ORCL Options History — December 2018

In December 2018, ORCL traded between $43.00 and $49.92. ATM implied volatility averaged 32.8%, placing in the 83.0% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded above realized volatility by 2.1% (HV 20d: 30.7%). Max pain ranged from $48.00 to $48.00. Net GEX was positive for 3 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 1.32.

Notable Days

  • 2018-12-18: Highest Volume — 83,191 contracts
  • 2018-12-18: Largest IV drop — 24.3% change
  • 2018-12-05: Highest IV Rank — 100.0%
  • 2018-12-05: Largest Expected Move — 11.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.34$43.00$49.92$49.92$45.10
Max Pain$48.00$48.00$48.00$48.00$48.00
ATM IV32.8%26.3%39.1%26.3%28.4%
Expected Move9.6%8.3%11.7%9.1%8.6%
HV 20d30.7%26.7%34.3%28.0%33.4%
HV 60d25.8%23.3%28.6%23.4%28.1%
IV Rank83.0%57.6%100.0%64.8%57.6%
IV Percentile95.7%81.3%100.0%81.3%84.9%
Term Structure-1.6%-5.6%0.0%-0.9%0.0%
VWIV34.0%29.2%41.4%32.6%29.2%
Skew 25d6.5%4.0%8.5%4.0%6.3%
Skew 10d12.9%8.2%17.8%9.2%11.9%
Call IV 25d29.8%24.0%36.3%24.0%25.5%
Put IV 25d36.3%28.0%43.4%28.0%31.8%
Bid-Ask Spread %8.393.1629.693.253.16
Gamma HHI0.100.090.160.120.10
Net GEX-8.0M-25.5M17.3M17.3M-13.6M
Net DEX198.6M-276.8M533.0M-276.8M294.0M
Net VEX-3.6M-4.1M-3.0M-4.0M-3.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.320.483.851.100.65
Total Volume29,449.7510,09183,19120,85310,091
Total OI597,064.2527,186646,314591,093540,850

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-12-03$49.92$48.0026.3%9.1%28.0%64.8%32.6%4.0%-0.9%17.3M-276.8M-4.0M1.103.259,92310,930281,748309,345
2018-12-04$48.95$48.0031.4%11.5%28.9%90.4%40.7%5.7%-3.3%8.1M-119.9M-4.1M1.897.8511,08420,959282,384310,022
2018-12-05$48.82$48.0033.4%11.7%28.9%100.0%41.4%8.1%-5.6%7.1M-90.6M-4.1M1.8829.6911,17420,960282,384310,022
2018-12-06$46.64$48.0034.6%9.3%31.7%100.0%32.7%7.0%-1.8%-8.1M217.3M-3.9M0.485.9324,81411,839285,859320,642
2018-12-07$46.40$48.0035.6%9.5%31.7%100.0%32.8%5.5%-1.7%-8.3M228.5M-3.9M0.8613.019,3017,998291,613321,676
2018-12-10$46.82$48.0035.8%9.7%31.9%100.0%32.1%6.9%-1.7%-5.2M153.3M-3.9M0.6610.018,4445,565281,079317,106
2018-12-11$46.68$48.0034.9%9.6%30.6%96.1%32.0%5.8%-1.2%-5.7M174.5M-3.8M0.699.816,6594,591284,734318,225
2018-12-12$47.68$48.0033.7%9.0%31.7%90.6%33.6%5.0%-2.1%-588.9K36.4M-3.9M1.159.9110,59712,153286,916319,525
2018-12-13$47.36$48.0034.4%9.5%31.6%93.9%33.2%5.3%-1.7%-2.5M89.8M-3.9M1.217.545,9957,225289,754326,371
2018-12-14$46.73$48.0034.8%9.6%29.6%95.4%33.4%5.5%-2.2%-6.3M173.2M-3.9M0.816.6718,12814,738289,445329,678
2018-12-17$45.60$48.0039.1%11.1%29.6%100.0%40.2%7.1%-2.2%-9.1M287.0M-3.7M2.1710.4519,61742,652284,026324,970
2018-12-18$46.01$48.0029.6%8.5%27.8%63.0%29.4%6.9%-0.6%-17.5M305.2M-3.5M1.673.5631,12852,063292,384348,089
2018-12-19$46.41$48.0029.1%8.3%27.0%60.8%29.4%6.6%-1.2%-16.1M237.5M-3.5M1.434.7815,69522,470295,587345,625
2018-12-20$46.34$48.0030.8%8.9%26.7%67.7%30.8%6.5%-1.5%-15.1M242.1M-3.5M1.317.0312,89316,919297,684346,839
2018-12-21$44.20$48.0033.0%9.6%31.0%76.1%32.6%8.5%-1.6%-25.5M533.0M-3.2M1.857.9514,39826,653300,144346,170
2018-12-24$43.00$48.0035.7%10.5%32.1%86.8%40.2%8.2%-0.7%-16.6M491.2M-3.0M3.857.985,23820,171239,712287,474
2018-12-26$44.42$48.0033.0%9.8%34.3%76.0%35.0%7.0%-0.4%-16.8M372.9M-3.2M0.697.1611,8778,188241,102299,967
2018-12-27$44.78$48.0032.2%9.7%33.8%73.1%35.7%7.5%-0.2%-14.3M319.5M-3.3M1.127.0411,76013,182248,275301,349
2018-12-28$44.91$48.0030.6%9.1%33.8%66.9%32.1%6.4%-0.6%-11.9M304.7M-3.2M0.854.9311,2899,634255,355307,154
2018-12-31$45.10$48.0028.4%8.6%33.4%57.6%29.2%6.3%0.0%-13.6M294.0M-3.1M0.653.166,1073,984248,416292,434