ORCL Options History — January 2021

In January 2021, ORCL traded between $60.45 and $63.81. ATM implied volatility averaged 23.9%, placing in the 12.1% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 10.0% (HV 20d: 13.9%). Max pain ranged from $60.00 to $61.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 0.42.

Notable Days

  • 2021-01-29: Highest Volume — 75,431 contracts
  • 2021-01-29: Largest IV spike — 16.4% change
  • 2021-01-29: Highest IV Rank — 17.5%
  • 2021-01-27: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$62.05$60.45$63.81$63.81$60.45
Max Pain$60.05$60.00$61.00$60.00$60.00
ATM IV23.9%22.1%30.0%24.0%30.0%
Expected Move6.8%6.3%8.3%6.7%8.2%
HV 20d13.9%10.1%16.3%15.5%14.5%
HV 60d17.6%15.7%18.5%18.2%16.2%
IV Rank12.1%9.1%17.5%13.8%17.5%
IV Percentile19.0%8.7%52.0%21.4%52.0%
Term Structure-0.2%-1.1%0.5%-0.4%-1.1%
VWIV24.6%21.9%37.8%24.1%37.8%
Skew 25d1.4%0.7%2.4%1.8%0.7%
Skew 10d3.3%0.8%9.5%3.1%9.5%
Call IV 25d24.0%21.9%30.2%24.0%30.2%
Put IV 25d25.4%23.1%31.3%25.8%30.8%
Bid-Ask Spread %6.622.3423.102.6419.07
Gamma HHI0.100.070.140.120.07
Net GEX17.7M6.6M27.2M24.6M10.7M
Net DEX-278.1M-604.9M-136.9M-604.9M-139.6M
Net VEX-3.2M-3.6M-2.9M-2.9M-3.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.420.161.150.450.20
Total Volume27,284.94711,34375,43123,65775,431
Total OI439,477.105299,956547,434540,079365,791

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-01-04$63.81$60.0024.0%6.7%15.5%13.8%24.1%1.8%-0.4%24.6M-604.9M-2.9M0.452.6416,3037,354278,206261,873
2021-01-05$63.05$60.0023.0%6.6%16.1%12.3%23.5%1.5%0.1%22.6M-509.8M-3.0M0.163.0046,6487,441277,926263,805
2021-01-06$62.59$60.0023.5%6.6%16.3%13.0%22.7%2.0%-0.5%20.2M-310.9M-3.0M0.614.4111,0046,714253,675264,585
2021-01-07$63.32$60.0022.1%6.3%16.0%11.0%21.9%1.3%0.1%25.2M-388.0M-3.0M0.602.347,0894,254258,695268,313
2021-01-08$63.32$60.0022.3%6.4%15.8%11.3%23.8%0.9%0.2%27.2M-385.5M-3.0M0.4211.679,3153,883260,615269,821
2021-01-11$63.00$60.0023.2%6.6%15.9%12.5%23.2%1.7%-0.2%23.2M-316.5M-3.0M0.2910.7113,0063,779251,724265,219
2021-01-12$62.58$60.0023.1%6.5%15.6%12.5%23.9%1.9%-0.5%24.3M-286.7M-3.0M0.523.2411,3935,969258,632267,730
2021-01-13$62.18$60.0022.5%6.4%15.7%11.7%23.1%1.1%-0.2%23.3M-238.7M-3.0M0.392.7313,1235,164259,378269,918
2021-01-14$61.75$60.0023.0%6.4%14.8%12.3%23.0%1.7%-1.1%19.8M-218.2M-2.9M0.722.6215,18110,892260,929273,341
2021-01-15$61.74$60.0022.8%6.5%13.3%12.0%22.4%1.5%-0.6%6.6M-200.3M-3.1M0.162.6015,6452,541267,194280,240
2021-01-19$61.42$60.0022.3%6.4%12.3%11.3%22.9%1.4%0.3%11.0M-177.8M-3.0M1.152.7215,21417,441166,462133,494
2021-01-20$61.68$60.0022.1%6.3%10.9%9.1%22.2%1.3%0.4%12.3M-198.3M-3.1M0.292.8915,6264,590173,669141,310
2021-01-21$61.34$61.0023.0%6.6%11.0%10.4%23.6%0.9%0.3%11.7M-178.1M-3.2M0.192.6419,3603,618178,656143,509
2021-01-22$60.49$60.0023.3%6.7%10.1%10.3%23.5%1.3%0.3%9.0M-136.9M-3.2M0.333.1328,4719,423190,122145,771
2021-01-25$60.65$60.0024.7%7.1%10.2%11.2%25.1%0.8%0.5%11.6M-159.9M-3.3M0.562.8313,1167,372189,431147,525
2021-01-26$61.94$60.0025.2%7.1%13.2%10.9%25.2%1.0%-0.5%16.8M-282.4M-3.4M0.412.8621,4308,844192,614152,061
2021-01-27$62.24$60.0028.5%8.3%13.4%15.8%29.0%2.4%0.4%18.3M-313.3M-3.6M0.2320.6534,1637,873200,052154,689
2021-01-28$61.43$60.0025.8%7.3%13.8%11.6%26.4%0.8%-0.5%18.3M-237.4M-3.6M0.2723.1015,5764,168205,410157,680
2021-01-29$60.45$60.0030.0%8.2%14.5%17.5%37.8%0.7%-1.1%10.7M-139.6M-3.6M0.2019.0762,84312,588206,437159,354