OGE Options History — September 2008

In September 2008, OGE traded between $15.15 and $17.25. ATM implied volatility averaged 32.9%, placing in the 14.4% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded above realized volatility by 4.9% (HV 20d: 28.0%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.00.

Notable Days

  • 2008-09-23: Highest Volume — 560 contracts
  • 2008-09-29: Largest IV spike — 282.9% change
  • 2008-09-29: Highest IV Rank — 55.5%
  • 2008-09-29: Largest Expected Move — 26.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.32$15.15$17.25$16.80$15.44
Max Pain$17.14$15.00$17.50$15.00$17.50
ATM IV32.9%15.5%92.2%15.5%39.4%
Expected Move8.8%3.9%26.4%4.5%11.3%
HV 20d28.0%19.9%39.0%21.4%39.0%
HV 60d22.6%19.0%27.8%19.0%27.8%
IV Rank14.4%2.3%55.5%2.3%18.9%
IV Percentile58.4%7.1%97.6%7.1%86.1%
Term Structure-10.3%-47.6%5.2%4.8%-29.5%
VWIV17.2%17.2%17.2%17.2%17.2%
Bid-Ask Spread %146.24122.71173.18133.43149.60
Gamma HHI0.850.560.970.930.83
Net GEX34.9K2.5K82.6K47.8K22.3K
Net DEX-359.6K-564.3K-143.8K-399.8K-199.8K
Net VEX-1.8K-2.7K-1.0K-1.7K-2.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume29.333056000
Total OI968.8574021,1101,096842

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-09-02$16.80$15.0015.5%4.5%21.4%2.3%0.0%0.0%4.8%47.8K-399.8K-1.7K0.00133.4300882214
2008-09-03$16.66$15.0042.2%12.1%21.2%20.8%0.0%0.0%-1.1%34.9K-440.6K-2.0K0.00147.0600882214
2008-09-04$16.89$15.0016.1%4.6%21.6%2.7%0.0%0.0%5.0%52.8K-416.0K-1.7K0.00123.4600882214
2008-09-05$16.91$17.5016.7%4.8%20.7%3.1%0.0%0.0%0.4%53.5K-415.5K-1.7K0.00132.9900882214
2008-09-08$17.25$17.5018.0%4.8%19.9%4.0%17.2%0.0%1.4%75.4K-564.3K-1.8K0.00122.71220882214
2008-09-09$16.91$17.5017.7%3.9%21.4%3.8%0.0%0.0%5.2%54.7K-401.9K-1.6K0.00142.6060890214
2008-09-10$16.86$17.5055.8%4.8%21.1%30.2%0.0%0.0%0.5%37.8K-513.8K-1.9K0.00137.2000896214
2008-09-11$16.97$17.5016.7%4.8%21.1%3.1%0.0%0.0%0.2%39.0K-551.2K-1.9K0.00132.5900896214
2008-09-12$17.19$17.5016.3%4.7%21.1%2.8%0.0%0.0%0.4%82.6K-513.4K-1.7K0.00126.1300896214
2008-09-15$16.52$17.5030.0%8.6%24.5%12.4%0.0%0.0%4.6%34.0K-399.6K-1.6K0.00170.9500896214
2008-09-16$16.20$17.5034.7%9.9%24.9%15.6%0.0%0.0%-35.5%30.5K-339.8K-1.4K0.00172.6200896174
2008-09-17$15.63$17.5024.9%7.1%27.4%8.8%0.0%0.0%-1.9%21.0K-203.4K-1.2K0.00135.4480896174
2008-09-18$15.69$17.5071.5%20.5%27.5%41.2%0.0%0.0%-27.8%2.5K-300.3K-1.4K0.00164.0600896174
2008-09-19$16.46$17.5030.9%8.9%33.1%13.0%0.0%0.0%-0.5%15.9K-319.9K-1.2K0.00173.1800896174
2008-09-22$15.71$17.5022.3%6.4%36.7%7.0%0.0%0.0%-8.7%13.4K-143.8K-1.0K0.00146.550036240
2008-09-23$15.90$17.5041.8%12.0%36.9%20.5%0.0%0.0%-46.2%12.9K-163.4K-1.1K0.00166.95560036240
2008-09-24$15.75$17.5023.8%6.8%36.1%8.0%0.0%0.0%-1.5%29.0K-324.1K-2.7K0.00132.6002083040
2008-09-25$16.07$17.5040.7%11.7%37.0%19.8%0.0%0.0%-47.6%29.7K-347.7K-2.7K0.00169.410078260
2008-09-26$15.66$17.5024.1%6.9%37.5%8.2%0.0%0.0%-1.4%26.2K-277.3K-2.5K0.00131.950078260
2008-09-29$15.15$17.5092.2%26.4%38.0%55.5%0.0%0.0%-37.8%16.3K-315.1K-2.6K0.00159.570078260
2008-09-30$15.44$17.5039.4%11.3%39.0%18.9%0.0%0.0%-29.5%22.3K-199.8K-2.1K0.00149.600078260