ORCL Options History — August 2021

In August 2021, ORCL traded between $87.48 and $90.70. ATM implied volatility averaged 27.4%, placing in the 35.4% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 10.4% (HV 20d: 16.9%). Max pain ranged from $82.50 to $87.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.80.

Notable Days

  • 2021-08-13: Highest Volume — 42,079 contracts
  • 2021-08-09: Largest IV spike — 6.7% change
  • 2021-08-19: Highest IV Rank — 49.6%
  • 2021-08-31: Largest Expected Move — 9.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$89.44$87.48$90.70$87.48$89.26
Max Pain$85.50$82.50$87.50$87.00$87.50
ATM IV27.4%22.9%30.8%23.2%29.0%
Expected Move8.1%6.3%9.5%6.3%9.5%
HV 20d16.9%8.1%25.6%25.0%8.1%
HV 60d23.0%22.2%24.5%24.1%22.2%
IV Rank35.4%17.0%49.6%18.3%42.1%
IV Percentile60.4%29.0%83.7%32.1%73.8%
Term Structure0.3%-2.0%4.8%4.2%-0.8%
VWIV29.1%22.9%33.8%23.4%33.8%
Skew 25d1.5%-0.9%3.2%1.9%1.9%
Skew 10d5.0%-1.1%9.4%5.2%5.4%
Call IV 25d27.7%23.3%30.7%23.3%28.9%
Put IV 25d29.2%22.8%33.6%25.1%30.8%
Bid-Ask Spread %4.362.739.603.273.42
Gamma HHI0.130.060.270.140.06
Net GEX31.5M9.2M58.6M31.2M12.4M
Net DEX-1.21B-1.48B-924.8M-1.05B-1.00B
Net VEX-6.3M-6.8M-6.0M-6.7M-6.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.800.302.260.840.89
Total Volume24,876.13616,25742,07922,07220,716
Total OI574,525.591516,508609,195568,513566,693

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-08-02$87.48$87.0023.2%6.3%25.0%18.3%23.4%1.9%4.2%31.2M-1.05B-6.7M0.843.2711,99010,082310,217258,296
2021-08-03$89.51$87.0022.9%6.3%25.6%17.0%22.9%1.0%0.9%37.5M-1.30B-6.8M0.373.4129,90811,099311,725264,874
2021-08-04$89.97$87.0023.8%6.4%22.6%20.8%23.1%0.8%4.3%42.8M-1.41B-6.7M0.303.2326,5618,009316,958270,947
2021-08-05$89.26$82.5024.3%7.9%22.6%22.7%27.9%1.7%4.8%40.0M-1.32B-6.6M0.415.1019,3918,038322,112274,766
2021-08-06$89.44$82.5024.8%7.7%20.6%25.0%27.4%-0.9%4.4%45.1M-1.34B-6.5M0.768.0112,2809,302324,392277,327
2021-08-09$89.76$82.5026.5%8.0%20.5%31.8%28.8%0.3%0.6%39.6M-1.33B-6.4M0.909.609,8158,808311,388262,080
2021-08-10$89.69$85.0026.9%8.0%20.5%33.4%29.0%2.2%0.6%41.4M-1.32B-6.4M0.603.1211,8837,083313,783262,668
2021-08-11$89.58$85.0027.7%8.0%20.2%36.8%28.7%1.1%0.4%42.3M-1.31B-6.4M0.573.7914,1518,031316,403266,390
2021-08-12$89.83$85.0027.5%8.0%18.7%36.0%28.2%0.7%0.4%49.3M-1.36B-6.3M0.645.4111,7377,514319,263269,861
2021-08-13$90.34$85.0027.4%8.0%18.5%35.5%28.3%0.8%0.6%58.6M-1.47B-6.2M0.813.8123,28418,795323,023273,062
2021-08-16$90.69$85.0028.7%8.3%18.2%40.9%29.2%1.1%-1.4%44.0M-1.48B-6.1M0.853.298,8037,454314,949263,908
2021-08-17$90.70$85.0029.6%8.5%16.4%44.4%29.8%2.4%-2.0%43.1M-1.47B-6.2M0.624.3018,68811,522317,233269,509
2021-08-18$89.42$85.0029.6%8.5%16.9%44.3%30.2%2.3%-1.3%38.6M-1.25B-6.3M0.523.4911,3325,895318,502273,093
2021-08-19$88.94$85.0030.8%8.9%16.5%49.6%31.9%2.9%-1.2%33.6M-1.13B-6.4M0.704.7613,9389,759324,276280,334
2021-08-20$89.31$85.0029.3%8.5%11.6%43.4%31.5%3.2%-1.6%17.3M-1.13B-6.5M1.284.4311,59714,836326,830282,365
2021-08-23$89.31$85.0027.7%8.2%11.6%36.7%29.6%1.0%-1.1%16.4M-1.05B-6.0M2.263.127,51816,995271,566244,942
2021-08-24$88.72$85.0028.4%8.6%11.8%39.6%31.0%1.4%-1.1%12.2M-973.6M-6.1M1.093.2511,14512,118275,710253,758
2021-08-25$88.81$87.5028.0%8.5%11.7%37.9%30.0%1.8%-1.0%9.9M-958.3M-6.1M0.792.7311,0348,668278,909262,923
2021-08-26$88.80$87.5029.1%8.9%11.7%42.5%31.0%1.6%-1.3%9.2M-924.8M-6.4M0.786.1917,45213,665281,917270,371
2021-08-27$89.37$87.5028.3%8.7%11.5%39.4%31.1%1.9%-1.4%15.8M-1.04B-6.1M0.914.4213,50312,274283,447272,620
2021-08-30$89.42$87.5028.6%9.3%11.5%40.5%33.6%2.2%-0.3%12.6M-1.00B-6.3M0.723.6611,9598,643282,893273,280
2021-08-31$89.26$87.5029.0%9.5%8.1%42.1%33.8%1.9%-0.8%12.4M-1.00B-6.2M0.893.4210,9659,751287,511279,182