ORCL Options History — March 2020

In March 2020, ORCL traded between $40.78 and $51.00. ATM implied volatility averaged 56.3%, placing in the 73.9% IV rank vs the trailing year. The 30-day expected move averaged 16.4%. IV traded below realized volatility by 12.8% (HV 20d: 69.1%). Max pain ranged from $50.00 to $55.00. Net GEX was positive for 6 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 0.80.

Notable Days

  • 2020-03-13: Highest Volume — 40,241 contracts
  • 2020-03-12: Largest IV spike — 34.4% change
  • 2020-03-06: Highest IV Rank — 100.0%
  • 2020-03-12: Largest Expected Move — 23.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.36$40.78$51.00$50.25$48.68
Max Pain$52.68$50.00$55.00$53.50$50.00
ATM IV56.3%39.6%85.1%41.4%48.5%
Expected Move16.4%12.5%23.5%13.0%15.3%
HV 20d69.1%36.3%91.0%36.3%88.3%
HV 60d42.6%24.6%55.0%24.6%55.0%
IV Rank73.9%47.7%100.0%79.5%48.6%
IV Percentile97.9%94.0%100.0%99.6%94.0%
Term Structure-3.1%-18.7%6.9%-4.4%-1.8%
VWIV55.4%39.5%82.1%41.4%53.1%
Skew 25d18.9%7.0%40.9%7.8%16.9%
Skew 10d39.3%11.5%69.8%11.5%30.6%
Call IV 25d50.3%36.5%87.8%37.8%42.6%
Put IV 25d69.3%44.3%128.8%45.6%59.5%
Bid-Ask Spread %32.465.1879.2125.9236.43
Gamma HHI0.070.060.130.080.06
Net GEX-991.1K-4.8M6.2M1.2M-429.0K
Net DEX214.9M5.3M426.5M159.5M119.8M
Net VEX-3.2M-3.9M-2.8M-3.2M-3.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.800.162.570.350.90
Total Volume21,134.2738,72640,24124,54111,044
Total OI492,753.136378,890559,503500,457391,983

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-03-02$50.25$53.5041.4%13.0%36.3%79.5%41.4%7.8%-4.4%1.2M159.5M-3.2M0.3525.9218,1726,369308,454192,003
2020-03-03$49.22$53.0041.9%14.3%36.3%80.7%45.1%9.8%-2.1%-430.3K218.4M-3.1M0.1612.4022,8233,557315,807197,144
2020-03-04$50.39$52.5039.6%12.5%36.9%74.0%39.9%7.8%-1.5%6.2M147.9M-3.2M0.4912.6616,3167,988333,574198,718
2020-03-05$47.91$55.0046.8%12.8%39.9%94.9%39.5%10.2%1.5%-3.4M285.2M-3.0M0.785.1818,83614,610341,260202,614
2020-03-06$47.23$55.0055.6%14.0%39.9%100.0%46.0%14.6%3.3%-3.5M317.4M-3.2M0.766.2516,18212,311346,578212,925
2020-03-09$46.55$55.0056.4%15.2%39.8%100.0%45.0%7.0%-8.6%-2.8M306.3M-3.2M1.2716.8610,25913,051328,989203,519
2020-03-10$48.73$55.0052.8%15.0%44.1%91.5%46.3%18.2%-0.5%321.1K203.5M-3.5M0.3210.6312,9104,192331,117206,883
2020-03-11$44.82$55.0063.3%17.1%51.7%100.0%60.1%22.3%-4.9%-3.2M352.9M-3.0M1.207.6211,34313,594333,684207,449
2020-03-12$40.78$55.0085.1%23.5%59.1%100.0%72.3%40.9%3.1%-3.6M426.5M-2.8M0.8132.7416,84513,649338,448214,768
2020-03-13$47.00$52.5059.1%16.3%81.4%63.4%57.0%22.2%-4.1%-2.6M275.8M-3.2M0.9434.9320,70019,541341,505215,596
2020-03-16$44.44$52.5075.3%21.0%83.1%86.2%76.9%27.1%-1.5%-2.7M327.9M-3.1M1.4927.348,47312,654336,368208,304
2020-03-17$47.15$52.5069.4%19.9%86.7%77.9%66.1%25.3%-7.8%-2.1M233.4M-3.5M1.0731.2310,97111,754337,155213,193
2020-03-18$45.28$52.5081.6%23.4%87.3%95.0%82.1%28.7%-12.7%-2.4M272.6M-3.5M2.5746.636,10415,687339,146217,480
2020-03-19$46.19$52.5065.9%18.7%87.9%73.0%71.7%33.2%-3.0%-468.0K188.2M-3.9M0.5679.2113,3907,483339,661218,843
2020-03-20$45.57$52.5052.2%16.0%87.9%53.8%50.5%20.4%-18.7%-4.8M342.8M-3.1M0.4470.529,3364,135333,417218,828
2020-03-23$44.88$52.5058.7%17.4%87.5%62.9%58.9%17.3%-6.5%-1.9M208.8M-3.2M0.9847.886,6096,492196,972181,918
2020-03-24$47.60$52.5049.3%15.1%90.0%49.6%51.9%16.2%-1.2%-1.5M154.7M-3.1M0.2440.279,7972,394200,704180,024
2020-03-25$47.65$50.0049.2%15.8%89.5%49.4%54.8%16.7%6.9%-56.0K125.1M-3.3M0.3663.126,4122,314205,391180,463
2020-03-26$49.84$50.0047.9%14.5%91.0%47.7%52.5%15.9%-2.9%1.7M49.4M-3.3M0.6539.8011,7737,615207,532180,857
2020-03-27$50.84$50.0048.5%14.2%88.3%48.4%54.1%17.3%-1.7%2.8M5.7M-3.4M0.8332.367,4576,208211,042183,760
2020-03-30$51.00$50.0049.5%14.9%87.0%49.9%53.4%20.8%0.3%2.1M5.3M-3.3M0.5134.118,9914,613204,623181,870
2020-03-31$48.68$50.0048.5%15.3%88.3%48.6%53.1%16.9%-1.8%-429.0K119.8M-3.2M0.9036.435,8035,241207,746184,237