OGE Options History — October 2007

In October 2007, OGE traded between $16.56 and $19.15. ATM implied volatility averaged 23.3%, placing in the 7.9% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 5.1% (HV 20d: 18.2%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 7 of 23 days. Put/call ratio averaged 0.16.

Notable Days

  • 2007-10-16: Highest Volume — 754 contracts
  • 2007-10-31: Largest IV spike — 90.1% change
  • 2007-10-31: Highest IV Rank — 14.0%
  • 2007-10-31: Largest Expected Move — 9.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.22$16.56$19.15$16.73$19.15
Max Pain$16.63$15.00$17.50$17.50$17.50
ATM IV23.3%14.3%34.5%14.3%34.5%
Expected Move6.8%4.1%9.9%4.1%9.9%
HV 20d18.2%12.7%27.4%27.3%21.2%
HV 60d31.9%28.9%33.0%33.0%29.9%
IV Rank7.9%3.0%14.0%3.0%14.0%
IV Percentile80.9%42.8%97.6%42.8%97.6%
Term Structure-0.6%-9.6%11.2%11.2%-7.6%
VWIV25.5%17.5%33.9%22.1%17.5%
Bid-Ask Spread %89.9950.58122.55105.00108.89
Gamma HHI0.640.440.890.580.44
Net GEX55.6K31.9K89.0K32.6K49.6K
Net DEX-908.8K-1.9M-353.1K-464.5K-1.9M
Net VEX-3.7K-4.9K-2.7K-3.1K-4.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.160.000.540.000.02
Total Volume123.30407540116
Total OI1,654.7831,3942,1021,3941,896

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-10-01$16.73$17.5014.3%4.1%27.3%3.0%0.0%0.0%11.2%32.6K-464.5K-3.1K0.00105.00001,086308
2007-10-02$16.59$17.5014.9%4.3%27.4%3.3%0.0%0.0%8.7%32.0K-409.9K-3.1K0.00105.02001,086308
2007-10-03$16.60$17.5015.7%4.5%27.2%3.7%0.0%0.0%7.1%31.9K-408.3K-3.0K0.00105.01001,086308
2007-10-04$16.68$17.5028.0%8.0%26.6%10.4%0.0%0.0%-6.8%35.4K-411.1K-2.8K0.00122.551001,086308
2007-10-05$16.62$17.5015.7%6.3%26.5%3.7%22.1%0.0%-0.1%36.1K-384.5K-2.8K0.5064.4340201,090308
2007-10-08$16.56$17.5017.2%6.6%15.8%4.5%0.0%0.0%-1.0%34.7K-353.1K-2.9K0.0068.37001,110328
2007-10-09$16.86$17.5019.5%6.5%16.8%5.8%0.0%0.0%0.1%44.8K-484.7K-3.1K0.0079.77201,110328
2007-10-10$16.75$17.5023.9%5.2%16.6%8.2%0.0%0.0%-9.6%42.6K-444.6K-2.7K0.5086.9640201,112328
2007-10-11$16.78$17.5022.5%6.5%16.2%7.4%22.5%0.0%-1.2%42.8K-449.4K-2.9K0.0480.835021,144308
2007-10-12$16.91$17.5022.6%6.5%16.2%7.5%0.0%0.0%-1.0%52.3K-531.6K-3.1K0.0055.56001,174310
2007-10-15$16.92$17.5021.9%6.3%16.2%7.1%0.0%0.0%-0.2%50.6K-489.2K-2.9K0.0050.58001,174310
2007-10-16$16.95$17.5031.2%9.0%12.7%12.2%31.4%0.0%-0.1%48.9K-559.1K-3.3K0.0390.27734201,174310
2007-10-17$17.30$17.5027.1%7.8%13.9%9.9%27.3%0.0%-5.5%87.7K-1.1M-4.1K0.1097.13486481,584330
2007-10-18$17.45$15.0032.8%9.4%13.4%13.0%32.8%0.0%-6.1%89.0K-1.4M-4.9K0.0091.7411801,792310
2007-10-19$17.25$15.0032.0%9.2%14.3%12.6%33.9%0.0%-7.7%87.4K-1.2M-4.5K0.00120.564801,722310
2007-10-22$17.29$15.0029.4%8.4%14.2%11.2%28.5%0.0%-0.4%62.0K-1.2M-4.5K0.3777.3954201,538230
2007-10-23$17.34$15.0027.3%7.8%13.4%10.0%28.2%0.0%-1.6%67.3K-1.2M-4.6K0.0076.166201,568250
2007-10-24$17.19$15.0025.9%7.4%13.9%9.3%25.8%0.0%-0.9%67.3K-1.1M-4.5K0.5479.5974401,550250
2007-10-25$17.77$15.0024.1%6.9%17.9%8.3%24.1%0.0%0.9%72.5K-1.5M-4.8K0.0379.996621,600266
2007-10-26$17.98$15.0018.0%5.2%17.5%5.0%18.0%0.0%7.8%77.4K-1.7M-4.7K0.00103.8918401,630268
2007-10-29$18.11$15.0019.5%5.6%17.3%5.8%19.8%0.0%-1.4%73.8K-1.7M-4.4K0.42110.97200841,606268
2007-10-30$18.38$17.5018.1%5.2%17.1%5.1%17.5%0.0%1.1%60.7K-1.7M-4.0K0.15109.18258381,550348
2007-10-31$19.15$17.5034.5%9.9%21.2%14.0%0.0%0.0%-7.6%49.6K-1.9M-4.6K0.02108.8911421,552344