ORCL Options History — February 2020

In February 2020, ORCL traded between $48.16 and $55.68. ATM implied volatility averaged 27.2%, placing in the 63.4% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 8.3% (HV 20d: 18.9%). Max pain ranged from $55.00 to $55.00. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 0.82.

Notable Days

  • 2020-02-26: Highest Volume — 128,959 contracts
  • 2020-02-28: Largest IV spike — 20.3% change
  • 2020-02-25: Highest IV Rank — 100.0%
  • 2020-02-28: Largest Expected Move — 16.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$53.96$48.16$55.68$53.17$48.16
Max Pain$55.00$55.00$55.00$55.00$55.00
ATM IV27.2%19.0%48.5%19.0%48.5%
Expected Move8.2%5.4%16.5%5.6%16.5%
HV 20d18.9%15.5%32.4%15.5%32.4%
HV 60d16.4%14.7%23.0%14.7%23.0%
IV Rank63.4%26.5%100.0%26.5%100.0%
IV Percentile77.6%49.6%100.0%49.6%100.0%
Term Structure0.2%-3.7%6.0%6.0%-3.2%
VWIV27.7%19.0%54.2%19.1%54.2%
Skew 25d4.3%2.0%9.5%3.3%4.6%
Skew 10d7.1%3.9%12.3%6.4%4.9%
Call IV 25d25.5%17.9%48.8%18.4%48.8%
Put IV 25d29.8%19.9%53.4%21.7%53.4%
Bid-Ask Spread %8.862.7825.376.6125.37
Gamma HHI0.100.080.120.090.08
Net GEX14.6M-3.7M27.8M6.1M741.0K
Net DEX-81.5M-237.7M265.5M13.4M265.5M
Net VEX-3.2M-3.4M-2.9M-3.1M-3.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.820.112.200.591.00
Total Volume22,857.3686,465128,9598,28142,655
Total OI438,385.895404,285508,684415,303508,684

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-02-03$53.17$55.0019.0%5.6%15.5%26.5%19.1%3.3%6.0%6.1M13.4M-3.1M0.596.615,2133,068237,794177,509
2020-02-04$54.10$55.0020.0%5.6%16.7%32.0%19.0%3.3%3.8%13.3M-75.3M-3.2M1.403.387,64710,729238,825178,987
2020-02-05$54.80$55.0019.4%5.4%17.3%29.1%19.2%2.8%4.7%18.3M-144.6M-3.4M0.592.787,3984,385241,281186,374
2020-02-06$54.82$55.0019.5%6.9%17.2%29.3%25.4%2.0%4.9%20.1M-136.1M-3.3M2.2010.594,3619,586243,672187,580
2020-02-07$54.81$55.0020.6%6.9%17.2%35.4%24.8%2.1%4.3%18.0M-132.3M-3.4M1.2012.353,8634,642244,386188,412
2020-02-10$54.91$55.0023.5%6.8%17.2%51.0%23.0%9.5%-1.4%17.2M-135.8M-3.2M0.5610.337,2454,060239,693186,331
2020-02-11$55.25$55.0024.6%7.2%17.3%57.1%24.2%3.6%1.1%21.1M-185.2M-3.3M0.656.135,5433,603243,656187,709
2020-02-12$55.68$55.0023.6%7.0%17.3%51.8%23.7%5.0%0.5%25.3M-237.7M-3.3M0.8016.613,5992,866245,102188,006
2020-02-13$55.30$55.0026.1%7.2%17.5%65.3%24.1%4.5%-1.9%21.9M-188.9M-3.2M0.4415.766,0132,646246,598188,720
2020-02-14$55.36$55.0024.6%7.1%17.1%57.2%22.1%2.3%0.7%23.2M-202.4M-3.2M0.386.029,4143,565249,082189,560
2020-02-18$55.48$55.0026.2%7.5%16.8%65.8%24.2%3.0%-1.7%24.8M-215.9M-3.2M0.205.6212,7502,548248,768187,374
2020-02-19$55.52$55.0026.2%7.5%16.7%65.8%24.9%3.3%-1.9%27.8M-223.9M-3.2M0.625.075,8033,611258,426187,775
2020-02-20$55.59$55.0026.9%7.8%16.3%69.4%26.8%4.1%-1.9%26.9M-230.8M-3.2M0.853.914,1413,524261,380189,247
2020-02-21$54.65$55.0028.0%8.1%17.4%75.6%27.9%5.3%-1.0%7.6M-65.2M-3.0M0.897.127,9297,042262,424190,534
2020-02-24$52.89$55.0031.3%9.4%20.1%93.3%33.2%5.6%-0.9%2.0M40.7M-3.0M1.776.688,31214,716232,907171,378
2020-02-25$51.11$55.0033.7%10.3%22.1%100.0%35.4%5.4%-1.6%-3.7M149.5M-2.9M0.688.5313,6639,232237,231180,286
2020-02-26$52.27$55.0034.4%10.6%23.2%100.0%34.0%5.8%-2.1%740.1K74.9M-3.2M0.118.46116,67712,282241,903185,464
2020-02-27$51.31$55.0040.3%12.7%23.9%100.0%40.9%6.7%-3.7%5.5M81.0M-3.4M0.647.0036,53323,426304,271192,003
2020-02-28$48.16$55.0048.5%16.5%32.4%100.0%54.2%4.6%-3.2%741.0K265.5M-3.2M1.0025.3721,30921,346309,225199,459