ORCL Options History — July 2020

In July 2020, ORCL traded between $54.94 and $57.57. ATM implied volatility averaged 24.6%, placing in the 14.8% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 1.8% (HV 20d: 22.8%). Max pain ranged from $52.50 to $55.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.39.

Notable Days

  • 2020-07-02: Highest Volume — 39,126 contracts
  • 2020-07-02: Largest IV drop — 10.3% change
  • 2020-07-13: Highest IV Rank — 19.1%
  • 2020-07-16: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$56.13$54.94$57.57$55.74$55.23
Max Pain$54.23$52.50$55.00$54.00$55.00
ATM IV24.6%21.7%27.7%26.5%22.9%
Expected Move6.9%6.2%7.7%7.4%6.3%
HV 20d22.8%13.6%36.4%36.4%13.6%
HV 60d26.6%24.7%28.7%28.7%24.8%
IV Rank14.8%10.7%19.1%17.5%12.4%
IV Percentile45.5%32.9%57.9%56.0%36.1%
Term Structure0.1%-0.9%0.9%0.5%-0.0%
VWIV24.0%21.7%27.3%25.7%21.9%
Skew 25d4.1%2.8%5.4%3.7%4.5%
Skew 10d8.1%5.5%10.4%6.6%8.7%
Call IV 25d23.2%20.5%26.7%25.5%21.4%
Put IV 25d27.3%24.5%30.7%29.2%25.9%
Bid-Ask Spread %7.415.2315.656.377.19
Gamma HHI0.150.090.730.220.10
Net GEX36.0M-5.4M271.1M63.4M10.4M
Net DEX-299.2M-530.4M-137.9M-396.2M-144.2M
Net VEX-3.5M-3.8M-3.2M-3.8M-3.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.390.100.920.140.59
Total Volume18,610.8646,52039,12623,78212,493
Total OI502,182.5440,418569,392566,338486,811

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-07-01$55.74$54.0026.5%7.4%36.4%17.5%25.7%3.7%0.5%63.4M-396.2M-3.8M0.146.3720,7783,004348,317218,021
2020-07-02$56.06$54.0023.8%6.4%35.8%13.7%22.8%2.8%-0.3%271.1M-484.9M-3.7M0.286.0730,5328,594350,374219,018
2020-07-06$56.65$52.5024.3%6.9%35.2%14.4%24.0%3.2%0.3%33.8M-413.3M-3.5M0.4113.8020,2148,268309,568215,378
2020-07-07$56.51$52.5025.6%7.1%34.6%16.3%24.5%3.3%-0.0%34.4M-400.8M-3.6M0.296.3510,1202,981312,682217,466
2020-07-08$56.58$52.5025.5%7.1%34.3%16.0%25.2%3.7%-0.2%35.4M-404.9M-3.6M0.246.305,8591,400313,017218,472
2020-07-09$57.57$52.5026.2%7.5%34.7%17.0%25.8%4.0%0.0%43.2M-530.4M-3.6M0.216.1628,3076,057313,057218,613
2020-07-10$57.36$52.5026.1%7.4%28.2%16.9%25.6%4.7%-0.1%41.0M-500.4M-3.6M0.3715.6514,2285,278312,680221,746
2020-07-13$57.50$52.5027.7%7.7%28.2%19.1%26.4%3.4%-0.4%38.1M-488.8M-3.5M0.1614.6024,5413,820305,827218,985
2020-07-14$57.06$55.0026.9%7.7%27.4%18.1%27.3%5.4%-0.0%30.8M-358.1M-3.6M0.345.7113,5334,611292,061221,153
2020-07-15$56.65$55.0026.7%7.4%26.4%17.8%25.8%5.4%-0.9%27.6M-304.4M-3.6M0.5110.4013,5166,856292,899222,453
2020-07-16$55.92$55.0026.8%7.7%19.2%17.9%25.5%4.2%0.3%17.6M-224.0M-3.5M0.105.3515,6901,600295,377225,533
2020-07-17$54.94$55.0024.7%7.0%16.0%15.0%24.4%3.8%-0.8%-5.4M-137.9M-3.3M0.536.8010,9355,802302,779226,123
2020-07-20$55.45$55.0023.4%6.7%16.1%13.2%23.2%4.4%0.2%14.8M-184.5M-3.2M0.175.6219,6933,417241,764198,654
2020-07-21$56.05$55.0023.9%6.9%15.3%13.8%22.7%4.5%-0.2%20.6M-241.4M-3.3M0.365.9613,2184,761250,029200,754
2020-07-22$56.06$55.0023.2%6.6%15.2%12.8%22.8%4.4%0.2%21.8M-235.9M-3.4M0.305.969,4482,798254,840203,996
2020-07-23$55.83$55.0023.7%6.8%14.5%13.5%23.0%4.7%0.3%20.3M-213.3M-3.4M0.336.7510,1803,355256,794205,111
2020-07-24$55.67$55.0023.2%6.6%14.0%12.9%22.3%4.1%0.3%17.0M-197.5M-3.4M0.696.177,4855,138261,350207,434
2020-07-27$55.52$55.0022.7%6.4%14.1%12.2%23.1%3.3%0.3%14.9M-198.4M-3.2M0.925.3910,5379,743254,050206,315
2020-07-28$55.44$55.0022.2%6.3%13.9%11.5%22.0%4.5%0.9%12.7M-168.8M-3.5M0.595.444,0992,421258,827214,248
2020-07-29$55.78$55.0021.7%6.2%13.9%10.7%21.7%4.9%0.6%15.1M-200.0M-3.4M0.195.2310,7382,068259,466214,577
2020-07-30$55.20$55.0023.4%6.7%13.8%13.2%23.1%4.5%0.7%12.6M-153.1M-3.4M0.785.866,3784,945265,468215,928
2020-07-31$55.23$55.0022.9%6.3%13.6%12.4%21.9%4.5%-0.0%10.4M-144.2M-3.4M0.597.197,8584,635266,806220,005