ORCL Options History — March 2021

In March 2021, ORCL traded between $65.80 and $73.02. ATM implied volatility averaged 26.3%, placing in the 8.8% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded below realized volatility by 11.7% (HV 20d: 38.0%). Max pain ranged from $60.00 to $66.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 12 of 23 days. Put/call ratio averaged 0.42.

Notable Days

2021-03-11: Highest Volume — 229,634 contracts
2021-03-11: Largest IV drop — 17.7% change
2021-03-05: Highest IV Rank — 23.2%
2021-03-03: Largest Expected Move — 10.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$68.41	$65.80	$73.02	$66.26	$70.26
Max Pain	$63.46	$60.00	$66.00	$60.00	$66.00
ATM IV	26.3%	20.1%	36.3%	30.8%	20.8%
Expected Move	7.5%	5.8%	10.0%	9.5%	5.9%
HV 20d	38.0%	24.6%	44.6%	25.5%	41.0%
HV 60d	26.3%	19.4%	29.1%	19.4%	29.0%
IV Rank	8.8%	0.0%	23.2%	14.6%	2.5%
IV Percentile	30.6%	0.0%	81.7%	59.1%	1.2%
Term Structure	-0.1%	-1.9%	3.6%	-0.8%	-0.1%
VWIV	26.8%	20.7%	35.5%	34.4%	21.5%
Skew 25d	2.3%	-0.5%	13.0%	13.0%	1.1%
Skew 10d	3.5%	-4.7%	12.9%	4.5%	2.8%
Call IV 25d	26.6%	20.1%	35.7%	30.4%	21.1%
Put IV 25d	28.9%	21.3%	43.4%	43.4%	22.2%
Bid-Ask Spread %	10.33	2.73	38.62	10.52	3.64
Gamma HHI	0.14	0.08	0.28	0.09	0.18
Net GEX	32.1M	12.0M	49.8M	23.2M	38.8M
Net DEX	-690.2M	-1.16B	-326.2M	-608.1M	-699.7M
Net VEX	-4.2M	-4.4M	-3.8M	-3.8M	-4.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.42	0.20	0.84	0.66	0.35
Total Volume	60,464.609	17,785	229,634	34,824	17,785
Total OI	493,106.087	404,316	619,777	404,316	456,691

Daily Data (23 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2021-03-01	$66.26	$60.00	30.8%	9.5%	25.5%	14.6%	34.4%	13.0%	-0.8%	23.2M	-608.1M	-3.8M	0.66	10.52	20,991	13,833	224,314	180,002
2021-03-02	$67.10	$60.00	29.9%	9.3%	24.9%	13.2%	33.2%	2.4%	-1.1%	26.9M	-692.3M	-3.8M	0.48	15.38	19,581	9,477	230,694	186,476
2021-03-03	$67.19	$60.00	31.5%	10.0%	24.6%	15.7%	35.5%	2.9%	-1.3%	26.7M	-689.8M	-3.9M	0.29	11.57	18,823	5,475	235,484	190,983
2021-03-04	$65.80	$60.00	33.9%	9.2%	25.9%	19.4%	31.5%	6.0%	-1.9%	21.4M	-546.2M	-3.9M	0.84	21.70	13,051	11,022	237,594	194,140
2021-03-05	$70.31	$60.00	36.3%	9.3%	34.3%	23.2%	32.5%	6.2%	-1.4%	24.5M	-957.5M	-3.8M	0.29	26.55	110,699	31,638	237,308	199,076
2021-03-08	$72.42	$62.50	33.1%	9.4%	35.3%	18.2%	33.0%	2.9%	-1.0%	28.6M	-1.07B	-4.0M	0.38	38.62	56,809	21,639	254,550	199,243
2021-03-09	$73.02	$62.50	33.9%	9.3%	34.9%	19.3%	33.0%	2.4%	-1.7%	33.3M	-1.16B	-4.2M	0.28	33.21	45,466	12,873	282,957	209,645
2021-03-10	$72.38	$62.50	34.0%	9.3%	35.3%	19.6%	33.1%	3.5%	-1.5%	35.5M	-1.12B	-4.2M	0.69	22.29	58,055	40,145	296,578	217,718
2021-03-11	$67.41	$62.50	28.0%	8.0%	44.6%	10.1%	28.4%	-0.5%	-1.3%	12.0M	-504.6M	-4.1M	0.62	3.92	141,959	87,675	328,214	243,031
2021-03-12	$67.12	$62.50	26.7%	7.4%	44.4%	8.1%	26.5%	0.6%	-1.3%	21.2M	-596.3M	-4.3M	0.54	4.66	53,809	29,236	359,824	253,726
2021-03-15	$67.38	$65.00	25.2%	7.2%	44.4%	6.1%	25.7%	0.8%	0.1%	39.5M	-708.6M	-4.3M	0.27	2.73	26,659	7,086	339,515	232,315
2021-03-16	$66.81	$65.00	23.6%	6.8%	44.3%	3.4%	24.3%	0.9%	0.2%	36.3M	-628.4M	-4.2M	0.21	3.03	52,486	10,882	346,852	234,976
2021-03-17	$66.24	$65.00	23.9%	6.8%	44.5%	3.9%	24.3%	0.3%	0.2%	35.3M	-556.4M	-4.3M	0.35	3.21	35,164	12,315	362,767	244,226
2021-03-18	$66.63	$65.00	24.3%	7.0%	44.5%	4.6%	24.9%	0.8%	0.7%	39.5M	-614.9M	-4.3M	0.20	3.05	37,116	7,254	364,995	248,627
2021-03-19	$66.42	$65.00	22.5%	6.4%	44.1%	2.1%	23.2%	-0.0%	0.7%	23.3M	-582.9M	-4.3M	0.57	3.45	36,361	20,879	368,792	250,985
2021-03-22	$66.23	$65.00	20.4%	5.8%	39.7%	0.0%	21.5%	0.8%	0.6%	23.5M	-326.2M	-4.2M	0.28	3.85	29,934	8,318	268,863	166,357
2021-03-23	$67.19	$65.00	20.6%	5.9%	40.0%	0.7%	20.7%	0.4%	0.4%	32.8M	-432.7M	-4.2M	0.32	4.57	36,788	11,764	266,143	170,072
2021-03-24	$66.99	$65.00	20.1%	5.8%	40.0%	0.0%	21.6%	1.3%	1.0%	33.8M	-407.5M	-4.3M	0.82	4.05	15,034	12,315	274,036	174,762
2021-03-25	$68.56	$65.00	21.1%	6.3%	40.7%	3.2%	22.1%	4.5%	0.7%	47.6M	-607.6M	-4.4M	0.27	3.38	44,826	12,207	278,440	180,038
2021-03-26	$69.80	$65.00	21.6%	6.1%	40.8%	5.1%	22.2%	0.8%	1.5%	49.8M	-785.5M	-4.4M	0.28	3.85	37,502	10,500	283,827	184,907
2021-03-29	$71.26	$65.00	20.8%	6.3%	40.8%	2.5%	22.1%	0.5%	3.6%	43.8M	-830.9M	-4.3M	0.22	6.99	61,202	13,190	263,486	173,900
2021-03-30	$70.65	$66.00	21.8%	6.1%	40.9%	5.7%	22.0%	1.1%	0.3%	41.0M	-741.9M	-4.4M	0.42	3.41	21,713	9,150	267,881	176,430
2021-03-31	$70.26	$66.00	20.8%	5.9%	41.0%	2.5%	21.5%	1.1%	-0.1%	38.8M	-699.7M	-4.4M	0.35	3.64	13,129	4,656	275,825	180,866