ORCL Options History — November 2018

In November 2018, ORCL traded between $47.39 and $51.32. ATM implied volatility averaged 25.3%, placing in the 63.7% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded below realized volatility by 1.0% (HV 20d: 26.3%). Max pain ranged from $47.00 to $48.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 1.10.

Notable Days

  • 2018-11-16: Highest Volume — 48,854 contracts
  • 2018-11-12: Largest IV spike — 24.3% change
  • 2018-11-20: Highest IV Rank — 100.0%
  • 2018-11-20: Largest Expected Move — 9.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.21$47.39$51.32$48.49$48.75
Max Pain$47.90$47.00$48.00$47.00$48.00
ATM IV25.3%18.0%33.4%21.5%28.8%
Expected Move8.3%6.4%9.7%6.5%9.3%
HV 20d26.3%22.5%31.0%24.2%26.9%
HV 60d20.5%18.2%22.9%18.2%22.9%
IV Rank63.7%29.1%100.0%47.9%77.0%
IV Percentile73.3%35.3%100.0%57.9%92.5%
Term Structure0.8%-2.7%6.4%0.2%-1.4%
VWIV29.4%21.8%36.0%23.2%32.4%
Skew 25d5.3%3.7%7.7%4.1%5.7%
Skew 10d11.0%2.6%17.7%8.6%10.8%
Call IV 25d22.8%16.0%30.3%19.2%26.7%
Put IV 25d28.2%19.9%38.0%23.3%32.4%
Bid-Ask Spread %9.453.3128.2728.273.31
Gamma HHI0.110.090.170.090.10
Net GEX20.7M-2.1M38.4M29.8M6.1M
Net DEX-361.5M-955.4M110.7M-323.1M-97.3M
Net VEX-4.2M-4.5M-4.0M-4.5M-4.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.100.322.000.761.41
Total Volume30,164.95215,94548,85423,97127,975
Total OI627,185.19551,391696,920650,289602,695

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-11-01$48.49$47.0021.5%6.5%24.2%47.9%23.2%4.1%0.2%29.8M-323.1M-4.5M0.7628.2713,64110,330351,282299,007
2018-11-02$48.89$47.0020.8%6.4%24.4%44.5%21.8%4.2%0.3%34.2M-413.6M-4.4M1.1917.9912,07914,415352,593300,782
2018-11-05$49.12$48.0020.9%7.5%24.5%44.8%30.5%4.9%0.3%27.7M-433.7M-4.3M1.2412.3410,93413,584342,898298,146
2018-11-06$49.31$48.0020.6%7.5%24.2%43.0%28.6%4.4%0.5%28.5M-476.2M-4.3M1.536.596,3029,643344,047302,890
2018-11-07$50.40$48.0018.1%7.0%22.9%29.5%24.6%3.7%0.5%30.1M-707.5M-4.0M0.936.8213,45912,542345,673303,949
2018-11-08$50.41$48.0018.0%7.0%22.5%29.1%23.0%4.0%0.4%30.0M-707.8M-4.0M0.5910.8220,61812,209349,645307,400
2018-11-09$50.71$48.0018.9%7.4%22.5%30.7%24.0%4.2%-0.1%31.1M-777.9M-4.1M0.8511.3417,42714,808359,750309,542
2018-11-12$49.34$48.0023.4%8.3%25.1%56.6%29.4%4.6%6.1%30.0M-499.2M-4.1M0.565.6323,92813,427357,546306,253
2018-11-13$49.61$48.0022.1%8.1%24.1%48.9%29.4%5.8%6.4%35.1M-573.9M-4.2M0.608.7913,9908,437369,392311,201
2018-11-14$49.11$48.0025.5%8.8%24.2%68.0%30.6%6.5%5.2%36.6M-477.3M-4.2M0.6714.7115,66710,574373,021312,950
2018-11-15$50.57$48.0024.4%8.4%25.8%61.8%28.0%5.0%6.2%38.4M-807.1M-4.2M0.3211.9336,66011,893381,275315,613
2018-11-16$51.32$48.0023.5%7.6%26.1%56.7%28.4%4.4%4.9%30.0M-955.4M-4.2M0.405.3334,85014,004378,457318,463
2018-11-19$49.52$48.0028.8%8.6%29.6%86.7%30.2%6.7%-1.4%14.1M-201.1M-4.2M0.748.1119,24214,255268,261283,130
2018-11-20$48.33$48.0033.4%9.7%31.0%100.0%33.4%7.7%-2.7%5.3M-32.7M-4.2M1.044.7813,99414,595270,484287,876
2018-11-21$48.77$48.0030.1%8.6%30.5%83.9%31.1%6.8%-1.6%9.5M-100.7M-4.2M1.623.588,54213,839276,278288,906
2018-11-23$48.70$48.0031.3%9.1%30.2%89.7%31.9%7.4%-1.5%9.9M-81.5M-4.3M1.669.757,55312,528278,877294,801
2018-11-26$48.40$48.0029.9%9.2%30.0%82.5%34.2%5.9%-0.6%5.5M-38.7M-4.1M1.645.0113,42722,036271,726291,523
2018-11-27$47.39$48.0031.8%9.7%30.2%91.9%32.2%5.0%-1.7%-2.1M110.7M-4.1M1.555.2315,81724,464275,044302,233
2018-11-28$48.17$48.0029.9%9.5%27.0%82.8%34.4%5.6%-1.4%2.7M2.6M-4.1M2.0013.1111,34422,634280,363306,986
2018-11-29$48.13$48.0029.9%9.6%26.7%82.6%36.0%5.4%-1.4%3.3M-735.4K-4.1M1.734.929,46016,338285,945313,986
2018-11-30$48.75$48.0028.8%9.3%26.9%77.0%32.4%5.7%-1.4%6.1M-97.3M-4.1M1.413.3111,60816,367287,493315,202