ORCL Options History — September 2023

In September 2023, ORCL traded between $104.30 and $126.90. ATM implied volatility averaged 27.0%, placing in the 31.9% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded below realized volatility by 22.3% (HV 20d: 49.3%). Max pain ranged from $110.00 to $120.00. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 0.80.

Notable Days

  • 2023-09-12: Highest Volume — 655,764 contracts
  • 2023-09-12: Largest IV drop — 14.0% change
  • 2023-09-07: Highest IV Rank — 57.6%
  • 2023-09-01: Largest Expected Move — 10.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$114.22$104.30$126.90$121.02$105.87
Max Pain$114.65$110.00$120.00$110.00$111.00
ATM IV27.0%22.8%34.6%32.0%24.2%
Expected Move7.6%6.4%10.7%10.7%6.9%
HV 20d49.3%27.8%60.0%28.3%55.9%
HV 60d34.8%24.6%38.1%29.4%38.1%
IV Rank31.9%17.6%57.6%49.0%22.4%
IV Percentile47.0%23.4%85.3%72.6%31.7%
Term Structure-0.6%-2.1%0.2%-1.2%0.2%
VWIV26.8%22.9%37.2%37.2%24.2%
Skew 25d2.7%1.3%4.4%2.4%3.5%
Skew 10d5.3%2.1%8.8%4.3%6.5%
Call IV 25d26.0%21.9%33.9%31.3%22.8%
Put IV 25d28.7%24.3%36.2%33.7%26.3%
Bid-Ask Spread %2.411.834.911.861.88
Gamma HHI0.100.070.210.210.09
Net GEX26.5M-30.2M106.4M106.4M-13.9M
Net DEX-807.9M-2.55B576.1M-2.06B369.2M
Net VEX-8.1M-8.6M-7.0M-7.9M-8.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.800.341.510.750.71
Total Volume141,585.444,008655,76444,00855,387
Total OI719,715.1618,2651,002,379649,818701,010

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-09-01$121.02$110.0032.0%10.7%28.3%49.0%37.2%2.4%-1.2%106.4M-2.06B-7.9M0.751.8625,15818,850368,335281,483
2023-09-05$124.13$115.0033.9%9.0%29.3%55.3%32.2%2.4%-1.3%61.1M-2.26B-7.7M0.342.4867,60123,088348,654269,611
2023-09-06$124.56$115.0034.3%9.0%29.1%56.5%32.2%2.3%-1.6%73.9M-2.35B-7.8M0.491.9531,06215,193368,592274,209
2023-09-07$125.03$115.0034.6%9.0%28.0%57.6%31.8%2.3%-2.1%79.6M-2.41B-7.8M0.402.6860,07924,272371,429277,088
2023-09-08$125.84$115.0032.5%8.8%27.8%50.6%31.1%1.7%-1.1%99.5M-2.55B-8.0M0.434.9188,63138,545387,596287,923
2023-09-11$126.90$120.0031.0%8.5%27.8%45.5%30.1%2.0%-0.7%80.1M-2.51B-7.9M0.672.51145,95398,223394,986293,959
2023-09-12$109.98$120.0026.7%7.4%59.1%30.7%26.1%3.1%-0.7%-23.8M345.3M-7.0M0.761.86371,819283,945458,796347,369
2023-09-13$112.25$115.0024.5%7.0%59.5%23.2%24.2%1.6%-0.2%33.4M-668.0M-8.5M1.332.14156,843208,344556,288378,514
2023-09-14$114.14$115.0023.2%6.5%59.8%18.9%23.2%1.3%-0.7%43.7M-1.14B-8.6M1.071.92119,107127,729567,614406,052
2023-09-15$114.31$115.0022.8%6.4%59.7%17.6%22.9%1.7%-0.5%12.0M-1.01B-8.6M0.821.8891,15274,700570,002432,377
2023-09-18$112.25$115.0023.3%6.6%59.6%19.2%23.2%2.6%-0.3%30.0M-499.6M-8.2M0.852.1742,58236,004362,366282,528
2023-09-19$112.75$115.0022.9%6.5%59.7%18.0%22.9%2.9%-0.0%36.7M-574.7M-8.4M0.912.2337,43934,048371,882289,729
2023-09-20$112.95$115.0023.9%6.8%59.7%21.3%23.8%2.6%-0.6%36.3M-625.0M-8.5M0.502.2155,07827,742380,064303,338
2023-09-21$109.93$115.0024.5%7.0%60.0%23.4%24.2%3.4%-0.3%-18.1M8.0M-8.3M0.684.4167,53146,040393,360308,453
2023-09-22$109.32$115.0024.2%6.9%57.8%22.4%24.0%3.1%0.0%-17.1M173.2M-8.3M0.852.0138,35732,606393,255317,809
2023-09-25$107.98$115.0024.9%7.1%56.8%24.6%25.2%3.5%-0.1%-16.6M137.8M-8.1M1.432.5828,77541,037340,850284,109
2023-09-26$104.91$115.0026.6%7.7%57.4%30.5%26.3%4.4%-0.2%-30.2M563.0M-8.0M0.641.8350,09732,188344,835311,468
2023-09-27$104.30$111.0026.0%7.5%55.2%28.3%26.2%3.9%0.0%-23.3M576.1M-8.0M1.512.3430,90146,719362,127318,110
2023-09-28$106.00$111.0024.7%7.1%55.9%24.1%24.6%3.3%0.0%-19.8M319.6M-8.3M0.862.3831,67027,213366,971321,161
2023-09-29$105.87$111.0024.2%6.9%55.9%22.4%24.2%3.5%0.2%-13.9M369.2M-8.3M0.711.8832,47022,917373,635327,375