OGE Options History — January 2008

In January 2008, OGE traded between $15.75 and $17.88. ATM implied volatility averaged 23.4%, placing in the 8.0% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 5.2% (HV 20d: 18.2%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.25.

Notable Days

  • 2008-01-02: Highest Volume — 84 contracts
  • 2008-01-28: Largest IV spike — 157.6% change
  • 2008-01-28: Highest IV Rank — 28.4%
  • 2008-01-28: Largest Expected Move — 17.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.05$15.75$17.88$17.83$16.35
Max Pain$17.50$17.50$17.50$17.50$17.50
ATM IV23.4%15.3%60.9%23.2%16.6%
Expected Move6.7%4.4%17.4%6.6%4.8%
HV 20d18.2%14.3%23.4%18.3%23.0%
HV 60d22.3%20.2%23.9%22.2%20.2%
IV Rank8.0%3.5%28.4%7.8%4.2%
IV Percentile72.4%37.7%98.0%81.3%44.0%
Term Structure0.3%-15.0%9.6%-1.2%6.1%
VWIV17.8%17.8%17.8%17.8%17.8%
Bid-Ask Spread %89.9977.20130.7382.00104.43
Gamma HHI0.510.470.560.510.52
Net GEX22.0K9.2K32.1K28.0K15.9K
Net DEX-199.8K-518.3K134.2K-386.1K-1.8K
Net VEX-2.8K-3.4K-1.8K-3.2K-2.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.250.002.500.000.00
Total Volume18.3810848410
Total OI1,179.811,0761,2281,0761,222

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-01-02$17.83$17.5023.2%6.6%18.3%7.8%0.0%0.0%-1.2%28.0K-386.1K-3.2K0.0082.00840832244
2008-01-03$17.73$17.5022.7%6.5%18.0%7.5%0.0%0.0%-1.3%27.8K-359.0K-3.2K0.0082.1800860244
2008-01-04$17.59$0.0022.8%6.3%17.6%7.6%0.0%0.0%-1.1%26.6K-309.6K-3.1K0.0077.20020860244
2008-01-07$17.54$0.0020.8%6.2%17.1%6.5%0.0%0.0%-0.7%26.0K-277.7K-3.1K2.5077.611640860264
2008-01-08$17.28$0.0021.5%6.2%17.4%6.9%0.0%0.0%-1.2%20.3K-212.9K-3.1K0.0078.2100876304
2008-01-09$17.45$0.0022.7%6.2%17.8%7.5%0.0%0.0%-0.1%21.7K-274.1K-3.1K0.0077.85160876304
2008-01-10$17.74$0.0021.4%6.2%15.8%6.9%0.0%0.0%0.3%25.4K-416.5K-3.4K0.0078.94200892304
2008-01-11$17.80$0.0021.9%6.3%15.7%7.1%0.0%0.0%-0.4%30.1K-488.7K-3.4K0.0079.26160912304
2008-01-14$17.88$0.0022.1%6.3%14.3%7.2%0.0%0.0%-0.6%30.9K-518.3K-3.2K0.0079.8100918304
2008-01-15$17.66$0.0021.6%6.2%14.8%7.0%0.0%0.0%-0.0%30.6K-421.3K-3.2K0.0079.3600918304
2008-01-16$17.68$0.0021.5%6.2%14.3%6.9%0.0%0.0%0.2%32.1K-436.1K-3.1K0.0079.4900918304
2008-01-17$17.34$0.0021.1%6.0%14.6%6.7%0.0%0.0%1.5%29.7K-225.7K-3.0K0.0079.17020918304
2008-01-18$17.05$0.0021.3%6.1%15.3%6.8%0.0%0.0%0.1%24.8K-134.1K-2.7K0.0081.5700918284
2008-01-22$16.42$0.0034.6%9.9%19.5%14.1%0.0%0.0%-15.0%13.4K-124.8K-2.6K0.00130.73200862284
2008-01-23$16.39$0.0017.7%5.1%19.1%4.8%0.0%0.0%1.8%13.8K32.6K-2.1K0.00108.8300882264
2008-01-24$15.98$0.0021.3%6.1%20.1%6.8%0.0%0.0%-4.0%11.5K92.6K-1.9K0.00104.32140882264
2008-01-25$15.75$0.0023.6%6.8%20.3%8.1%0.0%0.0%0.6%9.2K134.2K-1.8K0.0095.66800884284
2008-01-28$16.09$0.0060.9%17.4%22.7%28.4%17.8%0.0%9.6%13.6K67.9K-2.2K0.00104.37010964264
2008-01-29$16.23$0.0017.8%5.1%23.0%4.9%0.0%0.0%9.1%14.6K42.1K-2.3K0.00104.34200964264
2008-01-30$16.32$0.0015.3%4.4%23.4%3.5%0.0%0.0%3.4%15.4K21.6K-2.3K0.00104.4400958264
2008-01-31$16.35$0.0016.6%4.8%23.0%4.2%0.0%0.0%6.1%15.9K-1.8K-2.4K0.00104.43100958264