ORCL Options History — December 2021

In December 2021, ORCL traded between $87.46 and $103.48. ATM implied volatility averaged 29.1%, placing in the 50.9% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded below realized volatility by 20.3% (HV 20d: 49.4%). Max pain ranged from $75.00 to $92.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 0.83.

Notable Days

  • 2021-12-10: Highest Volume — 320,450 contracts
  • 2021-12-10: Largest IV drop — 26.4% change
  • 2021-12-03: Highest IV Rank — 100.0%
  • 2021-12-03: Largest Expected Move — 14.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$92.56$87.46$103.48$90.44$87.46
Max Pain$79.89$75.00$92.50$92.50$80.00
ATM IV29.1%23.8%39.8%35.6%23.8%
Expected Move8.4%6.4%14.3%12.3%6.4%
HV 20d49.4%16.8%67.1%17.0%66.2%
HV 60d33.9%20.9%42.0%20.9%40.3%
IV Rank50.9%24.0%100.0%96.3%24.0%
IV Percentile72.9%45.2%100.0%99.6%45.2%
Term Structure-0.5%-2.2%0.6%-0.8%0.1%
VWIV30.2%23.0%48.9%41.8%23.0%
Skew 25d4.0%1.2%8.6%5.5%2.0%
Skew 10d8.9%1.6%19.6%13.1%2.8%
Call IV 25d28.4%23.3%38.1%34.7%23.3%
Put IV 25d32.3%25.3%46.6%40.1%25.3%
Bid-Ask Spread %10.962.9334.6515.695.49
Gamma HHI0.090.060.180.070.07
Net GEX16.4M2.5M48.4M10.3M9.3M
Net DEX-893.1M-2.28B-401.6M-698.8M-401.6M
Net VEX-5.3M-6.0M-4.5M-5.8M-5.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.830.182.540.600.46
Total Volume73,935.59119,700320,45036,95349,748
Total OI570,015.545524,672643,159526,157596,724

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-12-01$90.44$92.5035.6%12.3%17.0%96.3%41.8%5.5%-0.8%10.3M-698.8M-5.8M0.6015.6923,03413,919271,018255,139
2021-12-02$90.10$92.5035.4%12.3%16.8%95.1%43.1%5.0%-1.5%8.5M-664.4M-5.9M1.1420.159,20110,499279,876257,806
2021-12-03$87.85$92.5039.8%14.3%18.5%100.0%48.9%8.5%-1.5%2.5M-422.2M-6.0M1.4217.2016,16722,931280,863259,527
2021-12-06$88.74$75.0037.6%9.5%19.2%89.5%34.7%6.3%-0.4%8.0M-535.7M-5.8M1.069.1518,10319,196269,303255,893
2021-12-07$89.88$75.0033.0%8.8%20.0%67.5%32.0%6.0%-1.4%10.5M-668.4M-5.6M0.913.9816,47614,983272,204261,253
2021-12-08$89.15$75.0032.3%8.5%20.0%64.6%30.7%5.7%-1.6%8.5M-588.0M-5.5M1.0110.1018,23018,389277,823266,824
2021-12-09$88.71$75.0036.7%9.2%19.9%85.5%33.1%8.6%-2.2%8.5M-551.5M-5.6M1.144.9849,25156,300282,816273,702
2021-12-10$103.02$75.0027.1%7.6%57.7%39.5%27.8%3.6%-0.3%39.1M-2.28B-4.5M0.5510.04207,100113,350302,478306,740
2021-12-13$101.11$77.5024.9%7.2%58.2%29.1%25.6%3.4%0.6%38.9M-1.83B-4.9M0.809.9662,99450,612310,502293,961
2021-12-14$99.69$77.5026.2%7.4%58.5%35.3%26.6%4.1%-0.2%35.1M-1.62B-5.1M2.5413.6427,68470,226318,608301,061
2021-12-15$102.95$77.5024.7%7.0%59.0%28.5%25.6%3.2%-0.3%45.3M-2.05B-4.9M0.7434.6551,34037,738320,350312,059
2021-12-16$103.48$77.5025.7%7.0%59.0%33.1%25.5%2.6%-1.5%48.4M-2.09B-4.9M0.6221.0841,23725,475323,030316,642
2021-12-17$96.27$77.5027.8%7.8%64.8%43.0%27.8%2.4%-1.2%15.8M-1.04B-5.3M0.8830.1371,74862,959320,830322,329
2021-12-20$91.69$77.5030.9%8.8%67.1%57.8%31.9%4.3%-0.2%7.4M-588.5M-5.4M1.113.8537,17541,166270,507254,165
2021-12-21$91.38$80.0029.0%8.3%66.9%48.8%29.2%2.6%-0.5%7.7M-571.3M-5.4M0.374.0260,71322,629280,370260,614
2021-12-22$89.81$80.0027.1%7.8%66.6%39.7%27.6%3.2%0.1%10.6M-490.5M-5.4M0.775.7729,30522,586302,236261,819
2021-12-23$89.97$80.0025.4%7.2%66.6%31.4%26.1%2.4%0.4%2.6M-527.1M-5.4M0.755.6431,18723,355310,095268,542
2021-12-27$89.27$80.0025.2%7.2%66.6%30.8%25.6%2.4%0.0%12.8M-556.1M-5.2M0.422.9324,96810,503284,760251,765
2021-12-28$88.74$80.0025.1%7.1%66.5%30.3%27.3%1.9%0.3%12.3M-517.2M-5.2M0.503.1129,82015,033290,206254,519
2021-12-29$88.38$80.0023.8%6.7%66.2%24.1%24.6%2.4%0.6%8.4M-471.3M-5.2M0.365.7629,47910,589302,619260,937
2021-12-30$88.17$80.0024.2%6.7%66.1%25.8%25.5%1.2%0.3%10.4M-482.4M-5.3M0.183.8050,2838,902314,812263,015
2021-12-31$87.46$80.0023.8%6.4%66.2%24.0%23.0%2.0%0.1%9.3M-401.6M-5.1M0.465.4934,10615,642331,835264,889