ORCL Options History — May 2021

In May 2021, ORCL traded between $76.95 and $80.69. ATM implied volatility averaged 24.7%, placing in the 20.2% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 2.6% (HV 20d: 22.1%). Max pain ranged from $67.50 to $75.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.68.

Notable Days

  • 2021-05-04: Highest Volume — 42,005 contracts
  • 2021-05-12: Largest IV spike — 13.3% change
  • 2021-05-26: Highest IV Rank — 36.1%
  • 2021-05-12: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$78.88$76.95$80.69$77.40$78.99
Max Pain$69.13$67.50$75.00$75.00$70.00
ATM IV24.7%20.9%28.3%21.0%26.9%
Expected Move7.2%5.8%8.4%5.8%7.3%
HV 20d22.1%20.1%25.6%20.9%20.1%
HV 60d30.1%28.7%31.4%30.4%28.7%
IV Rank20.2%4.2%36.1%4.6%29.8%
IV Percentile32.6%6.7%57.5%7.1%49.6%
Term Structure0.8%-2.5%3.7%0.8%-0.4%
VWIV25.7%20.7%29.8%20.7%25.9%
Skew 25d1.6%-5.9%4.6%1.3%3.9%
Skew 10d4.4%-1.7%8.0%2.5%3.8%
Call IV 25d24.8%20.7%30.4%22.3%24.8%
Put IV 25d26.4%21.1%30.9%23.6%28.8%
Bid-Ask Spread %5.513.279.475.893.27
Gamma HHI0.140.100.190.120.10
Net GEX28.4M19.1M42.2M24.3M24.4M
Net DEX-1.03B-1.33B-756.6M-890.5M-862.2M
Net VEX-5.6M-6.1M-5.1M-5.8M-5.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.680.241.560.440.89
Total Volume23,3268,74542,00524,38821,121
Total OI533,543.6456,721572,724527,629488,741

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-05-03$77.40$75.0021.0%5.8%20.9%4.6%20.7%1.3%0.8%24.3M-890.5M-5.8M0.445.8916,9777,411282,152245,477
2021-05-04$78.42$75.0022.6%6.3%21.2%11.1%22.9%1.3%-2.5%28.6M-1.02B-5.8M0.474.1728,57013,435285,130246,770
2021-05-05$79.59$75.0021.9%6.0%21.6%8.1%22.2%0.4%0.9%30.1M-1.18B-5.8M0.514.2518,5019,460288,378254,132
2021-05-06$79.83$67.5021.0%7.3%21.0%4.3%24.7%-5.9%0.6%28.5M-1.22B-5.6M0.249.4732,2037,751290,098257,840
2021-05-07$80.33$67.5020.9%6.9%21.0%4.2%24.8%0.4%1.2%31.5M-1.33B-5.8M0.594.6417,85410,608301,165259,166
2021-05-10$80.69$67.5022.8%7.4%21.0%12.0%26.4%2.3%3.2%31.0M-1.29B-5.6M0.755.7215,75211,832292,671250,841
2021-05-11$77.67$67.5023.3%7.8%25.3%14.4%27.7%-0.7%3.5%21.0M-878.3M-5.7M1.565.2015,93224,920295,396255,411
2021-05-12$76.95$67.5026.4%8.4%25.6%27.8%29.8%3.2%2.5%19.1M-756.6M-6.1M0.576.3418,53510,560299,197258,510
2021-05-13$78.34$67.5025.6%8.1%25.4%24.2%28.6%2.2%3.7%28.3M-980.7M-6.1M0.966.188,8408,449305,609262,598
2021-05-14$78.92$67.5023.9%7.3%25.2%16.9%25.8%1.5%1.9%42.2M-1.10B-5.7M0.635.4315,5769,851306,944265,780
2021-05-17$79.02$67.5025.8%7.6%25.0%25.2%26.9%2.2%2.2%32.0M-1.09B-5.8M0.425.147,4533,121299,593254,453
2021-05-18$78.90$67.5025.3%7.4%24.8%23.2%26.1%2.0%-0.1%32.1M-1.09B-5.6M0.797.156,9995,554300,235255,463
2021-05-19$78.28$67.5027.5%7.9%22.6%32.6%27.3%3.2%0.7%26.7M-983.2M-5.6M1.528.965,5418,408299,581258,352
2021-05-20$78.85$67.5025.0%7.2%20.4%21.5%25.7%2.4%-0.2%32.7M-1.10B-5.3M0.426.7614,1205,876299,723261,887
2021-05-21$79.05$67.5025.6%7.2%20.3%24.3%25.5%2.0%2.2%33.5M-1.16B-5.3M0.414.1316,6066,752304,770264,061
2021-05-24$79.55$67.5026.0%7.1%20.1%26.2%25.2%4.2%-0.9%24.1M-949.9M-5.1M0.754.399,6247,198249,437207,284
2021-05-25$78.78$70.0026.6%7.3%20.5%28.4%25.5%3.8%-0.7%21.8M-846.5M-5.4M0.295.1716,1214,699253,295212,483
2021-05-26$79.13$70.0028.3%7.3%20.4%36.1%27.4%-1.5%-2.1%27.8M-917.6M-5.2M0.663.715,2543,491262,118215,602
2021-05-27$78.95$70.0026.9%7.3%20.1%29.9%25.7%4.6%-1.2%27.6M-878.0M-5.3M0.724.149,0326,533263,585216,944
2021-05-28$78.99$70.0026.9%7.3%20.1%29.8%25.9%3.9%-0.4%24.4M-862.2M-5.4M0.893.2711,1569,965267,675221,066