OGE Options History — August 2007

In August 2007, OGE traded between $15.52 and $17.27. ATM implied volatility averaged 38.0%, placing in the 34.1% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded below realized volatility by 0.9% (HV 20d: 38.9%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 6 of 23 days. Put/call ratio averaged 1.18.

Notable Days

  • 2007-08-13: Highest Volume — 260 contracts
  • 2007-08-15: Largest IV spike — 571.1% change
  • 2007-08-13: Highest IV Rank — 100.0%
  • 2007-08-21: Largest Expected Move — 19.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.31$15.52$17.27$17.27$16.86
Max Pain$17.50$17.50$17.50$17.50$17.50
ATM IV38.0%15.8%192.1%17.4%22.9%
Expected Move8.8%4.5%19.4%5.0%6.6%
HV 20d38.9%26.8%44.3%26.8%39.3%
HV 60d29.9%23.8%33.6%23.8%32.5%
IV Rank34.1%5.8%100.0%43.6%7.6%
IV Percentile91.6%71.5%100.0%84.8%91.0%
Term Structure-4.7%-23.9%5.0%1.8%-2.1%
VWIV36.3%13.7%94.5%22.8%26.8%
Bid-Ask Spread %89.8523.43152.7286.5078.24
Gamma HHI0.480.310.700.610.68
Net GEX28.0K6.8K60.0K60.0K43.6K
Net DEX-247.0K-565.2K208.8K-496.9K-429.1K
Net VEX-3.2K-4.4K-2.3K-3.6K-2.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.180.006.671.250.00
Total Volume56.69602609066
Total OI1,966.0871,8322,1701,9181,884

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-08-01$17.27$17.5017.4%5.0%26.8%43.6%0.0%0.0%1.8%60.0K-496.9K-3.6K1.2586.5040501,502416
2007-08-02$16.89$17.5015.8%4.5%27.2%35.3%0.0%0.0%4.5%42.4K-245.0K-3.6K3.00109.344121,534448
2007-08-03$16.07$17.5017.8%5.1%31.6%45.4%0.0%0.0%5.0%6.8K131.0K-2.7K0.00104.3801281,538448
2007-08-06$16.38$17.5019.2%6.4%32.8%52.6%22.8%0.0%-2.1%15.8K-28.6K-3.0K0.0286.268221,538428
2007-08-07$16.67$17.5016.2%6.4%33.4%37.0%22.2%0.0%-1.7%29.1K-158.7K-3.3K0.0068.25021,580430
2007-08-08$16.51$17.5019.5%6.6%33.3%54.0%0.0%0.0%-2.3%22.4K-90.6K-3.1K0.0069.932001,580430
2007-08-09$15.52$17.5015.8%6.1%37.9%35.4%21.2%0.0%0.9%8.5K208.8K-2.3K0.2075.77100201,600426
2007-08-10$15.60$17.5025.5%7.2%37.7%84.4%25.2%0.0%-4.2%12.6K14.8K-2.5K4.5080.528361,640362
2007-08-13$16.18$17.5086.4%9.5%40.8%100.0%47.0%0.0%-9.0%36.8K-364.7K-3.5K0.25103.41208521,640360
2007-08-14$15.76$17.5028.6%6.8%41.5%25.5%0.0%0.0%2.5%17.9K-40.7K-2.8K0.0023.43001,768360
2007-08-15$15.63$17.50192.1%17.8%41.1%100.0%53.3%0.0%-21.3%21.4K-284.2K-3.9K0.00145.921001,768360
2007-08-16$15.72$17.5064.1%18.4%40.9%30.1%0.0%0.0%-23.9%22.1K-331.3K-4.1K1.55152.7240621,778360
2007-08-17$16.00$17.5063.9%18.3%41.8%30.1%0.0%0.0%-17.4%23.2K-387.8K-4.2K0.00151.66001,778392
2007-08-20$15.79$17.5033.3%9.6%41.8%13.4%13.7%0.0%1.3%19.0K-61.7K-2.8K0.0078.928001,472360
2007-08-21$16.06$17.5067.5%19.4%42.2%32.0%94.5%0.0%-10.4%23.0K-565.2K-4.4K0.23133.9486201,492360
2007-08-22$16.63$17.5033.1%9.5%44.3%13.2%0.0%0.0%-8.2%35.8K-490.8K-3.6K6.6794.956401,512380
2007-08-23$16.75$17.5024.2%6.9%43.2%8.4%0.0%0.0%-2.4%35.1K-409.4K-3.2K0.0082.071201,518340
2007-08-24$16.80$17.5024.6%7.1%42.7%8.6%0.0%0.0%-2.7%34.7K-402.8K-3.1K2.0082.5310201,508340
2007-08-27$16.52$17.5023.1%6.6%43.1%7.7%26.8%0.0%-5.3%31.7K-318.1K-3.1K0.4372.4446201,518360
2007-08-28$16.04$17.5019.6%5.6%44.0%5.8%0.0%0.0%-5.0%26.1K-180.1K-2.8K0.0050.56201,564340
2007-08-29$16.70$17.5020.9%6.0%43.9%6.6%0.0%0.0%-3.0%37.9K-359.8K-3.0K0.0055.46001,564340
2007-08-30$16.70$17.5021.8%6.3%43.3%7.1%0.0%0.0%-4.2%39.0K-390.3K-3.0K0.0079.360201,564340
2007-08-31$16.86$17.5022.9%6.6%39.3%7.6%0.0%0.0%-2.1%43.6K-429.1K-2.9K0.0078.246601,564320