ORCL Options History — November 2020

In November 2020, ORCL traded between $55.94 and $57.83. ATM implied volatility averaged 29.1%, placing in the 21.2% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded above realized volatility by 8.9% (HV 20d: 20.2%). Max pain ranged from $55.00 to $57.50. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.67.

Notable Days

  • 2020-11-30: Highest Volume — 45,189 contracts
  • 2020-11-12: Largest IV spike — 30.3% change
  • 2020-11-02: Highest IV Rank — 26.6%
  • 2020-11-30: Largest Expected Move — 10.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$56.83$55.94$57.83$56.17$57.50
Max Pain$55.45$55.00$57.50$57.50$56.00
ATM IV29.1%24.8%33.0%33.0%31.6%
Expected Move8.9%7.9%10.4%9.9%10.4%
HV 20d20.2%15.7%22.2%21.2%16.1%
HV 60d22.3%20.5%22.8%22.6%20.5%
IV Rank21.2%15.1%26.6%26.6%24.6%
IV Percentile51.2%27.4%70.2%70.2%63.9%
Term Structure0.1%-2.1%5.0%1.3%-0.8%
VWIV31.6%27.8%36.7%34.7%36.7%
Skew 25d2.8%-0.0%7.7%5.1%1.2%
Skew 10d6.2%2.9%12.5%12.4%2.9%
Call IV 25d28.6%23.9%31.5%30.6%31.5%
Put IV 25d31.4%26.5%35.7%35.7%32.7%
Bid-Ask Spread %5.652.7415.024.783.31
Gamma HHI0.080.070.100.070.10
Net GEX6.3M-2.0M16.3M4.0M12.0M
Net DEX-118.4M-288.5M-627.4K-39.6M-232.8M
Net VEX-3.4M-3.8M-3.1M-3.8M-3.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.670.261.110.650.26
Total Volume17,151.5510,85345,18916,84645,189
Total OI566,170.75517,522601,451559,350532,388

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-11-02$56.17$57.5033.0%9.9%21.2%26.6%34.7%5.1%1.3%4.0M-39.6M-3.8M0.654.7810,2156,631293,114266,236
2020-11-03$56.95$57.5030.3%9.3%22.0%22.9%34.5%2.9%1.2%6.6M-116.2M-3.7M1.073.517,7238,255293,114266,236
2020-11-04$56.60$57.5026.5%7.9%20.6%17.5%27.8%2.9%0.6%5.6M-77.2M-3.6M1.004.097,2067,231296,426272,899
2020-11-05$56.59$55.0027.3%8.7%20.5%18.6%30.8%2.8%1.8%5.1M-72.1M-3.5M0.5515.028,2104,492297,708274,514
2020-11-06$56.90$55.0025.6%8.5%20.6%16.3%30.2%2.6%2.1%-2.0M-98.8M-3.5M0.394.599,1933,613299,824276,019
2020-11-09$57.30$55.0028.7%8.2%20.6%20.6%30.6%7.7%-1.6%7.1M-148.3M-3.4M0.679.8011,4867,675295,241268,913
2020-11-10$56.60$55.0028.1%8.7%20.8%19.8%31.9%-0.0%1.0%3.7M-76.3M-3.5M0.476.1010,7325,034300,879272,265
2020-11-11$57.09$55.0024.8%8.5%21.2%15.1%31.5%2.9%4.2%8.0M-123.9M-3.5M0.692.748,3195,747305,808273,484
2020-11-12$56.25$55.0032.3%9.0%21.4%25.6%30.9%6.1%-0.4%1.1M-41.1M-3.4M0.506.8614,2037,063307,691275,018
2020-11-13$57.03$55.0027.2%8.6%22.2%18.5%30.9%2.8%5.0%4.6M-127.0M-3.4M0.7812.717,3745,742311,678278,822
2020-11-16$56.98$55.0028.5%8.4%22.0%20.3%30.2%2.8%-0.9%6.9M-113.5M-3.3M0.595.166,8434,010305,579274,647
2020-11-17$57.01$55.0029.6%8.5%21.8%21.8%30.2%3.1%-1.4%8.2M-123.2M-3.3M1.072.847,7228,242308,415275,552
2020-11-18$56.44$55.0030.2%8.6%22.0%22.7%30.7%1.9%-1.3%2.4M-56.7M-3.2M0.646.047,8745,069310,457278,763
2020-11-19$56.38$55.0030.2%8.7%22.0%22.8%31.9%1.5%-1.4%2.2M-49.7M-3.3M1.115.368,5899,558313,871279,856
2020-11-20$55.94$55.0030.3%8.9%21.9%22.9%31.1%2.4%-2.1%-920.2K-627.4K-3.2M0.995.8810,48810,344315,408286,043
2020-11-23$56.07$55.0029.8%8.9%15.7%22.1%31.2%2.3%-1.1%4.8M-94.6M-3.1M0.473.8610,9485,103262,346255,176
2020-11-24$57.61$55.0029.4%9.0%18.6%21.6%31.4%1.4%-1.5%14.4M-253.7M-3.2M0.394.6817,0776,597267,978258,209
2020-11-25$57.38$55.0028.9%9.0%16.3%20.9%32.0%2.0%-1.4%15.7M-235.0M-3.2M0.612.826,8414,165273,794260,664
2020-11-27$57.83$55.5029.8%9.5%16.3%22.1%33.7%1.6%-1.8%16.3M-288.5M-3.2M0.612.847,5924,636275,580262,800
2020-11-30$57.50$56.0031.6%10.4%16.1%24.6%36.7%1.2%-0.8%12.0M-232.8M-3.2M0.263.3135,8559,334271,682260,706