OGE Options History — October 2008

In October 2008, OGE traded between $10.80 and $15.61. ATM implied volatility averaged 48.5%, placing in the 25.2% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded below realized volatility by 31.9% (HV 20d: 80.3%). Max pain ranged from $12.50 to $17.50. Net GEX was positive for 8 of 23 trading days. Term structure was in contango for 4 of 23 days. Put/call ratio averaged 4.92.

Notable Days

  • 2008-10-14: Highest Volume — 390 contracts
  • 2008-10-30: Largest IV spike — 134.2% change
  • 2008-10-10: Highest IV Rank — 87.1%
  • 2008-10-30: Largest Expected Move — 23.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.14$10.80$15.61$15.61$13.65
Max Pain$13.21$12.50$17.50$17.50$12.50
ATM IV48.5%26.1%137.5%26.1%44.6%
Expected Move10.9%6.3%23.7%7.5%12.8%
HV 20d80.3%39.3%122.6%39.3%122.6%
HV 60d51.4%27.8%74.3%27.8%74.3%
IV Rank25.2%9.6%87.1%9.6%22.5%
IV Percentile84.6%67.5%99.2%67.5%86.9%
Term Structure-4.6%-25.3%1.1%-4.3%-6.6%
VWIV41.8%20.2%76.7%20.2%39.6%
Skew 25d4.8%-42.4%17.7%-42.4%10.1%
Skew 10d-16.3%-67.7%43.4%-67.7%6.5%
Call IV 25d41.8%22.8%106.7%65.7%39.1%
Put IV 25d46.6%23.3%117.8%23.3%49.2%
Bid-Ask Spread %131.09111.25152.18139.46119.97
Gamma HHI0.460.270.840.840.28
Net GEX-272-15.6K24.5K24.5K-5.3K
Net DEX73.7K-309.7K380.0K-245.9K29.4K
Net VEX-1.8K-3.3K-145-2.3K-2.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.920.0025.0025.000.06
Total Volume48.7830390076
Total OI1,318.0878421,8108421,810

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-10-01$15.61$17.5026.1%7.5%39.3%9.6%0.0%0.0%-4.3%24.5K-245.9K-2.3K0.00139.460078260
2008-10-02$15.25$17.5027.6%7.9%39.4%10.6%0.0%0.0%-5.7%21.0K-179.1K-2.0K0.00150.340078260
2008-10-03$14.99$17.5026.6%7.6%39.5%10.0%0.0%0.0%-5.4%17.8K-126.4K-1.7K0.00136.660078260
2008-10-06$14.13$0.0057.6%6.3%42.5%31.5%0.0%0.0%0.5%9.7K-9.6K-9450.00152.180078260
2008-10-07$13.32$0.0074.7%7.3%45.8%43.4%20.2%0.0%-4.2%6.4K10.9K-74225.00149.29410078260
2008-10-08$12.41$12.5038.7%8.3%50.2%18.3%22.9%0.0%1.0%-2.1K110.6K-5310.00136.04200782160
2008-10-09$11.27$12.5077.8%9.7%57.1%45.6%0.0%0.0%-0.6%-1.7K144.2K-2720.00131.11120802160
2008-10-10$10.80$12.50137.5%8.8%56.1%87.1%0.0%0.0%0.9%-1.4K155.6K-1450.00141.5600808160
2008-10-13$12.29$12.5041.4%7.8%77.6%20.3%0.0%-42.4%1.1%-2.8K114.0K-4580.00132.6600808160
2008-10-14$13.10$12.5032.3%12.5%82.4%13.9%43.8%17.7%-4.3%5.2K-365-1.3K12.00120.7630360808160
2008-10-15$11.91$12.5035.0%11.5%87.3%15.8%0.0%10.1%-0.3%-6.7K272.0K-1.7K0.00111.960180838520
2008-10-16$11.96$12.5041.0%11.7%87.3%19.9%47.6%-17.6%-1.7%-11.1K337.2K-2.1K0.00111.25018832700
2008-10-17$11.55$12.5042.0%12.0%84.5%20.7%0.0%-10.1%-0.4%-11.6K380.0K-2.0K0.00140.7800832718
2008-10-20$13.21$12.5045.9%13.2%99.3%23.4%47.1%14.7%-6.8%-4.6K106.4K-2.5K2.29124.412864812698
2008-10-21$13.21$12.5040.6%11.6%99.1%19.7%0.0%16.0%-4.3%-6.6K103.7K-2.6K0.00129.93280836762
2008-10-22$12.49$12.5041.6%11.9%100.5%20.4%0.0%12.5%-5.1%-12.1K221.4K-2.5K0.00122.4300850762
2008-10-23$12.78$12.5041.3%11.8%100.6%20.1%0.0%5.9%-4.9%-10.7K177.5K-2.6K0.00129.9400846762
2008-10-24$12.88$12.5044.3%12.7%100.7%22.2%36.8%16.5%-7.5%-9.3K149.7K-2.7K0.00126.660160846762
2008-10-27$12.32$12.5046.1%13.2%101.2%23.5%0.0%14.4%-8.8%-15.6K299.7K-2.2K0.00115.3700846922
2008-10-28$13.79$12.5034.0%9.7%109.8%15.1%0.0%6.0%-7.5%-1.7K14.3K-2.3K0.00118.19020846922
2008-10-29$13.95$12.5035.3%10.1%109.9%16.0%0.0%7.8%-6.1%47-59.6K-2.5K0.00128.3900846942
2008-10-30$15.35$12.5082.6%23.7%115.3%48.9%76.7%11.1%-25.3%12.3K-309.7K-3.3K0.00145.79220846942
2008-10-31$13.65$12.5044.6%12.8%122.6%22.5%39.6%10.1%-6.6%-5.3K29.4K-2.5K0.06119.97724868942