OGE Options History — May 2008

In May 2008, OGE traded between $16.12 and $16.84. ATM implied volatility averaged 29.6%, placing in the 10.9% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 13.3% (HV 20d: 16.2%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.00.

Notable Days

  • 2008-05-06: Highest Volume — 90 contracts
  • 2008-05-07: Largest IV spike — 409.8% change
  • 2008-05-07: Highest IV Rank — 55.3%
  • 2008-05-21: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.49$16.12$16.84$16.62$16.77
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV29.6%16.8%110.4%17.3%18.5%
Expected Move6.0%4.8%9.1%5.0%5.3%
HV 20d16.2%13.2%17.9%17.0%13.2%
HV 60d18.3%16.6%19.1%18.4%16.6%
IV Rank10.9%4.0%55.3%4.4%4.9%
IV Percentile61.4%23.0%99.6%34.1%38.1%
Term Structure4.6%-2.0%42.0%7.0%4.5%
VWIV39.2%21.9%56.5%21.9%56.5%
Bid-Ask Spread %114.1854.16163.2561.94124.86
Gamma HHI0.750.520.930.700.92
Net GEX23.1K19.3K29.9K19.6K29.9K
Net DEX-312.0K-450.9K-254.9K-293.4K-334.1K
Net VEX-2.6K-3.3K-2.2K-2.6K-2.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume9.52409040
Total OI1,177.4291,0701,2181,0701,218

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-05-01$16.62$15.0017.3%5.0%17.0%4.4%0.0%0.0%7.0%19.6K-293.4K-2.6K0.0061.9440788282
2008-05-02$16.67$15.0017.3%5.0%17.0%4.2%0.0%0.0%6.2%19.9K-301.8K-2.6K0.0062.23100792282
2008-05-05$16.59$15.0019.6%6.2%16.9%5.5%21.9%0.0%-2.0%20.2K-264.5K-2.4K0.0054.16140802282
2008-05-06$16.77$15.0021.7%6.2%16.0%6.6%0.0%0.0%-1.2%23.1K-323.9K-2.5K0.0054.21900816282
2008-05-07$16.60$15.00110.4%7.8%16.6%55.3%0.0%0.0%24.4%21.1K-450.9K-3.3K0.00155.1000906282
2008-05-08$16.43$15.0028.7%5.1%16.5%10.5%0.0%0.0%5.3%22.7K-317.1K-2.6K0.00105.5400906282
2008-05-09$16.12$15.0032.8%6.8%17.9%12.7%0.0%0.0%-0.8%20.2K-266.8K-2.6K0.00120.9400906282
2008-05-12$16.26$15.0041.0%5.3%17.7%17.2%0.0%0.0%5.0%21.0K-291.6K-2.5K0.00105.5000906282
2008-05-13$16.21$15.0045.6%5.9%17.5%19.7%0.0%0.0%-1.7%21.0K-286.9K-2.6K0.00128.01020906282
2008-05-14$16.18$15.0053.5%5.9%17.0%24.0%0.0%0.0%-1.5%20.1K-268.7K-2.6K0.00127.4000906302
2008-05-15$16.14$15.0020.4%5.8%16.6%5.9%0.0%0.0%-0.7%19.3K-254.9K-2.6K0.00126.0000906302
2008-05-16$16.23$15.0021.1%6.0%16.7%6.3%0.0%0.0%-0.2%19.5K-285.6K-2.7K0.00127.86200906302
2008-05-19$16.38$15.0017.9%5.1%16.2%4.6%0.0%0.0%0.0%23.0K-286.4K-2.6K0.00126.7800906282
2008-05-20$16.34$15.0031.1%8.9%15.8%11.8%0.0%0.0%-1.5%23.1K-286.8K-2.7K0.00151.8500906282
2008-05-21$16.39$15.0031.8%9.1%15.5%12.2%0.0%0.0%42.0%22.6K-328.5K-2.9K0.00163.25200906282
2008-05-22$16.55$15.0016.8%4.8%15.6%4.0%0.0%0.0%1.1%25.6K-317.9K-2.6K0.00125.1100926282
2008-05-23$16.58$15.0017.7%5.1%15.1%4.5%56.5%0.0%2.6%25.9K-318.6K-2.5K0.00124.6360926282
2008-05-27$16.84$15.0020.9%6.0%15.8%6.2%0.0%0.0%-0.9%29.2K-383.1K-2.5K0.00113.71016920282
2008-05-28$16.77$15.0018.2%5.2%15.9%4.7%0.0%0.0%4.8%28.5K-349.7K-2.6K0.00119.3600920298
2008-05-29$16.75$15.0018.5%5.3%14.4%4.9%0.0%0.0%4.0%29.9K-341.1K-2.2K0.00119.2900920298
2008-05-30$16.77$15.0018.5%5.3%13.2%4.9%0.0%0.0%4.5%29.9K-334.1K-2.3K0.00124.8600920298