ORCL Options History — May 2020

In May 2020, ORCL traded between $51.55 and $53.76. ATM implied volatility averaged 32.0%, placing in the 25.3% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded above realized volatility by 5.3% (HV 20d: 26.7%). Max pain ranged from $51.50 to $52.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 0.69.

Notable Days

  • 2020-05-04: Highest Volume — 29,100 contracts
  • 2020-05-20: Largest IV spike — 20.7% change
  • 2020-05-20: Highest IV Rank — 36.4%
  • 2020-05-20: Largest Expected Move — 11.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$52.71$51.55$53.76$51.72$53.58
Max Pain$52.45$51.50$52.50$51.50$52.50
ATM IV32.0%25.5%39.9%33.3%33.4%
Expected Move9.8%8.7%11.4%9.8%9.3%
HV 20d26.7%20.9%32.0%32.0%20.9%
HV 60d56.8%54.3%57.9%57.2%54.3%
IV Rank25.3%16.1%36.4%27.0%27.2%
IV Percentile77.9%55.6%88.9%83.3%81.0%
Term Structure0.9%-9.9%9.5%0.1%-0.7%
VWIV34.5%30.9%38.0%33.1%32.4%
Skew 25d7.9%4.5%13.9%7.2%6.0%
Skew 10d14.1%-0.6%25.3%20.3%15.4%
Call IV 25d28.8%25.0%33.3%30.2%30.9%
Put IV 25d36.7%29.5%40.2%37.4%36.9%
Bid-Ask Spread %50.9311.2965.2011.2960.97
Gamma HHI0.090.080.110.100.10
Net GEX8.5M1.2M18.6M1.5M18.6M
Net DEX-68.7M-168.9M27.3M2.1M-151.3M
Net VEX-3.7M-3.9M-3.5M-3.8M-3.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.690.092.330.350.89
Total Volume14,963.356,73229,10021,66715,283
Total OI496,502.8465,681525,120478,785517,578

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-05-01$51.72$51.5033.3%9.8%32.0%27.0%33.1%7.2%0.1%1.5M2.1M-3.8M0.3511.2916,0895,578265,365213,420
2020-05-04$51.72$52.5033.6%10.3%31.9%27.5%38.0%9.0%-1.4%4.0M3.8M-3.8M0.9158.5515,19913,901259,799213,443
2020-05-05$52.09$52.5030.8%10.1%29.1%23.6%36.6%8.4%-9.6%5.7M-24.9M-3.8M0.4765.206,4573,022272,515218,665
2020-05-06$51.91$52.5032.1%10.4%29.0%25.3%33.5%8.3%1.3%3.8M-1.7M-3.8M0.2860.095,3721,499276,180220,632
2020-05-07$52.59$52.5031.0%9.9%29.1%23.9%32.8%7.7%0.7%5.2M-57.2M-3.8M1.9857.282,8705,680278,248221,723
2020-05-08$53.59$52.5029.1%9.3%28.4%21.2%33.0%7.4%0.8%13.6M-136.3M-3.8M0.4359.0913,0705,680279,273223,302
2020-05-11$53.70$52.5025.5%9.2%28.1%16.1%30.9%4.5%9.5%14.3M-154.7M-3.7M0.4055.288,0673,226282,150220,579
2020-05-12$52.44$52.5029.3%9.3%28.4%21.5%36.9%10.2%3.9%7.6M-55.8M-3.7M2.3359.595,76313,431286,030220,716
2020-05-13$51.55$52.5030.4%10.2%28.7%23.0%36.1%7.6%6.4%1.2M27.3M-3.6M1.3548.277,2429,761287,450227,387
2020-05-14$52.80$52.5030.6%10.1%30.0%23.3%34.9%7.0%6.4%7.4M-79.2M-3.9M0.3357.7211,4003,805289,370231,177
2020-05-15$53.35$52.5029.1%9.9%29.8%21.1%34.6%5.7%9.2%11.4M-140.4M-3.7M0.6158.1511,8247,201293,405231,715
2020-05-18$53.31$52.5030.4%9.0%29.7%23.0%32.3%9.2%1.1%8.5M-100.0M-3.7M0.6240.585,9343,691246,716218,965
2020-05-19$52.52$52.5033.1%9.7%23.6%26.8%35.2%8.2%0.9%5.9M-33.2M-3.7M0.6247.798,5175,260248,718219,230
2020-05-20$52.84$52.5039.9%11.4%22.9%36.4%33.6%8.6%-9.9%8.2M-64.1M-3.7M0.1847.1419,0793,366252,123221,824
2020-05-21$52.36$52.5034.3%9.8%23.0%28.4%35.2%13.9%0.7%8.2M-34.6M-3.7M0.4045.144,8151,917268,513223,383
2020-05-22$52.50$52.5034.3%9.8%22.4%28.5%34.3%6.9%-0.1%8.0M-48.8M-3.7M0.0942.1514,4261,228270,589224,366
2020-05-26$52.84$52.5034.1%9.9%22.1%28.2%35.3%7.8%-0.1%8.3M-69.6M-3.6M0.2847.948,0892,257274,001223,053
2020-05-27$53.05$52.5034.9%10.0%22.2%29.3%35.6%7.5%-1.0%10.0M-86.5M-3.5M0.9938.375,4155,352276,587223,839
2020-05-28$53.76$52.5031.1%8.7%22.2%24.0%34.8%6.8%0.0%18.3M-168.9M-3.6M0.3758.0513,4955,006281,014227,013
2020-05-29$53.58$52.5033.4%9.3%20.9%27.2%32.4%6.0%-0.7%18.6M-151.3M-3.6M0.8960.978,0957,188288,845228,733