ORCL Options History — June 2020

In June 2020, ORCL traded between $51.52 and $55.56. ATM implied volatility averaged 33.1%, placing in the 26.7% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded above realized volatility by 4.4% (HV 20d: 28.7%). Max pain ranged from $52.50 to $53.50. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 0.27.

Notable Days

  • 2020-06-23: Highest Volume — 233,977 contracts
  • 2020-06-17: Largest IV drop — 15.2% change
  • 2020-06-12: Highest IV Rank — 38.6%
  • 2020-06-11: Largest Expected Move — 11.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$53.84$51.52$55.56$53.06$55.10
Max Pain$52.68$52.50$53.50$52.50$53.50
ATM IV33.1%26.8%41.5%33.9%26.8%
Expected Move9.4%7.6%11.8%10.0%7.6%
HV 20d28.7%19.2%36.6%19.2%36.4%
HV 60d37.0%29.6%53.2%53.2%29.6%
IV Rank26.7%17.9%38.6%27.9%17.9%
IV Percentile75.0%56.3%90.5%82.1%56.3%
Term Structure-1.0%-3.4%1.0%-1.5%-0.1%
VWIV32.3%26.3%39.0%35.2%26.3%
Skew 25d5.2%1.0%8.0%6.9%4.4%
Skew 10d10.2%1.2%18.5%14.7%8.3%
Call IV 25d31.2%25.0%39.7%30.5%25.0%
Put IV 25d36.4%29.4%46.0%37.4%29.4%
Bid-Ask Spread %16.514.1449.5547.876.35
Gamma HHI0.120.090.180.120.15
Net GEX22.6M-8.5M44.6M9.1M44.6M
Net DEX-199.9M-336.3M87.1M-59.5M-304.8M
Net VEX-3.7M-4.1M-3.3M-3.3M-3.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.270.070.700.540.20
Total Volume73,895.7278,630233,9778,63025,148
Total OI582,396.591471,215719,550509,055567,509

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-06-01$53.06$52.5033.9%10.0%19.2%27.9%35.2%6.9%-1.5%9.1M-59.5M-3.3M0.5447.875,6183,012282,946226,109
2020-06-02$52.95$52.5033.3%9.6%19.3%27.1%33.3%5.9%-2.3%9.9M-76.0M-3.4M0.3145.968,4132,584287,047227,760
2020-06-03$53.52$52.5032.3%9.8%19.4%25.6%34.4%6.8%-1.8%16.1M-139.7M-3.4M0.4149.5518,6127,596291,656229,593
2020-06-04$52.65$52.5033.0%9.2%20.4%26.7%30.9%7.2%-3.4%8.2M-47.2M-3.4M0.2519.4528,2987,104302,425234,725
2020-06-05$53.81$52.5032.8%8.5%21.3%26.3%29.3%6.0%-1.1%20.9M-186.1M-3.6M0.3618.7443,80815,867322,034236,323
2020-06-08$54.93$52.5034.5%9.6%21.5%28.8%33.1%4.8%-0.8%25.2M-331.9M-3.7M0.0722.28123,6028,769311,683241,812
2020-06-09$54.27$52.5035.7%9.8%22.0%30.5%33.7%4.8%-1.6%39.5M-327.5M-3.8M0.1113.9743,7624,768354,327243,061
2020-06-10$54.25$52.5035.4%9.4%20.1%30.1%32.9%4.6%-3.1%42.8M-322.4M-3.8M0.2315.5628,8406,735359,913245,465
2020-06-11$51.52$52.5040.5%11.8%26.9%37.2%39.0%5.7%0.8%10.1M-4.5M-3.7M0.2818.0134,4829,767365,893250,012
2020-06-12$51.73$52.5041.5%11.4%25.5%38.6%37.5%7.0%-2.7%6.5M13.6M-3.7M0.3632.6026,1329,390366,923252,225
2020-06-15$53.11$52.5040.1%11.4%27.0%36.6%37.5%8.0%-2.5%16.4M-142.6M-3.7M0.2712.6939,89210,710340,014249,412
2020-06-16$54.51$52.5038.1%10.8%28.6%33.8%37.7%5.7%-1.3%29.1M-335.2M-3.7M0.467.09121,16156,306355,170252,846
2020-06-17$51.89$52.5032.3%9.3%33.3%25.6%33.0%5.6%-0.2%-8.5M87.1M-3.3M0.704.3077,97454,894393,091286,702
2020-06-18$53.88$52.5029.9%8.6%35.9%22.3%30.4%5.0%0.5%24.9M-204.3M-3.5M0.324.1476,77724,792407,882285,132
2020-06-19$54.25$52.5028.4%8.1%35.8%20.1%28.5%5.1%1.0%17.7M-242.9M-3.6M0.415.5436,71415,073433,540286,010
2020-06-22$55.24$52.5028.3%8.0%36.3%20.0%27.8%4.9%-1.0%21.2M-261.8M-3.5M0.136.3060,5838,039267,410203,805
2020-06-23$55.56$52.5029.1%8.3%36.3%21.1%29.1%2.2%-0.0%27.0M-336.0M-3.7M0.095.50214,41719,560284,789207,673
2020-06-24$54.86$52.5031.4%9.2%36.6%24.4%32.7%1.0%0.2%29.7M-336.3M-4.1M0.106.58138,44313,364353,362215,968
2020-06-25$54.33$53.5030.5%8.7%36.6%23.2%29.5%3.7%-1.0%35.1M-290.2M-4.1M0.075.6592,7006,129395,843220,950
2020-06-26$54.36$53.5030.5%8.8%36.6%23.2%30.2%4.5%0.2%32.5M-271.4M-4.0M0.226.1236,4687,928380,614221,742
2020-06-29$54.75$53.5029.0%8.4%36.4%21.1%28.2%4.0%0.0%39.1M-278.3M-3.8M0.159.0544,7376,738356,148215,181
2020-06-30$55.10$53.5026.8%7.6%36.4%17.9%26.3%4.4%-0.1%44.6M-304.8M-3.8M0.206.3520,9844,164349,383218,126