ORCL Options History — March 2018

In March 2018, ORCL traded between $44.92 and $52.99. ATM implied volatility averaged 25.4%, placing in the 72.8% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded below realized volatility by 4.7% (HV 20d: 30.1%). Max pain ranged from $48.00 to $50.00. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.67.

Notable Days

  • 2018-03-20: Highest Volume — 181,442 contracts
  • 2018-03-20: Largest IV drop — 38.4% change
  • 2018-03-14: Highest IV Rank — 100.0%
  • 2018-03-01: Largest Expected Move — 9.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.62$44.92$52.99$49.73$45.82
Max Pain$49.05$48.00$50.00$50.00$48.00
ATM IV25.4%18.7%31.1%29.4%22.4%
Expected Move7.2%5.5%9.5%9.5%6.5%
HV 20d30.1%17.2%43.7%30.1%43.7%
HV 60d26.1%21.4%32.2%23.9%32.2%
IV Rank72.8%35.4%100.0%97.6%54.9%
IV Percentile85.5%61.9%100.0%99.6%71.4%
Term Structure-0.7%-10.2%8.9%-2.6%0.1%
VWIV24.9%20.0%31.8%31.8%22.9%
Skew 25d3.4%1.4%4.6%3.1%4.5%
Skew 10d6.8%-4.6%10.5%7.7%7.5%
Call IV 25d24.1%18.8%29.1%28.6%21.2%
Put IV 25d27.4%20.3%31.7%31.7%25.7%
Bid-Ask Spread %19.367.4565.7663.308.37
Gamma HHI0.260.090.840.150.19
Net GEX38.2M-11.0M292.2M18.5M-6.5M
Net DEX-275.3M-864.9M434.1M-240.0M224.2M
Net VEX-4.4M-4.6M-3.8M-4.3M-4.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.670.231.220.670.99
Total Volume59,317.76229,211181,44244,25637,770
Total OI594,287.381497,579690,862524,667689,483

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-03-01$49.73$50.0029.4%9.5%30.1%97.6%31.8%3.1%-2.6%18.5M-240.0M-4.3M0.6763.3026,54317,713309,370215,297
2018-03-02$50.39$50.0027.0%9.3%30.5%84.1%30.9%3.2%-2.2%25.9M-353.1M-4.4M1.1165.7616,13617,896317,136222,120
2018-03-05$51.23$49.0027.7%7.5%29.3%88.0%24.7%3.4%-0.7%34.4M-489.6M-4.4M0.4815.1826,00212,590306,860213,673
2018-03-06$51.45$49.0027.6%7.0%26.0%87.6%24.4%3.3%8.9%37.7M-539.6M-4.4M0.7518.9322,33716,720315,296215,919
2018-03-07$51.75$49.0027.7%7.4%25.2%88.1%26.1%3.7%-0.4%43.8M-593.3M-4.5M0.2717.4546,47212,443325,549221,839
2018-03-08$52.05$49.0026.2%7.1%25.1%79.3%24.6%2.3%-0.1%51.4M-677.3M-4.6M1.2217.4314,92818,201346,265222,853
2018-03-09$52.95$49.0026.2%6.9%19.2%79.5%24.2%1.4%-1.5%57.3M-864.9M-4.5M0.3614.7743,75615,697349,040230,425
2018-03-12$52.99$49.0024.8%7.0%18.9%71.5%24.7%2.1%1.5%64.4M-845.6M-4.5M0.5211.1925,99513,609354,386219,616
2018-03-13$52.60$49.0026.5%7.2%19.4%81.3%25.8%4.6%-1.4%65.9M-755.9M-4.5M0.6414.1917,76311,448357,624223,387
2018-03-14$52.31$49.0031.1%7.1%19.6%100.0%25.5%1.7%-10.2%68.0M-679.6M-4.5M0.2714.6228,3787,661360,806225,587
2018-03-15$52.39$49.0025.6%7.1%18.8%71.2%25.4%3.9%-0.4%87.1M-704.7M-4.5M0.3613.6525,5349,082364,463226,876
2018-03-16$52.46$50.0026.3%7.0%17.2%75.0%23.9%4.2%-3.1%292.2M-673.9M-4.4M0.2322.8254,70712,492362,293229,445
2018-03-19$52.09$50.0030.4%8.3%17.5%96.1%28.8%4.0%-1.5%25.0M-510.3M-4.6M0.6220.64100,82462,157302,343195,236
2018-03-20$47.04$50.0018.7%5.5%40.3%35.4%20.0%1.5%-0.2%-8.5M237.2M-3.8M1.109.6786,35795,085350,356231,725
2018-03-21$47.07$49.0020.1%5.8%40.2%42.5%20.2%2.4%-0.4%-8.9M207.0M-4.1M0.4514.6759,78626,716373,476266,555
2018-03-22$45.93$49.0022.2%6.4%40.9%53.5%22.6%3.9%-0.5%-11.0M320.9M-4.1M0.8418.1435,83729,935398,189270,095
2018-03-23$44.92$49.0023.8%6.9%40.5%61.8%23.1%4.4%-0.3%-10.4M434.1M-4.0M0.777.4530,12223,308411,083279,779
2018-03-26$46.54$48.0021.0%6.1%42.8%47.3%21.6%4.2%0.4%-4.6M123.7M-4.4M0.5712.3029,86017,099373,818263,835
2018-03-27$45.33$48.0024.8%7.4%43.4%67.0%25.4%4.2%-0.4%-8.8M272.6M-4.4M0.7015.7932,97823,130386,659272,767
2018-03-28$45.04$48.0025.0%7.3%43.4%67.9%26.1%4.6%-0.4%-10.8M326.1M-4.3M1.1110.2719,21421,392398,034280,477
2018-03-29$45.82$48.0022.4%6.5%43.7%54.9%22.9%4.5%0.1%-6.5M224.2M-4.4M0.998.3719,00218,768401,558287,925