OGE Options History — May 2007

In May 2007, OGE traded between $18.14 and $19.45. ATM implied volatility averaged 12.4%. The 30-day expected move averaged 3.6%. IV traded above realized volatility by 0.9% (HV 20d: 11.5%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 0.59.

Notable Days

  • 2007-05-31: Highest Volume — 60 contracts
  • 2007-05-25: Largest IV spike — 42.8% change
  • 2007-05-25: Largest Expected Move — 5.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.03$18.14$19.45$19.31$18.46
Max Pain$19.66$17.50$20.00$20.00$17.50
ATM IV12.4%9.3%17.5%10.2%13.4%
Expected Move3.6%2.7%5.0%2.9%3.9%
HV 20d11.5%10.0%13.6%11.3%13.6%
HV 60d14.6%12.5%15.6%15.6%12.8%
Term Structure1.4%-3.0%6.9%3.6%6.9%
VWIV13.7%12.1%14.8%14.2%12.1%
Bid-Ask Spread %81.4543.96106.10105.0286.34
Gamma HHI0.710.430.840.790.43
Net GEX39.2K-3.8K65.6K53.0K3.7K
Net DEX-133.5K-385.5K303.1K-257.0K143.0K
Net VEX-4.0K-4.6K-2.7K-4.4K-2.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.590.002.500.002.00
Total Volume11.091060060
Total OI1,694.3641,6261,7601,6481,654

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-05-01$19.31$20.0010.2%2.9%11.3%0.0%0.0%0.0%3.6%53.0K-257.0K-4.4K0.00105.02001,138510
2007-05-02$19.39$20.009.3%2.7%11.4%0.0%0.0%0.0%4.0%57.9K-306.8K-4.4K0.00106.102001,138510
2007-05-03$19.25$20.0010.7%3.1%11.5%0.0%0.0%0.0%3.2%50.4K-255.0K-4.3K0.00105.361001,158510
2007-05-04$19.42$20.009.8%3.9%12.0%0.0%0.0%0.0%1.1%64.7K-385.5K-4.6K0.0083.905001,168510
2007-05-07$19.38$20.0010.9%3.8%11.6%0.0%14.2%0.0%0.5%63.4K-356.3K-4.5K2.5085.098201,218510
2007-05-08$19.32$20.0011.8%3.2%11.2%0.0%0.0%0.0%0.7%56.5K-292.9K-4.6K0.0087.66001,220530
2007-05-09$19.38$20.0011.9%3.9%11.1%0.0%0.0%0.0%0.3%61.2K-338.0K-4.6K0.0085.52001,220530
2007-05-10$19.25$20.0011.1%3.2%10.8%0.0%0.0%0.0%0.8%52.4K-231.5K-4.5K0.0090.440101,220530
2007-05-11$19.45$20.0013.3%3.8%11.2%0.0%0.0%0.0%1.1%64.1K-332.6K-4.6K0.0060.50001,220530
2007-05-14$19.43$20.0013.2%3.8%10.9%0.0%0.0%0.0%1.1%65.6K-314.6K-4.5K0.0087.831001,220530
2007-05-15$19.34$20.0010.8%3.1%11.0%0.0%0.0%0.0%1.0%57.9K-267.3K-4.4K0.0088.60001,230530
2007-05-16$19.32$20.0011.3%3.2%10.9%0.0%0.0%0.0%0.4%55.7K-244.9K-4.3K0.0089.22001,230530
2007-05-17$19.14$20.0012.1%3.5%10.7%0.0%0.0%0.0%-0.3%45.2K-170.8K-4.1K0.0086.00001,230530
2007-05-18$19.10$20.0012.9%3.7%10.0%0.0%0.0%0.0%-1.4%34.3K-149.9K-4.1K0.0085.44001,230530
2007-05-21$19.07$20.0013.9%4.0%10.0%0.0%0.0%0.0%-3.0%34.5K-148.5K-4.1K0.0063.69001,110530
2007-05-22$18.98$20.0014.8%4.2%10.0%0.0%0.0%0.0%-2.8%33.0K-104.6K-3.9K0.0063.61001,110530
2007-05-23$18.70$20.0013.1%3.8%10.4%0.0%0.0%0.0%4.0%19.0K42.0K-3.7K0.0085.25401,110530
2007-05-24$18.20$20.0012.2%3.5%13.6%0.0%14.8%0.0%3.9%-3.8K273.3K-2.8K0.8086.471081,114530
2007-05-25$18.14$20.0017.5%5.0%13.0%0.0%0.0%0.0%0.2%-3.7K303.1K-2.8K0.0043.96001,108538
2007-05-29$18.23$17.5015.4%4.4%13.3%0.0%0.0%0.0%-0.9%-2.4K244.1K-2.9K0.0058.05001,108518
2007-05-30$18.35$17.5013.0%3.7%13.5%0.0%12.1%0.0%5.6%-626213.0K-2.7K0.0057.953401,108518
2007-05-31$18.46$17.5013.4%3.9%13.6%0.0%0.0%0.0%6.9%3.7K143.0K-2.9K2.0086.3420401,136518