ORCL Options History — December 2020

In December 2020, ORCL traded between $58.81 and $65.55. ATM implied volatility averaged 26.0%, placing in the 16.6% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 9.6% (HV 20d: 16.4%). Max pain ranged from $55.00 to $56.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 0.54.

Notable Days

  • 2020-12-11: Highest Volume — 69,131 contracts
  • 2020-12-11: Largest IV drop — 22.3% change
  • 2020-12-09: Highest IV Rank — 27.2%
  • 2020-12-02: Largest Expected Move — 10.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$62.24$58.81$65.55$58.81$64.56
Max Pain$55.09$55.00$56.00$56.00$55.00
ATM IV26.0%21.6%33.4%29.2%22.0%
Expected Move7.4%6.1%10.1%9.9%6.1%
HV 20d16.4%14.4%17.8%17.7%14.4%
HV 60d18.7%17.9%20.7%20.7%18.4%
IV Rank16.6%10.3%27.2%21.3%10.9%
IV Percentile32.8%11.5%72.6%50.4%11.5%
Term Structure-0.3%-2.3%1.7%0.2%0.2%
VWIV26.5%21.8%35.7%34.9%22.0%
Skew 25d0.7%-1.0%3.1%1.9%1.2%
Skew 10d1.1%-3.4%7.6%2.1%3.3%
Call IV 25d26.3%21.9%33.7%29.6%21.9%
Put IV 25d27.0%23.0%34.7%31.5%23.2%
Bid-Ask Spread %2.851.884.533.402.89
Gamma HHI0.150.090.320.090.12
Net GEX32.2M18.6M47.6M29.2M25.7M
Net DEX-639.1M-989.1M-390.0M-400.5M-693.8M
Net VEX-3.0M-3.2M-2.8M-3.2M-3.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.540.151.220.211.22
Total Volume31,328.1829,42469,13130,41013,336
Total OI569,473.045539,038623,346549,272561,959

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-12-01$58.81$56.0029.2%9.9%17.7%21.3%34.9%1.9%0.2%29.2M-400.5M-3.2M0.213.4025,0655,345285,515263,757
2020-12-02$59.09$56.0030.1%10.1%17.2%22.6%35.7%1.3%-0.2%30.5M-426.9M-3.2M0.723.115,4743,950290,083265,566
2020-12-03$59.24$55.0030.2%8.2%16.9%22.7%28.8%0.8%-0.8%33.0M-444.4M-3.2M0.312.9819,5196,135291,249266,556
2020-12-04$60.00$55.0030.0%8.2%17.3%22.4%28.9%0.1%0.1%40.3M-546.1M-3.2M0.452.1522,99110,321295,705269,700
2020-12-07$59.74$55.0030.8%8.5%17.5%23.5%29.9%-0.4%-1.3%21.0M-447.0M-3.1M0.702.7013,0899,208281,704268,245
2020-12-08$59.20$55.0032.5%8.7%17.8%25.9%31.1%-0.6%-1.6%18.6M-390.0M-3.2M0.703.0624,84417,280286,027272,167
2020-12-09$59.81$55.0033.4%8.9%17.3%27.2%31.4%0.7%-2.2%24.0M-489.5M-3.2M0.394.5320,8108,204308,882284,942
2020-12-10$59.60$55.0032.8%8.9%17.3%26.4%31.4%3.1%-2.3%22.9M-437.8M-3.2M0.782.8933,16726,029309,153287,938
2020-12-11$60.50$55.0025.5%7.2%16.6%16.1%24.9%1.3%-0.8%31.6M-557.2M-3.0M0.392.6049,70219,429321,971301,375
2020-12-14$60.91$55.0024.3%6.9%16.2%14.3%24.1%1.1%-0.6%32.0M-554.3M-2.9M0.332.2520,4696,683294,177280,446
2020-12-15$61.92$55.0023.6%6.7%16.8%13.4%24.1%1.2%0.2%38.3M-656.8M-2.9M0.392.5122,3708,632296,321281,818
2020-12-16$63.02$55.0023.4%6.7%17.4%12.8%23.7%0.5%-0.1%43.8M-784.0M-2.8M0.402.2132,02912,830296,604285,415
2020-12-17$63.83$55.0023.3%6.7%16.6%12.7%23.8%0.4%0.2%41.4M-869.8M-2.9M0.241.8837,1318,914302,076295,617
2020-12-18$64.77$55.0023.9%6.8%16.7%13.6%25.1%-1.0%-0.0%47.6M-989.1M-2.9M0.152.3654,8388,074308,659301,076
2020-12-21$64.60$55.0023.9%6.8%16.1%13.6%25.4%0.7%-0.2%32.9M-760.9M-3.1M0.623.4816,98810,541277,352261,686
2020-12-22$65.41$55.0022.7%6.4%16.1%11.9%23.2%-0.9%0.3%34.9M-847.4M-3.1M0.503.7322,33611,064281,588266,047
2020-12-23$65.55$55.0022.1%6.3%14.5%11.1%23.2%-0.1%1.7%35.3M-867.8M-3.1M0.452.4018,8198,486288,192272,846
2020-12-24$64.90$55.0021.6%6.2%15.2%10.3%23.3%0.9%0.3%46.1M-781.5M-3.1M0.493.029,6844,790294,279275,787
2020-12-28$64.88$55.0022.1%6.3%15.4%11.0%22.7%1.1%0.4%26.2M-736.2M-3.0M0.692.949,5466,617279,396267,510
2020-12-29$64.34$55.0021.8%6.1%15.7%10.7%21.8%0.7%0.3%26.2M-687.2M-3.0M0.742.846,8225,079282,669270,031
2020-12-30$64.51$55.0022.4%6.2%14.4%11.4%22.6%1.6%0.3%26.0M-691.7M-3.0M1.022.856,2396,341283,347272,974
2020-12-31$64.56$55.0022.0%6.1%14.4%10.9%22.0%1.2%0.2%25.7M-693.8M-3.0M1.222.896,0137,323285,360276,599