ORCL Options History — October 2021

In October 2021, ORCL traded between $89.38 and $98.07. ATM implied volatility averaged 21.7%, placing in the 17.0% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded below realized volatility by 3.5% (HV 20d: 25.2%). Max pain ranged from $89.00 to $95.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.51.

Notable Days

  • 2021-10-08: Highest Volume — 158,748 contracts
  • 2021-10-04: Largest IV spike — 10.5% change
  • 2021-10-04: Highest IV Rank — 40.9%
  • 2021-10-04: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$95.00$89.38$98.07$89.69$95.87
Max Pain$92.93$89.00$95.00$89.00$95.00
ATM IV21.7%19.5%25.9%23.4%20.1%
Expected Move6.2%5.6%7.2%6.8%5.9%
HV 20d25.2%17.5%27.9%25.8%17.5%
HV 60d19.3%18.5%20.1%20.1%18.5%
IV Rank17.0%4.3%40.9%26.9%8.0%
IV Percentile21.0%1.2%53.2%37.3%7.5%
Term Structure0.1%-0.7%1.2%0.4%0.0%
VWIV22.5%19.9%27.5%24.4%21.2%
Skew 25d3.1%1.9%5.9%4.9%2.0%
Skew 10d7.0%2.0%14.0%10.6%5.0%
Call IV 25d21.2%19.1%24.1%22.2%19.8%
Put IV 25d24.3%21.3%30.1%27.1%21.9%
Bid-Ask Spread %8.292.4525.804.353.32
Gamma HHI0.140.100.230.100.12
Net GEX45.3M24.6M67.4M25.7M34.3M
Net DEX-1.35B-1.67B-826.5M-826.5M-1.27B
Net VEX-6.4M-6.8M-6.1M-6.8M-6.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.510.151.110.611.11
Total Volume44,931.14317,101158,74832,32528,609
Total OI555,711.238522,247605,799545,091565,220

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-10-01$89.69$89.0023.4%6.8%25.8%26.9%24.4%4.9%0.4%25.7M-826.5M-6.8M0.614.3520,02912,296288,773256,318
2021-10-04$89.38$90.0025.9%7.2%25.7%40.9%27.5%5.9%-0.2%24.6M-830.3M-6.5M0.8411.7719,17116,165278,354243,893
2021-10-05$91.56$90.0024.0%6.8%26.4%30.2%25.6%5.0%0.0%37.1M-1.10B-6.3M0.758.9025,79619,449280,275247,916
2021-10-06$91.28$90.0024.5%6.9%26.4%33.0%25.4%5.0%0.3%38.6M-1.07B-6.5M0.4914.6211,4755,626286,717251,267
2021-10-07$92.24$90.0023.3%6.5%26.6%25.8%24.0%3.9%0.0%48.8M-1.21B-6.5M0.1611.0572,24811,633293,303258,194
2021-10-08$94.66$90.0023.7%6.8%27.9%28.6%24.1%2.7%-0.6%45.6M-1.54B-6.5M0.223.14129,99428,754294,734259,551
2021-10-11$95.65$90.0023.5%6.7%27.5%27.2%23.8%3.7%-0.1%41.6M-1.46B-6.3M0.332.7441,55313,756276,851252,863
2021-10-12$95.69$90.0023.4%6.8%26.0%26.8%23.7%3.2%0.4%56.6M-1.49B-6.8M0.3725.8034,86613,070312,714262,394
2021-10-13$96.51$92.5022.8%6.3%25.8%23.1%23.1%2.4%-0.7%61.0M-1.59B-6.6M0.1519.5258,5598,526315,502268,468
2021-10-14$95.23$95.0021.2%6.1%26.3%13.9%22.8%3.2%0.4%63.6M-1.44B-6.5M0.682.9533,05422,381320,266273,808
2021-10-15$95.37$95.0020.0%5.9%25.5%7.2%20.4%2.3%0.7%60.6M-1.45B-6.4M0.322.4518,6726,009329,172276,627
2021-10-18$96.65$95.0020.1%5.8%25.3%7.6%20.9%2.9%-0.3%46.7M-1.45B-6.3M0.332.6024,8078,244293,727243,047
2021-10-19$96.99$95.0019.8%5.7%25.1%6.0%19.9%2.6%-0.0%50.2M-1.51B-6.2M0.398.0418,9947,464297,336244,258
2021-10-20$96.63$95.0019.5%5.6%25.0%4.3%20.2%2.0%-0.2%50.0M-1.48B-6.3M0.472.9125,63812,052306,648251,087
2021-10-21$96.18$95.0019.5%5.6%25.0%4.7%19.9%2.3%0.1%44.3M-1.40B-6.4M0.637.9321,24113,457308,428255,626
2021-10-22$98.07$95.0020.0%5.7%25.7%7.0%20.6%2.3%-0.3%67.4M-1.67B-6.2M0.3420.6335,48612,211310,958258,972
2021-10-25$97.99$95.0020.1%5.8%25.5%7.7%20.8%2.1%1.2%41.9M-1.55B-6.2M0.463.4526,70812,319288,871251,747
2021-10-26$97.20$95.0020.2%5.9%25.7%8.6%21.1%2.3%-0.0%41.2M-1.44B-6.2M0.8311.5712,26210,231293,443258,042
2021-10-27$96.21$95.0020.4%6.0%26.1%9.7%21.3%2.2%0.5%35.5M-1.33B-6.1M0.722.9415,43311,100294,445260,126
2021-10-28$96.00$95.0020.4%6.1%19.0%9.3%21.5%1.9%-0.1%36.4M-1.31B-6.1M0.583.4615,3698,847297,700262,295
2021-10-29$95.87$95.0020.1%5.9%17.5%8.0%21.2%2.0%0.0%34.3M-1.27B-6.2M1.113.3213,58515,024300,768264,452