ORCL Options History — September 2018

In September 2018, ORCL traded between $47.79 and $51.87. ATM implied volatility averaged 22.2%, placing in the 52.6% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 8.7% (HV 20d: 13.5%). Max pain ranged from $47.00 to $49.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 1.21.

Notable Days

  • 2018-09-17: Highest Volume — 141,255 contracts
  • 2018-09-18: Largest IV drop — 43.3% change
  • 2018-09-10: Highest IV Rank — 96.5%
  • 2018-09-05: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.77$47.79$51.87$48.64$51.59
Max Pain$48.05$47.00$49.00$47.00$49.00
ATM IV22.2%14.6%30.5%26.0%14.6%
Expected Move6.3%4.1%9.4%8.6%4.1%
HV 20d13.5%10.3%15.6%10.3%13.8%
HV 60d17.5%13.1%23.7%23.6%13.1%
IV Rank52.6%11.8%96.5%72.6%11.8%
IV Percentile59.9%10.7%99.6%86.1%10.7%
Term Structure-1.1%-7.1%0.4%-1.5%0.4%
VWIV23.3%14.9%34.4%32.9%15.2%
Skew 25d4.2%2.6%6.7%3.9%2.8%
Skew 10d8.1%4.8%12.7%8.3%5.9%
Call IV 25d20.5%13.9%27.0%24.3%13.9%
Put IV 25d24.7%16.8%33.5%28.2%16.8%
Bid-Ask Spread %10.894.0227.9612.407.40
Gamma HHI0.160.110.300.180.16
Net GEX28.2M887.2K68.9M17.4M30.4M
Net DEX-432.6M-845.8M-111.2M-277.0M-569.5M
Net VEX-4.3M-4.5M-4.0M-4.4M-4.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.210.562.221.482.22
Total Volume48,894.84224,174141,25532,43431,902
Total OI664,408.474548,050793,014611,949582,628

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-09-04$48.64$47.0026.0%8.6%10.3%72.6%32.9%3.9%-1.5%17.4M-277.0M-4.4M1.4812.4013,08819,346335,355276,594
2018-09-05$48.12$47.0027.6%9.4%10.9%81.3%34.4%5.1%-0.8%14.0M-185.1M-4.4M1.408.9911,63616,285343,309288,870
2018-09-06$47.81$48.0028.8%7.4%11.1%87.5%28.8%6.7%-0.8%12.6M-134.0M-4.4M1.7818.5819,40734,587345,631294,147
2018-09-07$47.79$48.0027.7%7.4%11.0%81.6%30.9%6.1%-7.1%887.2K-111.2M-4.4M1.6215.5313,47721,810351,985305,034
2018-09-10$48.91$48.0030.5%8.0%13.7%96.5%31.6%6.5%-2.2%19.1M-336.5M-4.5M2.014.9720,46441,129348,827298,569
2018-09-11$48.96$48.0029.0%7.8%13.6%88.9%28.0%5.9%-2.1%18.6M-327.9M-4.5M0.914.3214,25213,030353,299316,049
2018-09-12$49.43$48.0029.1%7.8%13.9%89.4%28.8%3.9%-1.4%26.0M-422.6M-4.5M0.845.0120,52517,280358,769320,538
2018-09-13$48.94$48.0027.2%7.5%13.8%79.1%27.1%4.7%-1.3%17.2M-327.4M-4.4M1.2314.2113,85016,997366,162331,550
2018-09-14$49.25$48.0027.1%7.5%13.6%78.6%26.6%4.5%-0.9%21.4M-388.7M-4.4M1.274.6420,02525,500370,123335,814
2018-09-17$49.19$48.0029.7%8.3%13.6%92.4%29.0%5.1%-1.0%19.6M-376.4M-4.4M0.9517.5672,51568,740369,444336,177
2018-09-18$49.20$48.0016.9%4.8%13.6%23.9%17.4%3.3%-0.1%32.0M-364.4M-4.1M1.084.4857,50262,201395,029377,663
2018-09-19$49.49$48.0016.3%4.7%13.7%20.8%16.8%3.3%-0.3%47.0M-452.8M-4.1M1.074.0717,46718,749401,216381,951
2018-09-20$50.48$48.0016.2%4.6%15.0%20.2%16.8%3.3%-0.2%60.8M-729.7M-4.1M0.564.0246,78426,300403,022381,747
2018-09-21$51.04$48.0015.7%4.6%15.4%17.8%16.1%2.9%-1.3%68.9M-845.8M-4.0M0.6216.4334,22621,066403,480389,534
2018-09-24$51.35$48.0015.5%4.4%15.4%16.6%15.8%3.0%0.1%31.8M-547.5M-4.1M1.125.2816,12817,997280,339267,711
2018-09-25$51.83$48.0015.0%4.3%15.6%14.3%14.9%3.1%0.1%33.7M-627.0M-4.1M0.7217.1220,67214,817286,148276,204
2018-09-26$51.87$49.0014.9%4.3%14.6%13.5%15.7%2.9%0.0%33.4M-626.8M-4.1M1.0127.9612,03512,139291,969281,295
2018-09-27$51.67$49.0014.7%4.2%14.7%12.5%15.6%2.6%0.1%31.7M-569.7M-4.1M1.1813.9311,48913,585293,703283,876
2018-09-28$51.59$49.0014.6%4.1%13.8%11.8%15.2%2.8%0.4%30.4M-569.5M-4.1M2.227.409,91621,986296,524286,104