ORCL Options History — June 2018

In June 2018, ORCL traded between $42.91 and $48.38. ATM implied volatility averaged 23.2%, placing in the 57.7% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded below realized volatility by 2.8% (HV 20d: 26.0%). Max pain ranged from $45.50 to $47.00. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.82.

Notable Days

  • 2018-06-20: Highest Volume — 201,326 contracts
  • 2018-06-20: Largest IV drop — 39.5% change
  • 2018-06-19: Highest IV Rank — 92.7%
  • 2018-06-19: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.01$42.91$48.38$47.27$44.23
Max Pain$46.26$45.50$47.00$47.00$45.50
ATM IV23.2%17.5%29.8%24.9%18.6%
Expected Move6.2%4.6%8.1%4.6%5.3%
HV 20d26.0%16.5%37.3%17.6%36.4%
HV 60d26.0%21.3%28.8%28.8%25.1%
IV Rank57.7%27.2%92.7%66.9%33.1%
IV Percentile72.8%47.6%98.8%80.2%52.4%
Term Structure-1.1%-2.6%0.2%-2.4%-0.1%
VWIV21.8%16.8%28.3%16.8%18.5%
Skew 25d3.2%-2.9%10.8%3.3%3.0%
Skew 10d7.6%-1.5%22.0%7.3%5.8%
Call IV 25d21.9%16.0%27.1%24.3%17.3%
Put IV 25d25.1%18.9%36.0%27.5%20.3%
Bid-Ask Spread %13.815.6979.2179.219.35
Gamma HHI0.110.070.200.120.09
Net GEX9.4M-29.4M36.3M25.6M-10.7M
Net DEX-42.8M-447.4M518.1M-243.6M201.1M
Net VEX-3.9M-4.2M-3.1M-3.9M-4.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.820.461.920.641.11
Total Volume57,190.52424,902201,32627,34932,365
Total OI650,868.286549,970724,196622,938715,027

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-06-01$47.27$47.0024.9%4.6%17.6%66.9%16.8%3.3%-2.4%25.6M-243.6M-3.9M0.6479.2116,68110,668334,044288,894
2018-06-04$47.34$46.0024.9%6.5%17.1%67.0%22.6%3.3%-1.2%24.9M-239.3M-3.9M1.2113.8415,47418,749332,981276,827
2018-06-05$47.18$46.0025.3%6.6%17.1%69.0%23.0%4.4%-1.9%23.0M-213.0M-3.9M0.9114.3515,24113,808339,236278,199
2018-06-06$47.67$46.0024.7%6.4%17.3%65.6%22.2%3.4%-2.2%33.8M-324.9M-3.9M0.468.6319,6738,997343,144283,369
2018-06-07$47.68$46.0025.3%6.6%16.6%69.1%22.5%3.6%-2.0%32.4M-322.5M-3.9M0.525.6917,3759,083350,358285,448
2018-06-08$48.28$46.0025.5%6.7%16.8%69.9%23.6%3.3%-2.6%36.3M-416.7M-3.9M0.508.1525,95312,890352,922287,974
2018-06-11$48.35$47.0025.7%6.9%16.6%71.1%23.7%3.5%-1.1%35.4M-433.8M-3.9M0.658.3821,30513,766351,361285,289
2018-06-12$48.38$47.0025.6%6.9%16.6%70.5%23.7%3.1%-1.4%33.8M-439.2M-3.9M0.466.8017,0787,824360,446292,866
2018-06-13$48.38$47.0025.4%6.8%16.5%69.8%23.5%2.8%-2.3%34.9M-447.4M-3.9M0.5422.3719,71910,704365,164294,334
2018-06-14$45.90$47.0027.1%7.2%25.5%78.7%24.9%-2.9%-2.2%2.3M62.6M-3.7M0.9720.1161,25159,327369,612296,890
2018-06-15$46.20$46.0026.4%7.1%25.6%74.8%25.0%10.8%-1.3%6.2M-4.4M-3.9M0.926.7332,46929,735394,757329,439
2018-06-18$46.46$47.0027.3%7.6%25.6%79.5%26.7%2.6%-1.0%10.2M-83.1M-4.1M0.956.6732,48730,894307,455242,515
2018-06-19$46.30$46.0029.8%8.1%24.6%92.7%28.3%2.8%-1.4%9.5M-66.1M-4.2M0.6413.5765,70641,898323,637259,588
2018-06-20$42.91$46.0018.0%5.2%36.0%30.1%18.2%1.3%-0.3%-27.9M518.1M-3.1M1.069.8597,913103,413340,242284,418
2018-06-21$43.09$46.0018.1%5.2%35.8%30.9%17.6%2.0%-0.0%-29.4M436.2M-3.5M0.6812.7049,22633,663381,964319,852
2018-06-22$44.23$46.0017.5%5.0%37.3%27.2%17.9%3.0%0.1%-9.8M215.2M-3.9M0.816.3035,96929,150387,890329,571
2018-06-25$44.34$46.0020.1%5.7%37.0%41.2%20.1%4.0%-0.1%-6.1M184.5M-4.0M0.8013.0023,25918,602347,967302,058
2018-06-26$44.57$46.0018.3%5.4%36.7%31.6%18.8%4.1%0.0%-2.6M144.8M-4.0M0.555.9923,37812,864352,490305,296
2018-06-27$43.64$46.0019.4%5.7%36.3%37.7%20.6%2.9%0.0%-13.0M298.8M-3.9M1.928.8227,29052,488358,211308,672
2018-06-28$43.91$46.0019.1%5.5%36.5%35.8%19.9%3.0%0.2%-12.3M273.1M-4.0M0.859.4517,63415,032363,817344,010
2018-06-29$44.23$45.5018.6%5.3%36.4%33.1%18.5%3.0%-0.1%-10.7M201.1M-4.1M1.119.3515,36417,001367,674347,353