ORCL Options History — April 2020

In April 2020, ORCL traded between $48.90 and $54.42. ATM implied volatility averaged 37.8%, placing in the 33.4% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded below realized volatility by 15.0% (HV 20d: 52.8%). Max pain ranged from $50.00 to $51.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.99.

Notable Days

  • 2020-04-23: Highest Volume — 32,039 contracts
  • 2020-04-06: Largest IV drop — 16.8% change
  • 2020-04-01: Highest IV Rank — 49.1%
  • 2020-04-01: Largest Expected Move — 15.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$52.46$48.90$54.42$48.90$52.98
Max Pain$50.05$50.00$51.00$50.00$51.00
ATM IV37.8%29.0%48.9%48.9%31.3%
Expected Move10.7%8.1%15.3%15.3%8.7%
HV 20d52.8%29.3%87.9%87.9%30.7%
HV 60d56.2%55.0%57.1%55.0%57.1%
IV Rank33.4%21.1%49.1%49.1%24.3%
IV Percentile86.5%73.0%94.0%94.0%79.8%
Term Structure-1.1%-5.0%1.4%-1.6%0.3%
VWIV38.0%30.3%56.3%56.3%30.8%
Skew 25d11.9%6.6%18.6%16.4%8.7%
Skew 10d23.5%12.0%36.1%36.1%16.2%
Call IV 25d33.1%26.6%47.3%42.8%27.7%
Put IV 25d45.0%33.2%59.9%59.2%36.4%
Bid-Ask Spread %19.628.4037.7626.9717.18
Gamma HHI0.080.060.130.060.11
Net GEX5.3M-888.5K11.3M-360.0K6.7M
Net DEX-65.2M-183.1M111.4M111.4M-80.0M
Net VEX-3.6M-3.9M-3.3M-3.3M-3.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.990.102.491.800.39
Total Volume14,505.7146,19632,03916,02610,082
Total OI427,116396,126472,381396,126472,381

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-04-01$48.90$50.0048.9%15.3%87.9%49.1%56.3%16.4%-1.6%-360.0K111.4M-3.3M1.8026.975,73110,295209,600186,526
2020-04-02$49.60$50.0047.0%13.1%86.1%46.4%45.3%12.6%-0.9%-888.5K94.0M-3.3M1.9128.943,2676,252211,124190,879
2020-04-03$49.36$50.0047.3%12.9%85.9%46.8%45.0%18.0%-1.9%-429.4K97.5M-3.3M1.9235.932,7775,336212,882192,590
2020-04-06$51.27$50.0039.3%11.0%86.6%35.6%43.3%13.6%-1.6%521.0K17.2M-3.4M0.4537.766,5742,963207,757191,509
2020-04-07$51.58$50.0039.4%11.1%85.2%35.6%38.2%15.9%0.1%1.2M-8.8M-3.4M0.3526.618,1642,849212,396192,936
2020-04-08$52.16$50.0041.4%11.0%78.9%38.5%36.8%18.6%0.1%3.8M-56.8M-3.4M0.7930.407,3605,833215,348194,254
2020-04-09$53.51$50.0038.5%10.9%69.2%34.4%39.8%14.5%-2.0%6.7M-140.0M-3.5M1.4014.605,8048,126217,696196,573
2020-04-13$52.90$50.0038.5%11.0%50.3%34.4%37.3%12.7%-2.5%4.9M-84.4M-3.5M2.4913.022,4216,022217,006197,159
2020-04-14$53.99$50.0033.8%9.6%44.8%27.7%33.6%11.8%1.4%7.6M-150.0M-3.5M1.3915.968,50611,782218,029200,050
2020-04-15$53.31$50.0037.7%10.8%41.5%33.3%35.8%13.0%-4.4%6.7M-109.6M-3.5M2.0919.974,1308,613223,723201,990
2020-04-16$53.65$50.0036.8%10.7%37.6%32.0%37.3%11.5%-5.0%8.7M-130.6M-3.6M0.6911.013,6682,528226,611208,435
2020-04-17$54.42$50.0033.1%9.3%37.5%26.8%31.5%10.9%-0.8%10.4M-183.1M-3.6M0.108.4022,5462,161228,385209,332
2020-04-20$54.24$50.0036.3%10.2%36.8%31.2%37.6%8.9%-1.4%8.5M-162.4M-3.7M0.4725.3414,1536,661217,996189,056
2020-04-21$51.50$50.0041.3%11.7%41.9%38.3%40.3%11.1%-1.5%2.4M-17.1M-3.7M1.0018.879,0189,027225,380194,364
2020-04-22$52.42$50.0038.0%10.6%37.5%33.7%36.8%8.7%-1.4%3.7M-48.2M-3.8M0.879.684,7794,147228,620199,699
2020-04-23$52.07$50.0037.7%10.8%37.7%33.3%38.5%10.4%-0.6%1.7M-24.8M-3.7M0.3013.8824,5847,455231,550202,643
2020-04-24$52.83$50.0035.5%10.0%34.8%30.1%39.6%8.5%-0.0%9.0M-95.8M-3.9M0.5315.2012,0956,371254,217206,945
2020-04-27$53.43$50.0031.9%9.1%34.4%25.2%31.8%9.3%-0.1%9.3M-122.8M-3.8M0.4615.5713,7336,296251,592202,935
2020-04-28$53.41$50.0030.8%8.8%34.4%23.5%31.9%8.4%0.2%9.0M-114.9M-3.8M0.7513.506,8115,130254,476205,805
2020-04-29$54.09$50.0029.0%8.1%29.3%21.1%30.3%6.6%-0.1%11.3M-160.0M-3.8M0.5813.316,6793,891259,146209,841
2020-04-30$52.98$51.0031.3%8.7%30.7%24.3%30.8%8.7%0.3%6.7M-80.0M-3.8M0.3917.187,2292,853260,811211,570