ORCL Options History — December 2019

In December 2019, ORCL traded between $52.68 and $56.43. ATM implied volatility averaged 19.9%, placing in the 23.4% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 5.9% (HV 20d: 14.0%). Max pain ranged from $52.50 to $55.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.91.

Notable Days

  • 2019-12-12: Highest Volume — 66,601 contracts
  • 2019-12-13: Largest IV drop — 40.8% change
  • 2019-12-06: Highest IV Rank — 49.9%
  • 2019-12-03: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$54.26$52.68$56.43$55.59$52.89
Max Pain$52.86$52.50$55.00$55.00$52.50
ATM IV19.9%14.1%26.9%25.8%15.8%
Expected Move5.8%4.0%9.1%8.8%4.6%
HV 20d14.0%7.6%18.3%7.6%18.3%
HV 60d16.9%15.4%18.9%18.9%15.4%
IV Rank23.4%0.0%49.9%45.4%9.2%
IV Percentile35.8%0.0%77.0%73.0%9.9%
Term Structure-0.5%-3.3%0.9%-0.8%0.5%
VWIV20.6%13.9%32.5%32.5%15.9%
Skew 25d4.2%2.4%8.0%5.7%3.1%
Skew 10d8.4%4.9%20.6%11.1%6.4%
Call IV 25d18.0%13.4%23.8%22.6%15.0%
Put IV 25d22.2%16.1%31.6%28.3%18.1%
Bid-Ask Spread %6.682.6014.476.572.60
Gamma HHI0.130.110.200.120.15
Net GEX948.9K-13.6M13.2M5.2M-2.8M
Net DEX-52.1M-281.1M122.6M-162.8M46.9M
Net VEX-2.4M-2.6M-2.1M-2.5M-2.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.910.341.770.551.75
Total Volume20,671.8576,48666,6016,93014,272
Total OI452,567.095406,344506,662406,344462,014

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-12-02$55.59$55.0025.8%8.8%7.6%45.4%32.5%5.7%-0.8%5.2M-162.8M-2.5M0.556.574,4812,449179,928226,416
2019-12-03$54.65$55.0026.4%9.1%9.3%47.7%32.5%5.2%0.0%2.5M-67.0M-2.5M1.127.175,8746,606183,293227,970
2019-12-04$54.56$55.0026.0%9.1%9.1%46.2%30.7%5.5%-1.1%4.4M-71.6M-2.5M1.776.174,6578,227185,798228,735
2019-12-05$54.75$52.5025.8%6.9%9.3%45.4%21.9%5.2%-1.1%837.9K-91.8M-2.5M0.5612.7611,1336,221186,965232,584
2019-12-06$54.89$52.5026.9%6.9%9.0%49.9%26.8%5.3%-0.8%-10.1M-104.5M-2.6M1.0513.609,76910,275193,445236,512
2019-12-09$55.34$52.5025.6%7.1%9.2%44.6%25.9%5.5%-0.6%8.5M-169.2M-2.6M1.309.016,4388,390191,357235,960
2019-12-10$55.73$52.5025.7%7.2%9.7%44.8%25.4%6.0%-0.5%10.2M-202.9M-2.5M1.588.123,5435,597193,866239,498
2019-12-11$56.22$52.5025.6%7.4%10.2%44.6%26.2%8.0%-0.2%13.2M-265.2M-2.5M0.9414.4712,26111,552194,758242,450
2019-12-12$56.43$52.5025.9%6.8%10.2%45.9%25.9%7.0%-3.3%12.9M-281.1M-2.5M1.1411.5431,08935,512199,021246,748
2019-12-13$54.50$52.5015.3%4.3%16.1%2.6%15.6%3.2%-0.7%-9.2M14.2M-2.1M0.774.6332,03024,575211,478269,255
2019-12-16$53.90$52.5014.1%4.0%16.3%0.0%15.3%3.0%0.9%-6.5M46.6M-2.2M0.634.9218,53611,598222,162252,742
2019-12-17$52.95$52.5016.0%4.6%17.2%7.5%16.2%3.0%-0.9%-13.6M122.6M-2.2M1.393.2811,30615,761229,550255,732
2019-12-18$53.50$52.5016.4%4.7%17.7%10.5%15.6%3.3%-1.6%-6.9M43.6M-2.2M0.734.6013,83410,077232,413260,050
2019-12-19$53.23$52.5015.5%4.5%17.7%6.8%15.0%3.0%-0.6%-11.0M71.9M-2.3M0.653.069,5746,187237,486263,549
2019-12-20$53.55$52.5015.3%4.5%17.9%5.8%13.9%3.1%-1.2%-5.2M23.0M-2.3M0.414.8215,5746,373240,050266,612
2019-12-23$53.76$52.5014.4%4.1%18.0%1.7%14.7%2.6%0.6%10.8M-53.4M-2.3M0.512.7714,1357,155205,885233,837
2019-12-24$53.40$52.5015.0%4.3%17.9%4.5%15.5%2.7%0.4%6.4M-17.1M-2.4M0.344.019,6113,300215,122238,188
2019-12-26$53.52$52.5015.1%4.4%17.9%5.3%14.9%2.8%0.3%7.1M-24.4M-2.4M0.636.953,9762,510221,130239,276
2019-12-27$53.47$52.5015.7%4.6%17.9%8.9%15.6%2.4%0.3%7.5M-17.9M-2.4M0.493.937,6663,778222,729241,661
2019-12-30$52.68$52.5016.5%4.8%18.3%13.3%16.7%2.8%0.0%-4.1M66.4M-2.3M0.755.304,7003,507217,168240,516
2019-12-31$52.89$52.5015.8%4.6%18.3%9.2%15.9%3.1%0.5%-2.8M46.9M-2.3M1.752.605,1979,075219,425242,589