ORCL Options History — August 2020

In August 2020, ORCL traded between $53.94 and $57.82. ATM implied volatility averaged 29.5%, placing in the 21.8% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 16.2% (HV 20d: 13.3%). Max pain ranged from $52.50 to $55.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.48.

Notable Days

  • 2020-08-27: Highest Volume — 242,570 contracts
  • 2020-08-27: Largest IV spike — 16.3% change
  • 2020-08-31: Highest IV Rank — 33.0%
  • 2020-08-27: Largest Expected Move — 11.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$55.56$53.94$57.82$55.94$57.26
Max Pain$54.17$52.50$55.00$55.00$55.00
ATM IV29.5%22.0%37.5%23.3%37.5%
Expected Move8.7%6.0%11.5%6.3%11.2%
HV 20d13.3%9.2%16.4%13.9%16.1%
HV 60d23.7%23.0%24.8%24.8%23.5%
IV Rank21.8%11.2%33.0%13.0%33.0%
IV Percentile61.8%32.9%83.7%38.5%83.7%
Term Structure0.4%-6.2%6.3%5.6%-6.2%
VWIV31.1%21.0%42.1%22.4%41.1%
Skew 25d4.1%-0.6%11.2%5.1%0.8%
Skew 10d8.2%-3.3%23.1%11.1%4.4%
Call IV 25d28.2%20.2%38.5%21.7%36.7%
Put IV 25d32.2%24.5%38.0%26.8%37.5%
Bid-Ask Spread %6.443.4613.617.096.79
Gamma HHI0.100.080.130.110.12
Net GEX16.0M-3.5M35.7M15.6M32.5M
Net DEX-196.2M-550.9M36.8M-207.5M-451.4M
Net VEX-3.5M-4.1M-3.1M-3.4M-4.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.480.121.640.620.12
Total Volume55,712.0958,799242,57012,56261,437
Total OI540,347.429475,716646,473475,716630,094

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-08-03$55.94$55.0023.3%6.3%13.9%13.0%22.4%5.1%5.6%15.6M-207.5M-3.4M0.627.097,7724,790256,169219,547
2020-08-04$55.80$55.0022.1%6.0%13.9%11.3%21.0%4.6%6.2%14.4M-183.8M-3.4M0.735.286,6974,859259,401222,668
2020-08-05$55.48$55.0022.0%6.0%14.0%11.2%21.4%4.7%4.9%13.7M-158.7M-3.3M0.885.274,6724,127263,641224,611
2020-08-06$55.25$52.5023.1%8.1%12.2%12.7%28.6%4.6%6.3%9.9M-125.6M-3.3M0.716.998,0325,690265,201226,168
2020-08-07$55.08$52.5024.7%8.4%12.2%15.0%29.0%3.4%5.5%12.0M-122.4M-3.3M0.308.1311,2243,317268,641226,181
2020-08-10$54.95$52.5027.5%8.4%12.1%18.8%27.8%10.6%-0.5%6.9M-102.8M-3.3M0.3913.619,9653,846260,207224,690
2020-08-11$54.36$52.5029.9%8.6%12.3%22.3%29.9%7.6%-0.5%3.1M-49.5M-3.3M0.484.988,0623,839265,000227,047
2020-08-12$54.19$52.5030.0%7.9%12.2%22.4%28.1%7.3%-1.1%1.5M-38.5M-3.1M0.158.4412,1171,814267,816228,850
2020-08-13$54.05$52.5027.8%8.1%11.5%19.3%29.5%11.2%1.0%2.1M-25.5M-3.2M1.476.2120,49430,207268,449229,051
2020-08-14$54.12$52.5029.2%7.9%9.9%21.3%31.0%5.7%-3.0%4.5M-16.9M-3.3M1.644.017,00311,490277,054242,645
2020-08-17$53.94$55.0027.4%7.9%9.2%18.8%28.2%4.6%-0.1%-3.5M36.8M-3.2M0.605.206,3803,817272,044254,024
2020-08-18$55.11$55.0030.4%8.8%11.6%23.0%31.1%2.4%-1.0%9.8M-123.8M-3.5M0.135.86152,44919,482274,261253,936
2020-08-19$56.05$55.0031.6%9.1%13.2%24.7%32.2%0.7%-0.9%29.7M-296.1M-3.6M0.277.52105,12128,424316,907260,629
2020-08-20$55.38$55.0032.8%9.5%13.8%26.4%33.6%3.0%-1.3%20.8M-186.7M-3.7M0.166.3183,41313,676340,566267,357
2020-08-21$55.24$55.0031.2%9.1%13.8%24.1%32.1%2.6%-1.6%19.0M-175.3M-3.7M0.308.0528,9218,613375,296271,177
2020-08-24$55.98$55.0032.4%9.6%14.6%25.8%34.5%3.4%-0.7%22.2M-239.5M-3.7M0.304.7524,2607,314309,340247,338
2020-08-25$56.11$55.0031.7%9.6%14.6%24.8%34.1%3.4%-0.5%24.0M-247.4M-3.7M0.286.6622,9206,425311,798252,841
2020-08-26$57.36$55.0032.1%10.0%16.4%25.4%35.5%0.5%-1.2%35.7M-411.1M-3.8M0.186.1063,30411,636314,164256,512
2020-08-27$57.25$55.0037.3%11.5%15.8%32.7%42.1%-0.5%-0.5%31.6M-443.2M-4.0M0.143.46213,13829,432323,288261,807
2020-08-28$57.82$55.0036.2%11.0%16.1%31.1%40.6%-0.6%-1.2%30.0M-550.9M-4.1M0.164.5194,80014,975355,025275,855
2020-08-31$57.26$55.0037.5%11.2%16.1%33.0%41.1%0.8%-6.2%32.5M-451.4M-4.0M0.126.7954,9356,502358,760271,334