OGE Options History — July 2008

In July 2008, OGE traded between $15.49 and $16.53. ATM implied volatility averaged 40.0%, placing in the 16.1% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded above realized volatility by 22.8% (HV 20d: 17.2%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 0.00.

Notable Days

  • 2008-07-08: Highest Volume — 14 contracts
  • 2008-07-21: Largest IV spike — 140.0% change
  • 2008-07-31: Highest IV Rank — 41.8%
  • 2008-07-31: Largest Expected Move — 25.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.90$15.49$16.53$15.89$16.36
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV40.0%16.3%87.4%48.2%87.4%
Expected Move10.8%4.7%25.0%13.8%25.0%
HV 20d17.2%13.6%18.9%18.7%17.1%
HV 60d16.1%15.3%16.5%16.5%16.3%
IV Rank16.1%2.8%41.8%21.1%41.8%
IV Percentile77.6%9.5%98.8%95.6%98.8%
Term Structure-32.3%-99.9%5.0%-58.9%-99.9%
Bid-Ask Spread %148.48108.16171.97162.70171.97
Gamma HHI0.820.620.900.810.90
Net GEX11.7K6.8K19.1K10.3K17.8K
Net DEX-135.5K-281.5K-58.3K-79.1K-238.7K
Net VEX-1.4K-1.9K-1.1K-1.4K-1.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume1.818014012
Total OI806.545802822822802

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-07-01$15.89$0.0048.2%13.8%18.7%21.1%0.0%0.0%-58.9%10.3K-79.1K-1.4K0.00162.7000602220
2008-07-02$15.89$0.0049.0%14.1%18.5%21.6%0.0%0.0%-31.0%10.9K-87.4K-1.4K0.00153.8300602220
2008-07-03$15.71$0.0052.8%15.1%16.7%23.6%0.0%0.0%-69.4%9.6K-62.8K-1.4K0.00151.5800602220
2008-07-07$15.75$15.0049.6%5.5%16.2%21.9%0.0%0.0%2.5%9.1K-58.3K-1.4K0.00109.1900602220
2008-07-08$15.62$15.0025.5%5.4%15.9%8.7%0.0%0.0%-0.4%9.5K-59.5K-1.3K0.00108.16140602220
2008-07-09$15.87$15.0027.7%4.8%17.2%9.9%0.0%0.0%-3.7%11.4K-129.7K-1.4K0.00135.01140602200
2008-07-10$16.07$15.0031.7%9.1%17.9%12.1%0.0%0.0%-31.4%14.2K-171.0K-1.5K0.00167.1400602200
2008-07-11$16.05$15.0031.9%9.1%17.8%11.4%0.0%0.0%-33.0%13.8K-166.1K-1.4K0.00167.1400602200
2008-07-14$15.91$15.0017.7%5.1%18.0%3.6%0.0%0.0%-5.0%11.6K-134.2K-1.3K0.00120.5600602200
2008-07-15$15.90$15.0034.6%9.9%18.0%12.9%0.0%0.0%-38.6%11.3K-128.0K-1.3K0.00154.8100602200
2008-07-16$15.63$15.0017.0%4.9%18.1%3.2%0.0%0.0%2.6%9.9K-102.4K-1.4K0.00117.9900602200
2008-07-17$15.49$15.0016.5%4.7%18.3%2.9%0.0%0.0%5.0%9.1K-83.8K-1.4K0.00118.3200602200
2008-07-18$15.65$15.0016.3%4.7%18.9%2.8%0.0%0.0%-4.5%6.8K-76.5K-1.1K0.00135.4700602200
2008-07-21$15.78$15.0039.0%11.2%18.3%15.3%0.0%0.0%-48.2%8.8K-98.8K-1.1K0.00151.4700602200
2008-07-22$15.82$15.0039.1%11.2%17.7%15.4%0.0%0.0%-48.6%10.9K-119.0K-1.3K0.00151.6500602200
2008-07-23$15.81$15.0039.9%11.4%17.1%15.8%0.0%0.0%-48.7%9.5K-108.1K-1.1K0.00152.9400602200
2008-07-24$15.98$15.0038.6%11.1%17.5%15.1%0.0%0.0%-23.8%13.6K-174.4K-1.4K0.00157.2900602200
2008-07-25$15.94$15.0039.8%11.4%15.2%15.8%0.0%0.0%-25.2%13.3K-167.9K-1.4K0.00170.5000602200
2008-07-28$16.00$15.0051.0%14.6%14.1%22.0%0.0%0.0%-28.5%11.8K-261.8K-1.9K0.00171.6600602200
2008-07-29$16.09$15.0042.0%12.1%13.6%17.0%0.0%0.0%-29.1%14.7K-192.6K-1.4K0.00168.5300602200
2008-07-30$16.53$15.0084.8%24.3%16.5%40.3%0.0%0.0%-91.6%19.1K-281.5K-1.5K0.00168.5700602200
2008-07-31$16.36$15.0087.4%25.0%17.1%41.8%0.0%0.0%-99.9%17.8K-238.7K-1.4K0.00171.97120602200