OGE Options History — March 2007

In March 2007, OGE traded between $18.55 and $19.50. ATM implied volatility averaged 16.5%. The 30-day expected move averaged 4.3%. IV traded below realized volatility by 2.7% (HV 20d: 19.3%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 0.24.

Notable Days

  • 2007-03-20: Highest Volume — 176 contracts
  • 2007-03-16: Largest IV spike — 71.3% change
  • 2007-03-09: Largest Expected Move — 6.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.00$18.55$19.50$19.25$19.40
Max Pain$17.50$17.50$17.50$17.50$17.50
ATM IV16.5%10.0%28.6%11.3%13.6%
Expected Move4.3%2.8%6.0%3.2%3.9%
HV 20d19.3%14.2%22.2%20.0%14.2%
HV 60d16.5%16.0%16.9%16.6%16.0%
Term Structure-1.7%-7.8%4.9%4.4%-1.3%
Bid-Ask Spread %93.9972.20105.1573.0596.07
Gamma HHI0.620.500.800.800.60
Net GEX35.5K17.7K95.9K95.9K32.8K
Net DEX-315.0K-488.9K-165.6K-488.9K-306.5K
Net VEX-3.7K-4.7K-3.2K-4.0K-4.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.240.001.250.000.00
Total Volume47.90901762030
Total OI1,699.6361,0642,1142,0141,400

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-03-01$19.25$17.5011.3%3.2%20.0%0.0%0.0%0.0%4.4%95.9K-488.9K-4.0K0.0073.052001,554460
2007-03-02$18.91$17.5015.0%4.3%19.7%0.0%0.0%0.0%-1.5%57.1K-339.6K-3.6K0.0072.20001,574460
2007-03-05$18.59$0.0017.8%5.2%20.5%0.0%0.0%0.0%-0.8%29.2K-208.3K-3.3K0.3689.27112401,574460
2007-03-06$18.71$0.0017.8%5.5%19.6%0.0%0.0%0.0%-4.4%28.4K-204.7K-3.3K0.5094.59841,528500
2007-03-07$18.55$0.0017.8%5.1%18.8%0.0%0.0%0.0%-0.2%18.7K-165.6K-3.2K0.0090.138001,532496
2007-03-08$18.61$0.0019.9%5.7%18.6%0.0%0.0%0.0%-5.4%27.5K-223.5K-3.5K0.0094.59001,612496
2007-03-09$18.73$0.0022.9%6.0%18.7%0.0%0.0%0.0%-5.6%35.7K-268.0K-3.6K0.0094.60801,612496
2007-03-12$18.82$0.0022.7%2.8%19.0%0.0%0.0%0.0%4.9%31.0K-276.2K-3.5K0.00103.94001,618496
2007-03-13$18.55$0.0028.4%5.6%19.3%0.0%0.0%0.0%-6.4%21.0K-208.3K-3.3K0.0095.45001,618496
2007-03-14$18.68$0.0028.6%5.9%19.6%0.0%0.0%0.0%-7.8%19.8K-229.6K-3.3K0.0094.64001,618496
2007-03-15$18.84$0.0010.0%2.9%19.9%0.0%0.0%0.0%4.1%30.8K-313.6K-3.5K0.00103.672001,618496
2007-03-16$18.73$0.0017.2%4.9%19.9%0.0%0.0%0.0%-4.7%20.0K-242.0K-3.3K0.00104.172801,618496
2007-03-19$18.66$0.0018.0%5.2%19.5%0.0%0.0%0.0%-7.4%17.7K-174.4K-3.2K0.00104.15540774290
2007-03-20$19.02$0.0010.2%2.9%21.1%0.0%0.0%0.0%3.2%27.1K-284.3K-3.2K0.00105.151760808290
2007-03-21$19.30$0.0012.4%3.5%22.0%0.0%0.0%0.0%-1.9%46.4K-471.6K-4.0K0.0095.12500960290
2007-03-22$19.34$0.0012.4%3.5%22.0%0.0%0.0%0.0%-1.8%42.8K-450.8K-3.9K0.0095.6480934290
2007-03-23$19.36$0.0012.0%3.4%22.0%0.0%0.0%0.0%-0.6%44.6K-470.1K-3.9K1.0095.996060942290
2007-03-26$19.50$0.0015.1%4.3%22.2%0.0%0.0%0.0%-1.7%41.7K-432.9K-4.2K0.0091.01240934350
2007-03-27$19.50$0.0013.1%3.7%15.7%0.0%0.0%0.0%-2.6%41.2K-432.3K-4.0K0.3085.206620902350
2007-03-28$19.44$0.0012.8%3.7%15.7%0.0%0.0%0.0%-0.3%37.3K-395.5K-4.3K0.6796.129060928370
2007-03-29$19.46$0.0015.0%4.3%15.7%0.0%0.0%0.0%-0.4%34.1K-344.1K-4.6K1.2593.081620936430
2007-03-30$19.40$0.0013.6%3.9%14.2%0.0%0.0%0.0%-1.3%32.8K-306.5K-4.7K0.0096.07300950450