ORCL Options History — September 2019

In September 2019, ORCL traded between $51.98 and $56.14. ATM implied volatility averaged 23.6%, placing in the 36.9% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded below realized volatility by 1.5% (HV 20d: 25.2%). Max pain ranged from $55.00 to $57.50. Net GEX was positive for 10 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 0.98.

Notable Days

  • 2019-09-12: Highest Volume — 101,089 contracts
  • 2019-09-12: Largest IV drop — 30.2% change
  • 2019-09-10: Highest IV Rank — 73.0%
  • 2019-09-03: Largest Expected Move — 10.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$53.80$51.98$56.14$51.98$55.10
Max Pain$55.25$55.00$57.50$57.50$55.00
ATM IV23.6%19.0%32.5%30.6%19.4%
Expected Move6.8%5.4%10.6%10.6%5.6%
HV 20d25.2%23.3%27.1%23.3%24.9%
HV 60d23.4%21.6%26.7%24.1%22.0%
IV Rank36.9%18.0%73.0%65.3%19.7%
IV Percentile58.4%36.9%94.4%90.1%37.7%
Term Structure-0.9%-2.6%0.4%-1.7%0.4%
VWIV23.5%18.7%37.2%37.2%19.7%
Skew 25d4.6%3.8%5.9%5.9%4.3%
Skew 10d8.6%2.5%11.5%11.5%8.1%
Call IV 25d21.5%17.0%29.4%27.5%17.7%
Put IV 25d26.1%20.9%34.8%33.4%21.9%
Bid-Ask Spread %6.762.7612.104.787.60
Gamma HHI0.110.080.160.110.11
Net GEX-2.4M-16.6M9.2M-10.9M8.8M
Net DEX71.6M-181.2M321.5M321.5M-181.2M
Net VEX-3.4M-3.7M-3.2M-3.6M-3.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.980.264.611.290.45
Total Volume26,800.86,925101,0899,26714,523
Total OI495,694.65411,387596,100484,879419,043

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-09-03$51.98$57.5030.6%10.6%23.3%65.3%37.2%5.9%-1.7%-10.9M321.5M-3.6M1.294.784,0395,228195,449289,430
2019-09-04$53.11$57.5029.5%10.4%24.8%60.7%34.2%5.4%-1.7%-8.1M202.1M-3.6M0.838.768,7847,307197,386290,525
2019-09-05$53.81$55.0028.6%7.4%24.9%57.2%25.8%5.3%-1.7%-4.4M70.7M-3.6M0.683.467,1024,800201,354286,429
2019-09-06$53.33$55.0028.6%7.9%23.5%57.3%26.0%5.3%-1.5%-6.4M123.0M-3.6M0.846.385,6334,720203,102287,226
2019-09-09$54.64$55.0030.1%7.9%24.9%63.2%26.3%5.6%-2.2%-2.3M-24.5M-3.6M0.552.7612,7086,947201,048286,721
2019-09-10$55.22$55.0032.5%8.7%24.3%73.0%29.8%5.4%-2.6%530.5K-104.5M-3.7M4.618.4615,20870,133207,223288,612
2019-09-11$56.14$55.0031.4%9.2%24.5%68.3%30.1%5.9%0.0%-8.7M-130.4M-3.7M1.383.6825,70435,524213,411333,801
2019-09-12$53.84$55.0021.9%5.9%27.1%29.8%21.3%4.3%-1.7%-12.3M257.3M-3.4M0.706.2559,36041,729227,763337,561
2019-09-13$53.83$55.0019.9%5.5%27.1%21.7%20.5%4.0%-1.6%1.8M247.8M-3.4M1.502.9414,01521,090248,996347,104
2019-09-16$53.09$55.0021.1%6.0%26.7%26.4%19.8%4.4%-0.8%-8.7M191.5M-3.3M0.813.1413,63811,075235,646303,686
2019-09-17$52.84$55.0020.6%5.9%26.6%24.6%20.1%4.3%-0.4%-14.5M240.3M-3.3M0.267.9816,0294,120239,296308,141
2019-09-18$52.48$55.0020.1%5.8%25.9%22.3%19.0%3.8%0.2%-16.6M287.1M-3.2M0.988.4012,18911,973245,430305,091
2019-09-19$53.52$55.0019.8%5.7%26.8%21.3%19.7%4.0%-1.3%550.9K87.3M-3.2M0.5912.1015,2118,967248,819298,166
2019-09-20$53.55$55.0020.1%5.9%26.8%22.4%18.7%4.3%-1.6%4.3M83.5M-3.2M0.708.3511,9298,296252,286300,689
2019-09-23$54.14$55.0019.0%5.4%24.0%18.0%19.4%3.9%0.2%7.9M-71.0M-3.2M0.598.918,9155,269181,297230,090
2019-09-24$53.45$55.0020.3%6.0%24.5%23.3%21.4%4.2%0.1%3.2M-1.0M-3.3M0.307.818,5262,550187,192232,916
2019-09-25$53.88$55.0019.6%5.5%24.5%20.4%20.3%4.1%-0.2%4.7M-43.8M-3.3M0.948.254,4394,187190,525233,623
2019-09-26$54.06$55.0019.7%5.6%24.2%20.8%21.1%4.0%-0.4%3.8M-64.4M-3.3M1.058.023,3813,544191,780236,146
2019-09-27$53.99$55.0020.2%5.9%24.2%22.9%20.1%4.0%-0.0%9.2M-58.5M-3.3M0.547.1911,1896,035193,127237,763
2019-09-30$55.10$55.0019.4%5.6%24.9%19.7%19.7%4.3%0.4%8.8M-181.2M-3.3M0.457.6010,0184,505183,947235,096