ORCL Options History — July 2021

In July 2021, ORCL traded between $79.56 and $90.70. ATM implied volatility averaged 22.7%, placing in the 16.3% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded below realized volatility by 4.3% (HV 20d: 27.0%). Max pain ranged from $77.50 to $87.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.58.

Notable Days

  • 2021-07-07: Highest Volume — 237,333 contracts
  • 2021-07-19: Largest IV spike — 12.8% change
  • 2021-07-19: Highest IV Rank — 26.0%
  • 2021-07-19: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$86.86$79.56$90.70$79.56$87.15
Max Pain$83.17$77.50$87.00$77.50$87.00
ATM IV22.7%19.6%25.1%19.6%22.5%
Expected Move6.4%5.2%7.2%5.4%6.1%
HV 20d27.0%23.1%30.8%26.7%26.7%
HV 60d23.9%22.3%24.7%22.3%24.1%
IV Rank16.3%3.7%26.0%3.7%15.6%
IV Percentile26.1%1.6%44.0%1.6%25.4%
Term Structure0.3%-0.6%1.5%0.1%0.2%
VWIV23.1%19.2%25.9%19.2%22.7%
Skew 25d0.8%-2.1%3.0%0.7%1.8%
Skew 10d2.1%-10.9%8.9%-0.2%6.3%
Call IV 25d23.4%19.9%26.8%19.9%22.5%
Put IV 25d24.2%20.0%26.8%20.6%24.3%
Bid-Ask Spread %3.822.6010.553.693.50
Gamma HHI0.130.090.230.110.12
Net GEX43.4M18.9M81.6M43.5M19.3M
Net DEX-1.22B-1.81B-772.0M-772.0M-962.8M
Net VEX-6.3M-7.0M-5.3M-5.7M-6.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.580.131.920.301.92
Total Volume85,785.38118,481237,33352,04850,312
Total OI560,110.571492,679607,305499,804606,673

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-07-01$79.56$77.5019.6%5.4%26.7%3.7%19.2%0.7%0.1%43.5M-772.0M-5.7M0.303.6939,94212,106290,117209,687
2021-07-02$81.94$78.0019.8%5.2%27.7%4.2%19.2%-0.1%0.5%62.7M-1.16B-5.7M0.223.1693,24420,610298,957216,728
2021-07-06$83.27$77.5021.7%6.2%28.0%12.0%22.3%2.7%0.2%53.2M-1.25B-5.4M0.403.6758,42823,570290,929201,750
2021-07-07$86.31$77.5023.9%6.7%30.7%21.1%24.2%-1.1%0.1%49.3M-1.56B-5.3M0.2810.55185,09252,241292,480209,908
2021-07-08$85.70$80.0024.2%6.8%30.8%22.4%24.3%0.1%-0.1%56.3M-1.44B-5.7M0.352.9798,22433,954320,447236,731
2021-07-09$88.06$80.0024.5%6.9%30.4%23.5%24.8%-2.1%-0.2%81.6M-1.81B-5.9M0.303.94116,62334,931338,094250,206
2021-07-12$87.55$82.5023.6%6.7%30.5%19.8%24.4%-0.0%-0.0%47.2M-1.51B-5.9M0.323.1356,73718,268320,114247,073
2021-07-13$87.42$82.5023.2%6.6%30.4%18.4%23.5%-0.5%-0.1%48.5M-1.48B-6.0M0.132.82150,47419,708325,194252,699
2021-07-14$88.31$85.0023.5%6.6%30.1%19.4%23.8%0.1%-0.6%52.6M-1.26B-6.3M0.612.8939,79624,397293,885261,323
2021-07-15$86.60$85.0023.1%6.6%23.6%17.8%23.9%0.5%-0.2%31.4M-949.9M-6.4M0.992.6044,81344,304295,117270,863
2021-07-16$87.58$85.0022.2%6.5%23.6%14.3%23.2%1.5%1.3%57.9M-1.10B-6.4M0.393.7159,93123,161299,845279,033
2021-07-19$86.92$85.0025.1%7.2%23.1%26.0%25.9%2.1%0.1%26.2M-985.0M-6.7M0.997.0426,72426,498284,886234,933
2021-07-20$88.95$85.0023.5%6.7%23.6%19.7%23.9%0.5%-0.2%34.6M-1.29B-6.5M0.443.0153,22823,332292,962245,999
2021-07-21$89.76$85.0022.2%6.4%23.6%14.0%22.7%-0.1%0.4%55.5M-1.46B-6.6M0.412.6655,06822,558311,203253,793
2021-07-22$90.70$85.0021.5%6.1%23.2%11.4%22.5%0.7%1.0%59.8M-1.58B-6.6M1.052.8045,01247,238317,556264,958
2021-07-23$87.77$85.0021.9%6.2%27.0%12.9%22.2%1.7%1.0%18.9M-1.00B-7.0M0.652.9754,96335,959321,348285,957
2021-07-26$87.78$85.0022.7%6.3%27.0%16.3%24.1%2.4%1.5%25.1M-1.04B-7.0M0.494.4919,0869,283303,431259,128
2021-07-27$87.66$86.0023.7%6.5%27.1%20.5%23.9%3.0%1.2%29.4M-1.04B-6.9M0.614.7926,60916,144318,237267,506
2021-07-28$87.33$86.0022.6%6.1%27.1%15.8%22.0%2.3%0.5%28.2M-1.01B-6.7M0.652.8112,3868,058320,206271,340
2021-07-29$87.69$87.0021.8%5.9%26.9%12.5%21.4%0.5%0.4%30.4M-1.03B-6.7M0.612.9911,5116,970323,938277,088
2021-07-30$87.15$87.0022.5%6.1%26.7%15.6%22.7%1.8%0.2%19.3M-962.8M-6.7M1.923.5017,22333,089326,829279,844