ORCL Options History — February 2021

In February 2021, ORCL traded between $61.27 and $65.34. ATM implied volatility averaged 29.3%, placing in the 13.2% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 9.3% (HV 20d: 20.1%). Max pain ranged from $60.00 to $60.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 0.38.

Notable Days

  • 2021-02-22: Highest Volume — 70,030 contracts
  • 2021-02-02: Largest IV drop — 9.4% change
  • 2021-02-26: Highest IV Rank — 18.9%
  • 2021-02-25: Largest Expected Move — 10.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$63.22$61.27$65.34$61.72$64.83
Max Pain$60.00$60.00$60.00$60.00$60.00
ATM IV29.3%23.9%33.6%28.5%33.6%
Expected Move8.6%6.5%10.2%8.0%9.8%
HV 20d20.1%16.8%26.7%16.8%25.6%
HV 60d17.5%16.5%20.1%16.5%19.5%
IV Rank13.2%6.9%18.9%14.4%18.9%
IV Percentile48.1%17.9%73.8%41.3%73.8%
Term Structure0.8%-4.1%6.8%2.8%-4.1%
VWIV30.8%24.3%35.8%29.8%34.6%
Skew 25d0.8%-3.0%9.0%0.4%0.5%
Skew 10d1.3%-16.4%10.6%3.0%-3.3%
Call IV 25d30.4%24.5%37.0%30.0%32.8%
Put IV 25d31.2%24.7%38.8%30.5%33.3%
Bid-Ask Spread %15.584.6942.399.7042.39
Gamma HHI0.090.070.170.080.09
Net GEX21.8M7.1M31.6M17.2M18.5M
Net DEX-382.9M-535.6M-197.5M-253.3M-490.9M
Net VEX-3.6M-3.8M-3.4M-3.6M-3.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.380.140.690.160.43
Total Volume26,365.42111,46170,03022,92734,865
Total OI409,890.632359,372432,978386,227420,891

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-02-01$61.72$60.0028.5%8.0%16.8%14.4%29.8%0.4%2.8%17.2M-253.3M-3.6M0.169.7019,8033,124224,860161,367
2021-02-02$62.66$60.0025.8%7.1%17.5%10.3%25.9%-0.1%4.0%25.3M-359.7M-3.6M0.617.1715,2239,330233,718163,054
2021-02-03$62.31$60.0023.9%6.5%17.1%6.9%24.3%0.9%6.8%25.4M-325.8M-3.6M0.496.9212,2666,042239,000164,979
2021-02-04$63.15$60.0024.9%8.3%17.6%8.3%30.0%2.1%4.4%31.5M-409.7M-3.6M0.3424.5718,3936,283240,741168,826
2021-02-05$63.52$60.0026.1%8.3%17.2%10.1%29.3%-0.2%4.7%29.6M-447.0M-3.7M0.1517.5426,2524,030244,292171,836
2021-02-08$62.98$60.0028.0%8.4%17.5%11.5%29.6%-0.9%0.2%22.7M-371.0M-3.6M0.699.559,9496,853238,457169,942
2021-02-09$63.77$60.0027.7%8.5%18.0%9.7%31.1%1.5%1.9%26.6M-453.9M-3.7M0.158.3217,1082,644241,166172,293
2021-02-10$63.31$60.0028.8%8.4%18.0%11.4%30.5%9.0%-0.0%27.6M-415.3M-3.7M0.4722.6118,3368,690247,720173,425
2021-02-11$62.62$60.0030.7%8.6%18.3%14.3%31.0%1.4%0.7%23.1M-327.7M-3.7M0.1422.6714,2522,026252,073178,173
2021-02-12$62.91$60.0028.9%8.4%18.2%11.5%31.1%-2.5%0.1%31.6M-375.5M-3.7M0.3028.0710,0113,006254,469178,509
2021-02-16$62.30$60.0030.3%8.6%18.5%13.8%31.6%1.4%-1.9%16.5M-301.6M-3.6M0.609.629,8765,957246,853174,003
2021-02-17$62.07$60.0030.8%8.8%18.5%14.5%31.6%0.9%1.1%15.4M-279.6M-3.6M0.4416.807,9333,528248,505175,573
2021-02-18$62.14$60.0030.6%8.8%18.4%14.2%31.4%0.8%-0.9%13.9M-283.7M-3.5M0.368.618,5843,131249,404176,721
2021-02-19$61.27$60.0030.7%8.7%19.0%14.3%30.8%1.4%1.2%7.1M-197.5M-3.4M0.5710.2313,4417,689250,676177,943
2021-02-22$64.76$60.0032.5%9.2%26.7%17.1%32.0%-0.5%-1.0%17.5M-459.8M-3.5M0.305.6853,81916,211195,918163,454
2021-02-23$64.73$60.0031.7%8.7%26.7%16.0%32.3%1.5%-2.7%21.2M-490.2M-3.7M0.324.6926,7848,576216,931172,309
2021-02-24$64.84$60.0031.2%9.3%25.9%15.1%33.3%1.1%-1.2%21.5M-497.8M-3.7M0.4413.3415,6246,846220,164175,059
2021-02-25$65.34$60.0033.0%10.2%26.0%18.0%35.8%-3.0%-1.4%21.7M-535.6M-3.7M0.2827.5450,53713,921225,834178,784
2021-02-26$64.83$60.0033.6%9.8%25.6%18.9%34.6%0.5%-4.1%18.5M-490.9M-3.8M0.4342.3924,29710,568235,766185,125