ORCL Options History — November 2019

In November 2019, ORCL traded between $55.00 and $56.66. ATM implied volatility averaged 20.9%, placing in the 25.4% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 9.5% (HV 20d: 11.4%). Max pain ranged from $54.50 to $55.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.78.

Notable Days

  • 2019-11-15: Highest Volume — 16,056 contracts
  • 2019-11-18: Largest IV spike — 31.9% change
  • 2019-11-20: Highest IV Rank — 46.5%
  • 2019-11-29: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$56.18$55.00$56.66$55.00$56.16
Max Pain$54.98$54.50$55.00$54.50$55.00
ATM IV20.9%15.9%26.1%16.0%24.8%
Expected Move6.9%4.8%7.9%4.8%7.9%
HV 20d11.4%7.0%18.4%18.2%7.2%
HV 60d20.6%18.9%22.8%22.8%18.9%
IV Rank25.4%4.9%46.5%5.4%41.5%
IV Percentile44.6%7.1%71.4%8.7%69.0%
Term Structure1.1%-1.9%5.5%0.3%-1.6%
VWIV23.8%16.8%27.7%16.8%27.1%
Skew 25d4.2%-0.6%6.6%3.1%5.3%
Skew 10d9.0%4.0%16.5%6.7%9.8%
Call IV 25d18.8%14.0%23.7%14.7%22.6%
Put IV 25d23.1%16.0%28.9%17.8%27.9%
Bid-Ask Spread %7.774.0913.438.697.53
Gamma HHI0.140.110.190.190.16
Net GEX18.8M12.1M26.7M19.3M12.1M
Net DEX-295.6M-386.4M-215.2M-215.2M-232.9M
Net VEX-2.7M-2.8M-2.5M-2.8M-2.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.780.232.690.472.69
Total Volume8,530.53,70816,0567,4537,657
Total OI417,296.2386,504440,773428,641409,666

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-11-01$55.00$54.5016.0%4.8%18.2%5.4%16.8%3.1%0.3%19.3M-215.2M-2.8M0.478.695,0842,369197,621231,020
2019-11-04$55.47$55.0016.1%6.7%18.4%5.9%21.8%3.2%2.9%16.5M-258.8M-2.8M0.988.254,2334,131192,848226,232
2019-11-05$55.70$55.0016.8%7.0%17.4%8.4%22.7%3.4%5.5%18.0M-281.9M-2.8M0.3511.5510,7323,769195,137228,422
2019-11-06$55.70$55.0015.9%6.8%17.2%4.9%22.7%2.9%5.5%21.4M-292.0M-2.8M0.6912.734,7493,298200,408229,797
2019-11-07$56.02$55.0017.2%6.9%16.6%10.3%22.8%3.7%4.1%23.8M-332.6M-2.8M0.4213.436,6632,829202,131231,213
2019-11-08$56.38$55.0017.1%6.3%13.2%9.9%22.3%3.3%4.9%25.9M-379.8M-2.7M0.4910.155,9002,892203,383232,375
2019-11-11$56.42$55.0019.7%6.4%12.8%20.4%21.9%3.3%1.4%25.6M-368.3M-2.7M0.6610.872,9221,920201,454230,085
2019-11-12$56.52$55.0018.9%6.4%12.8%17.3%22.9%4.2%1.9%26.7M-386.4M-2.6M1.234.095,1806,392202,523231,163
2019-11-13$56.31$55.0018.9%6.4%12.1%17.3%23.0%5.5%2.9%22.8M-355.0M-2.7M0.794.203,9703,117205,113235,313
2019-11-14$56.19$55.0021.8%6.9%11.4%29.0%23.0%6.6%0.6%19.3M-341.2M-2.6M0.557.632,3991,309205,061235,291
2019-11-15$56.36$55.0017.6%6.3%10.4%12.0%22.4%-0.6%4.7%16.4M-358.3M-2.6M0.295.9212,4583,598204,972235,801
2019-11-18$56.16$55.0023.3%6.9%10.1%35.0%23.6%4.3%-1.1%13.6M-237.7M-2.6M0.445.365,6812,499172,125214,379
2019-11-19$56.43$55.0024.2%7.1%7.2%38.9%25.1%5.1%-1.7%15.6M-268.7M-2.6M0.6710.525,3643,568174,765216,069
2019-11-20$56.22$55.0026.1%7.5%7.5%46.5%26.1%5.1%-1.8%14.3M-247.0M-2.7M0.825.403,2692,686178,410218,449
2019-11-21$56.27$55.0025.6%7.4%7.5%44.7%26.1%5.3%-1.9%15.4M-251.3M-2.6M0.495.484,5832,268180,352220,349
2019-11-22$56.35$55.0025.1%7.4%7.4%42.7%25.4%5.5%-1.6%16.6M-262.2M-2.6M0.575.043,7572,145182,016221,517
2019-11-25$56.56$55.0024.4%7.4%7.0%39.6%27.7%5.1%-0.2%16.4M-275.1M-2.6M1.537.353,9546,058176,145218,965
2019-11-26$56.66$55.0024.3%7.3%7.0%39.4%26.7%5.3%-1.3%17.5M-282.9M-2.6M1.175.663,7324,362178,214222,907
2019-11-27$56.66$55.0024.4%7.5%7.0%39.6%25.9%5.3%-1.4%18.9M-285.4M-2.6M0.235.637,4001,713180,236223,997
2019-11-29$56.16$55.0024.8%7.9%7.2%41.5%27.1%5.3%-1.6%12.1M-232.9M-2.5M2.697.532,0765,581184,315225,351