ORCL Options History — September 2020

In September 2020, ORCL traded between $55.64 and $60.99. ATM implied volatility averaged 33.6%, placing in the 27.5% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded above realized volatility by 7.0% (HV 20d: 26.5%). Max pain ranged from $55.00 to $58.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.32.

Notable Days

  • 2020-09-14: Highest Volume — 325,559 contracts
  • 2020-09-11: Largest IV drop — 19.0% change
  • 2020-09-04: Highest IV Rank — 41.0%
  • 2020-09-02: Largest Expected Move — 12.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$58.94$55.64$60.99$57.72$59.70
Max Pain$56.48$55.00$58.00$55.00$58.00
ATM IV33.6%26.1%43.1%38.1%26.1%
Expected Move9.5%7.0%12.6%11.7%7.0%
HV 20d26.5%16.2%30.0%16.2%28.7%
HV 60d21.2%19.6%24.8%23.1%20.4%
IV Rank27.5%17.0%41.0%33.8%17.0%
IV Percentile70.0%45.6%90.9%85.3%45.6%
Term Structure-0.1%-6.3%4.9%-1.2%2.7%
VWIV34.5%25.3%45.4%43.0%25.3%
Skew 25d0.2%-3.7%3.1%0.7%0.4%
Skew 10d-1.4%-18.7%14.3%-0.1%0.6%
Call IV 25d34.7%26.7%45.5%38.5%26.8%
Put IV 25d34.9%27.2%46.4%39.2%27.2%
Bid-Ask Spread %8.023.2033.834.335.25
Gamma HHI0.110.070.230.120.12
Net GEX35.8M7.3M56.1M38.2M34.0M
Net DEX-556.2M-909.5M-217.7M-512.6M-486.8M
Net VEX-4.1M-4.5M-3.6M-4.2M-4.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.320.080.950.160.31
Total Volume94,058.1913,789325,55966,03029,061
Total OI670,801.19599,698804,851645,860633,180

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-09-01$57.72$55.0038.1%11.7%16.2%33.8%43.0%0.7%-1.2%38.2M-512.6M-4.2M0.164.3357,0079,023367,067278,793
2020-09-02$59.26$55.0038.7%12.6%18.1%34.7%45.4%0.4%-1.0%55.7M-750.7M-4.3M0.085.1478,3316,381372,782282,526
2020-09-03$57.15$55.0041.9%11.1%22.9%39.1%39.8%0.9%-0.7%27.2M-409.3M-4.2M0.3013.1235,96210,970371,247284,790
2020-09-04$56.07$55.0043.1%11.6%24.0%41.0%41.3%0.9%-2.1%7.3M-247.4M-4.1M0.9515.8135,68233,829367,178286,084
2020-09-08$55.64$55.0041.3%11.3%24.1%38.4%40.1%1.1%-2.1%9.5M-217.7M-4.0M0.255.2330,7417,567326,283273,415
2020-09-09$57.17$55.0037.7%10.6%25.5%33.3%38.8%3.1%-6.3%20.0M-403.4M-3.9M0.416.3632,96613,354342,527277,304
2020-09-10$57.16$55.0039.4%11.2%25.4%35.7%38.9%1.1%-0.3%20.0M-400.7M-3.9M0.4412.5078,86434,549349,779283,132
2020-09-11$57.33$55.0031.9%8.9%25.3%25.1%33.3%-1.8%-1.5%31.4M-419.2M-3.6M0.295.03158,80446,704361,537304,095
2020-09-14$59.70$55.0033.8%9.5%28.6%27.8%35.0%-1.5%0.0%35.6M-673.3M-3.7M0.253.43260,88664,673343,315280,572
2020-09-15$60.99$57.5033.6%9.6%29.0%27.6%35.4%-2.0%1.0%47.1M-909.5M-4.5M0.1621.73172,56626,868408,012311,703
2020-09-16$60.69$57.5032.4%9.3%28.7%25.9%34.2%-3.7%4.9%55.8M-881.6M-4.2M0.3233.8377,24025,092438,111317,438
2020-09-17$59.95$57.5033.3%9.5%28.9%27.1%35.6%-1.4%0.7%51.7M-775.0M-4.2M0.326.7781,07225,907457,301326,468
2020-09-18$59.78$57.5029.7%8.5%28.4%22.0%32.9%-1.5%-0.6%56.1M-732.4M-4.1M0.273.59103,77828,040474,610330,241
2020-09-21$60.75$57.5031.8%9.1%28.7%25.0%33.7%0.4%-0.3%43.7M-699.7M-4.3M0.203.68133,69026,519397,501241,164
2020-09-22$60.72$57.5028.9%8.2%28.5%20.9%30.0%0.3%0.6%50.6M-690.0M-4.1M0.283.8850,61914,313418,714251,518
2020-09-23$59.42$57.5030.6%8.7%30.0%23.3%31.2%1.2%-0.5%34.9M-495.0M-4.2M0.503.8935,53117,759426,755257,959
2020-09-24$59.35$57.5030.7%8.7%29.1%23.4%30.6%2.0%-0.7%33.0M-477.2M-4.2M0.234.3536,9858,599428,638260,141
2020-09-25$59.83$57.5028.2%7.8%29.2%19.9%28.1%1.0%0.1%35.0M-540.1M-4.2M0.433.6226,70511,564435,019260,386
2020-09-28$59.66$57.5026.9%7.3%29.1%18.0%25.8%1.4%2.2%32.5M-484.1M-4.1M0.263.7026,3806,852381,313247,006
2020-09-29$59.61$58.0026.6%7.4%28.8%17.7%26.4%1.5%2.2%32.6M-475.5M-4.0M0.343.2010,2663,523382,635248,586
2020-09-30$59.70$58.0026.1%7.0%28.7%17.0%25.3%0.4%2.7%34.0M-486.8M-4.0M0.315.2522,1956,866383,560249,620