ORCL Options History — January 2020

In January 2020, ORCL traded between $52.43 and $55.41. ATM implied volatility averaged 16.3%, placing in the 12.3% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 1.3% (HV 20d: 15.1%). Max pain ranged from $52.50 to $55.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.70.

Notable Days

  • 2020-01-07: Highest Volume — 56,542 contracts
  • 2020-01-27: Largest IV spike — 12.5% change
  • 2020-01-31: Highest IV Rank — 35.6%
  • 2020-01-31: Largest Expected Move — 6.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$54.18$52.43$55.41$53.78$52.43
Max Pain$54.76$52.50$55.00$52.50$55.00
ATM IV16.3%14.3%20.6%15.3%20.6%
Expected Move4.7%4.2%6.0%4.4%6.0%
HV 20d15.1%10.7%18.7%18.6%14.5%
HV 60d14.0%12.9%15.8%15.8%14.4%
IV Rank12.3%1.1%35.6%6.4%35.6%
IV Percentile19.8%0.4%61.5%6.7%61.5%
Term Structure0.1%-0.7%0.8%0.5%-0.7%
VWIV17.0%14.6%21.2%16.4%21.2%
Skew 25d2.9%2.1%3.6%2.6%3.6%
Skew 10d5.8%3.9%7.4%6.0%7.4%
Call IV 25d15.2%13.1%19.5%14.5%19.5%
Put IV 25d18.1%15.9%23.0%17.1%23.0%
Bid-Ask Spread %4.042.1117.024.5417.02
Gamma HHI0.140.090.420.130.09
Net GEX14.2M1.8M56.3M8.7M1.8M
Net DEX-70.2M-253.5M78.4M-60.8M78.4M
Net VEX-2.8M-3.2M-2.3M-2.3M-3.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.700.112.540.431.24
Total Volume22,034.5718,04656,54214,06411,581
Total OI444,070.619348,254527,710465,873423,205

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-01-02$53.78$52.5015.3%4.4%18.6%6.4%16.4%2.6%0.5%8.7M-60.8M-2.3M0.434.549,8554,209222,104243,769
2020-01-03$53.89$52.5016.0%4.5%18.6%10.3%16.2%2.6%0.3%7.1M-74.9M-2.4M0.493.187,4733,682223,134245,530
2020-01-06$53.99$55.0016.1%4.5%18.6%11.1%17.1%3.1%0.2%7.1M-74.1M-2.3M0.396.957,5102,948206,995245,016
2020-01-07$54.24$55.0015.9%4.5%18.7%9.8%17.4%2.8%0.1%10.2M-101.4M-2.3M0.187.9447,7508,792208,990246,317
2020-01-08$54.40$55.0015.1%4.4%18.4%5.7%16.0%3.2%0.2%9.0M-35.4M-2.4M0.372.9518,6236,901196,673252,051
2020-01-09$54.28$55.0015.4%4.4%18.2%7.4%17.1%3.0%0.2%10.0M-50.6M-2.5M0.283.3616,3974,628212,187251,922
2020-01-10$54.40$55.0015.6%4.4%17.9%8.1%15.9%3.2%0.2%14.7M-72.3M-2.6M0.592.728,9425,319225,523253,142
2020-01-13$54.55$55.0015.6%4.4%17.8%8.3%15.4%3.1%-0.4%13.6M-80.2M-2.5M0.542.4517,7109,638220,709250,615
2020-01-14$54.97$55.0015.3%4.5%13.1%6.4%17.0%3.1%0.2%18.5M-144.3M-2.7M0.292.2329,0968,435231,306255,814
2020-01-15$54.82$55.0015.0%4.4%12.5%5.2%15.9%3.2%0.3%22.2M-137.7M-2.8M0.632.3213,8218,689251,160260,237
2020-01-16$55.41$55.0014.3%4.3%10.8%1.1%15.5%2.9%0.8%26.6M-253.5M-2.8M0.412.118,7833,602260,116263,612
2020-01-17$54.98$55.0014.4%4.2%10.9%1.7%14.6%2.6%0.3%56.3M-155.7M-2.8M2.542.4214,92137,887262,604265,106
2020-01-21$55.25$55.0016.1%4.6%10.7%11.0%16.2%2.2%-0.5%20.0M-155.0M-2.9M1.422.8314,71820,875194,270153,984
2020-01-22$54.70$55.0015.8%4.5%11.4%9.5%15.5%2.1%0.0%15.2M-98.1M-3.0M0.702.736,6464,646204,608170,303
2020-01-23$54.93$55.0016.2%4.7%11.4%11.7%16.8%2.3%-0.0%19.6M-132.9M-3.1M0.113.0128,2303,178207,374171,089
2020-01-24$54.01$55.0017.1%4.9%12.8%16.4%17.2%2.4%-0.1%13.3M-35.9M-3.2M0.483.729,6444,624230,236173,122
2020-01-27$52.81$55.0019.2%5.5%15.2%28.0%19.2%3.3%0.3%3.7M57.6M-3.0M0.922.759,5558,827232,476171,287
2020-01-28$53.50$55.0017.9%5.1%15.9%20.8%17.8%2.9%0.1%8.2M-2.6M-3.1M0.553.025,2072,839237,374173,670
2020-01-29$53.19$55.0018.0%5.2%15.1%21.3%18.1%3.0%0.7%5.9M28.0M-3.0M0.443.266,1612,721236,638174,660
2020-01-30$53.15$55.0018.3%5.1%15.1%23.2%19.5%2.5%0.3%6.5M26.8M-3.1M1.583.286,84210,821241,025175,530
2020-01-31$52.43$55.0020.6%6.0%14.5%35.6%21.2%3.6%-0.7%1.8M78.4M-3.0M1.2417.025,1606,421241,870181,335