OGE Options History — January 2007

In January 2007, OGE traded between $18.95 and $20.17. ATM implied volatility averaged 12.8%. The 30-day expected move averaged 3.7%. IV traded above realized volatility by 1.2% (HV 20d: 11.6%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.17.

Notable Days

  • 2007-01-23: Highest Volume — 324 contracts
  • 2007-01-08: Largest IV spike — 59.4% change
  • 2007-01-12: Largest Expected Move — 4.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.33$18.95$20.17$20.16$19.36
Max Pain$20.00$20.00$20.00$20.00$20.00
ATM IV12.8%9.6%19.3%14.4%9.6%
Expected Move3.7%2.7%4.6%4.1%2.7%
HV 20d11.6%11.2%12.2%11.4%12.2%
Term Structure2.1%-1.1%6.1%1.5%5.2%
VWIV12.9%9.2%16.2%14.4%9.2%
Bid-Ask Spread %92.6579.67106.2385.97106.23
Gamma HHI0.860.840.890.840.84
Net GEX68.3K57.7K87.6K72.7K87.6K
Net DEX-622.5K-1.1M-394.2K-1.0M-773.7K
Net VEX-3.8K-4.8K-2.8K-3.9K-4.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.170.001.000.000.00
Total Volume42.703241060
Total OI1,4941,3241,7761,3241,776

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-01-03$20.16$20.0014.4%4.1%0.0%0.0%14.4%0.0%1.5%72.7K-1.0M-3.9K0.0085.971001,028296
2007-01-04$20.17$20.0014.6%4.2%0.0%0.0%0.0%0.0%1.3%76.9K-1.1M-3.9K0.0085.96601,036296
2007-01-05$19.75$20.0011.4%4.6%0.0%0.0%16.1%0.0%0.2%75.0K-836.6K-3.8K0.0079.670401,042296
2007-01-08$19.46$20.0018.1%4.4%0.0%0.0%0.0%0.0%-0.0%66.8K-661.5K-3.6K0.0282.4812221,038336
2007-01-09$19.47$20.0019.3%4.4%0.0%0.0%0.0%0.0%0.3%68.0K-695.9K-3.8K0.0081.944601,056336
2007-01-10$19.38$20.0013.2%4.5%0.0%0.0%0.0%0.0%-0.6%71.1K-637.5K-3.7K0.0083.20001,076336
2007-01-11$19.32$20.0015.7%4.5%0.0%0.0%0.0%0.0%-0.5%68.3K-590.8K-3.6K0.0085.20001,076336
2007-01-12$19.29$20.0016.2%4.6%0.0%0.0%16.2%0.0%-1.1%67.5K-559.0K-3.5K1.0085.1012121,076336
2007-01-16$19.16$20.0013.0%3.7%0.0%0.0%0.0%0.0%-0.3%61.7K-454.4K-3.3K0.0090.67001,082348
2007-01-17$19.11$20.0012.3%3.5%0.0%0.0%14.7%0.0%1.1%60.3K-441.4K-3.2K0.0095.952201,082348
2007-01-18$19.13$20.0012.6%3.6%0.0%0.0%10.0%0.0%0.7%62.2K-461.2K-3.2K0.0095.70081,088348
2007-01-19$19.11$20.0012.7%3.7%0.0%0.0%0.0%0.0%-0.3%57.7K-406.5K-3.1K0.7195.4728201,088356
2007-01-22$19.08$20.009.8%2.8%0.0%0.0%0.0%0.0%5.7%57.8K-394.2K-2.8K0.00105.461201,002336
2007-01-23$19.14$20.0010.2%2.9%0.0%0.0%0.0%0.0%5.5%60.0K-444.6K-3.0K0.54105.542101141,012336
2007-01-24$19.21$20.009.7%2.8%0.0%0.0%9.9%0.0%6.1%67.6K-650.0K-4.7K0.11105.747081,222450
2007-01-25$18.95$20.0010.7%3.1%11.4%0.0%0.0%0.0%6.0%66.0K-519.8K-4.5K0.0085.433001,282442
2007-01-26$19.02$20.0010.8%3.1%11.4%0.0%0.0%0.0%6.1%67.7K-533.1K-4.7K0.0086.471201,312442
2007-01-29$19.03$20.0011.7%3.4%11.2%0.0%0.0%0.0%2.1%71.7K-549.0K-4.5K0.00105.45001,324442
2007-01-30$19.23$20.0010.9%3.1%12.0%0.0%0.0%0.0%3.7%80.2K-685.8K-4.7K0.00105.261001,324442
2007-01-31$19.36$20.009.6%2.7%12.2%0.0%9.2%0.0%5.2%87.6K-773.7K-4.8K0.00106.236001,334442