ORCL Options History — September 2021

In September 2021, ORCL traded between $85.80 and $91.58. ATM implied volatility averaged 25.9%, placing in the 35.5% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 11.9% (HV 20d: 14.0%). Max pain ranged from $87.50 to $90.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.74.

Notable Days

  • 2021-09-14: Highest Volume — 187,873 contracts
  • 2021-09-14: Largest IV drop — 28.8% change
  • 2021-09-13: Highest IV Rank — 77.2%
  • 2021-09-01: Largest Expected Move — 9.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$88.91$85.80$91.58$90.10$87.47
Max Pain$87.83$87.50$90.00$87.50$89.00
ATM IV25.9%20.2%32.3%28.8%26.1%
Expected Move7.4%5.7%9.7%9.7%7.6%
HV 20d14.0%8.4%24.1%8.6%24.1%
HV 60d19.9%18.4%22.2%22.2%19.5%
IV Rank35.5%8.2%77.2%41.2%42.0%
IV Percentile50.0%5.2%92.9%72.2%54.0%
Term Structure-0.4%-1.8%0.7%-0.7%-0.3%
VWIV26.2%20.1%34.7%34.7%25.9%
Skew 25d3.2%1.4%5.9%2.3%5.9%
Skew 10d8.3%1.4%12.9%5.8%1.4%
Call IV 25d25.5%19.4%32.0%28.7%23.9%
Put IV 25d28.8%22.4%35.3%31.0%29.9%
Bid-Ask Spread %5.982.0817.942.734.08
Gamma HHI0.110.060.500.070.09
Net GEX21.0M-14.1M96.5M18.9M16.4M
Net DEX-890.4M-1.18B-440.0M-1.12B-597.8M
Net VEX-6.2M-6.5M-5.6M-6.2M-6.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.740.301.320.370.65
Total Volume56,293.71421,198187,87321,19865,567
Total OI573,383.333465,657707,992574,237537,781

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-09-01$90.10$87.5028.8%9.7%8.6%41.2%34.7%2.3%-0.7%18.9M-1.12B-6.2M0.372.7315,4505,748290,118284,119
2021-09-02$89.60$87.5031.2%8.2%8.4%50.9%29.6%2.4%0.4%17.5M-1.06B-6.3M0.8714.9116,54914,390295,201290,783
2021-09-03$90.30$87.5030.4%8.4%8.8%48.0%29.3%1.4%-1.3%29.5M-1.18B-6.2M0.6010.4629,04017,474301,995292,686
2021-09-07$88.84$87.5031.2%8.4%10.5%51.1%29.3%2.9%-1.5%15.0M-955.2M-6.1M0.486.3022,37210,710299,692288,447
2021-09-08$89.40$87.5031.4%8.6%10.8%56.0%30.6%3.2%-1.8%16.6M-1.02B-6.3M1.325.8317,16222,676309,840297,077
2021-09-09$89.85$87.5031.8%8.7%10.9%63.0%30.0%2.2%-1.3%20.0M-1.12B-6.2M0.789.6824,72419,277313,800300,390
2021-09-10$89.72$87.5031.4%8.7%10.9%61.5%30.6%3.3%-1.3%24.1M-1.09B-6.1M0.9217.9434,00031,281317,533311,125
2021-09-13$88.65$87.5032.3%9.2%11.5%77.2%31.9%4.9%-1.8%11.4M-914.9M-6.1M0.875.8189,30778,127305,320296,903
2021-09-14$86.85$90.0023.0%6.5%13.2%24.2%24.5%3.0%-0.0%-14.1M-558.3M-5.6M0.984.5494,82093,053307,041300,180
2021-09-15$88.06$90.0021.0%6.0%14.4%12.8%22.1%2.4%0.6%-8.6M-721.9M-5.6M0.652.5540,23326,105350,891335,582
2021-09-16$87.47$87.5021.1%6.0%13.7%13.5%21.5%3.0%0.4%1.8M-647.0M-6.0M1.262.0822,18928,032362,990339,852
2021-09-17$86.31$87.5022.2%6.4%14.4%19.7%23.6%4.2%-0.1%-10.9M-440.0M-5.8M0.924.6531,91729,407364,057343,935
2021-09-20$85.80$87.5026.1%7.7%14.3%42.2%27.2%2.2%-0.4%11.6M-522.7M-6.4M0.845.0723,38619,554248,524217,133
2021-09-21$87.19$87.5025.1%7.1%15.6%36.2%24.7%3.2%0.1%18.1M-657.4M-6.4M0.684.1216,14610,981255,551225,861
2021-09-22$88.56$87.5022.2%6.3%16.6%20.0%22.4%4.0%-0.0%31.8M-826.5M-6.4M0.666.7415,64710,259265,451232,742
2021-09-23$89.51$87.5020.8%5.9%17.0%11.7%21.7%3.2%0.1%38.8M-973.0M-6.3M0.582.7723,14113,338268,863238,122
2021-09-24$89.99$87.5020.2%5.7%17.1%8.2%20.1%3.0%0.4%96.5M-1.05B-6.2M0.632.4915,0499,495275,319244,176
2021-09-27$91.15$87.5020.9%5.9%17.5%12.3%21.9%2.4%0.7%36.1M-1.08B-6.1M0.412.9127,12111,235268,708234,870
2021-09-28$90.81$87.5023.4%6.9%17.6%26.6%25.2%4.2%0.4%33.1M-1.04B-6.3M0.686.1344,12830,080272,125237,388
2021-09-29$91.58$88.0023.4%6.7%17.8%26.9%24.0%4.7%0.1%38.0M-1.13B-6.4M0.303.8225,3357,663277,850241,029
2021-09-30$87.47$89.0026.1%7.6%24.1%42.0%25.9%5.9%-0.3%16.4M-597.8M-6.5M0.654.0839,69925,868284,801252,980