-4.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.910.541.480.800.56
Total Volume33,824.84222,61972,46222,61928,555
Total OI513,108.474469,756560,087469,756516,897

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-02-01$51.55$49.0016.7%6.0%14.8%26.6%21.1%1.4%-0.3%27.1M-517.5M-4.1M0.804.9412,58110,038281,475188,281
2018-02-02$50.10$49.0019.4%7.1%18.6%41.5%24.2%1.6%0.0%20.5M-294.3M-4.1M0.8618.1626,63422,902282,744190,120
2018-02-05$48.36$50.0027.7%8.6%22.8%88.1%29.6%6.0%-0.1%8.8M-44.6M-4.1M1.0672.6920,32221,596280,436197,075
2018-02-06$49.33$50.0023.8%8.2%23.5%66.2%25.3%4.3%3.8%12.4M-154.2M-4.2M0.5478.6046,90625,556282,160207,386
2018-02-07$49.06$49.0021.9%7.3%23.6%55.8%25.1%3.0%3.7%13.6M-149.8M-4.3M1.4836.8314,32621,224303,611222,016
2018-02-08$47.05$49.0028.0%9.2%27.8%89.4%31.6%4.5%5.5%519.2K96.6M-4.1M0.9324.0114,31213,246307,079224,447
2018-02-09$47.79$49.0029.2%8.8%28.4%96.1%30.2%5.3%3.5%4.9M11.8M-4.2M1.4129.4515,23521,520312,605226,757
2018-02-12$48.08$49.0027.6%8.2%28.3%87.1%29.2%3.5%1.9%6.7M-28.1M-4.1M0.7052.8213,7829,584307,484226,612
2018-02-13$48.55$49.0025.9%7.6%28.5%78.1%27.0%3.1%1.8%12.6M-95.9M-4.1M0.9425.2213,43512,573311,641226,711
2018-02-14$49.48$49.0024.3%7.0%28.9%68.7%23.5%2.8%2.5%22.5M-229.0M-4.2M1.0432.2416,56917,315313,099228,638
2018-02-15$50.62$49.0024.8%7.1%30.1%72.0%25.0%1.4%1.0%28.6M-442.1M-4.3M0.8244.3624,54720,126315,543234,127
2018-02-16$50.86$49.0025.2%7.2%30.1%74.2%24.9%1.7%0.9%23.7M-483.5M-4.3M1.0555.8120,80521,804317,860242,227
2018-02-20$49.97$49.0028.4%8.1%30.7%91.7%28.2%2.3%-1.4%16.5M-289.7M-4.2M0.7514.9714,64411,008285,396200,282
2018-02-21$49.50$49.0028.0%7.9%30.6%89.4%27.9%1.9%-1.0%14.7M-224.0M-4.2M1.1411.0311,83113,466291,645203,340
2018-02-22$49.59$49.0027.3%8.3%30.5%85.8%28.9%2.0%-1.3%13.1M-230.2M-4.3M0.8715.7914,18712,382296,117208,072
2018-02-23$50.52$49.0025.8%7.5%31.3%77.4%26.1%1.7%-1.6%25.2M-401.9M-4.3M0.9028.5413,37411,996300,806210,389
2018-02-26$51.07$49.0025.6%8.0%30.6%75.9%27.5%1.5%-1.5%29.9M-469.1M-4.2M0.7813.8414,18311,116294,130204,737
2018-02-27$50.80$49.0027.7%8.1%30.3%87.7%29.0%2.4%-3.3%29.2M-426.3M-4.3M0.7518.7916,52812,464300,138206,978
2018-02-28$50.82$50.0028.1%8.2%29.5%89.8%30.7%2.2%-3.8%29.2M-435.1M-4.3M0.5659.7418,34010,215304,287212,610