OGE Options History — December 2008

In December 2008, OGE traded between $11.81 and $13.05. ATM implied volatility averaged 63.8%, placing in the 35.5% IV rank vs the trailing year. The 30-day expected move averaged 17.5%. IV traded below realized volatility by 8.5% (HV 20d: 72.4%). Max pain ranged from $11.25 to $15.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 0.23.

Notable Days

  • 2008-12-18: Highest Volume — 72 contracts
  • 2008-12-05: Largest IV spike — 80.9% change
  • 2008-12-05: Highest IV Rank — 79.1%
  • 2008-12-02: Largest Expected Move — 22.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.39$11.81$13.05$11.81$12.89
Max Pain$12.61$11.25$15.00$15.00$11.25
ATM IV63.8%34.0%126.1%56.4%40.9%
Expected Move17.5%9.7%22.4%16.2%11.7%
HV 20d72.4%39.3%86.9%83.3%39.3%
HV 60d87.9%87.1%88.5%87.1%87.1%
IV Rank35.5%14.4%79.1%30.7%19.3%
IV Percentile86.7%59.5%98.4%91.3%68.3%
Term Structure-7.2%-41.4%3.5%3.5%1.1%
VWIV61.6%50.0%80.1%54.8%80.1%
Skew 25d23.9%-6.7%106.0%0.1%11.5%
Skew 10d27.7%-4.6%123.9%-4.6%17.4%
Call IV 25d52.0%35.3%73.1%53.3%35.3%
Put IV 25d76.0%46.7%178.0%53.4%46.7%
Bid-Ask Spread %108.3964.42164.37141.63134.17
Gamma HHI0.360.290.460.360.43
Net GEX-10.1K-19.0K-2.9K-19.0K-3.4K
Net DEX282.1K80.4K491.4K491.4K80.4K
Net VEX-2.6K-3.3K-2.0K-2.8K-2.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.230.001.250.500.67
Total Volume20.8180723060
Total OI1,918.3641,4922,2182,0141,600

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-12-01$11.81$15.0056.4%16.2%83.3%30.7%54.8%0.1%3.5%-19.0K491.4K-2.8K0.50141.6320108341,180
2008-12-02$12.41$15.0078.2%22.4%85.6%45.8%0.0%88.1%-41.4%-11.4K338.0K-3.3K0.00157.46008541,190
2008-12-03$12.47$15.0061.1%17.5%84.4%33.9%0.0%14.9%-0.6%-13.1K349.0K-3.0K0.00130.25008541,190
2008-12-04$11.85$15.0069.7%20.0%86.2%39.9%0.0%5.8%1.3%-15.6K460.1K-2.8K0.00127.33208541,190
2008-12-05$12.22$12.50126.1%21.7%86.9%79.1%0.0%106.0%-29.2%-10.1K376.9K-3.2K0.00164.37008561,190
2008-12-08$12.46$12.5074.1%19.9%85.3%43.0%0.0%22.1%-13.8%-12.9K319.7K-3.0K0.0089.12208561,190
2008-12-09$12.24$12.5075.9%20.5%85.4%44.2%0.0%18.3%-15.3%-14.3K365.1K-2.9K0.0087.92008541,190
2008-12-10$12.33$12.5075.7%20.6%85.2%44.1%0.0%13.3%-4.8%-12.4K332.8K-3.0K0.0064.50008541,190
2008-12-11$12.06$12.5073.2%21.0%85.0%42.4%73.0%104.9%-5.8%-14.6K399.2K-2.8K0.0064.422008541,190
2008-12-12$12.31$12.5064.6%18.5%76.7%35.8%63.7%-6.7%-6.0%-14.9K362.5K-2.6K0.5089.1940208741,190
2008-12-15$12.35$12.5067.4%19.3%75.3%37.8%66.7%14.0%-8.4%-14.4K329.6K-2.6K0.0079.32409141,210
2008-12-16$13.05$12.5067.3%19.3%77.9%37.8%0.0%19.9%-10.7%-6.2K158.2K-2.7K0.0085.891009181,210
2008-12-17$12.79$12.5067.7%19.4%76.5%38.0%0.0%16.2%-11.3%-9.8K220.7K-2.5K0.0087.090409281,210
2008-12-18$12.49$12.5060.1%17.2%73.7%32.7%64.4%14.9%-3.5%-13.2K275.0K-2.5K1.2596.9432409281,230
2008-12-19$12.38$12.5059.9%17.2%63.0%32.5%60.4%12.8%-6.1%-13.8K313.1K-2.6K0.2585.8040109481,270
2008-12-22$12.50$12.5050.0%14.3%60.4%25.6%61.8%11.7%-3.9%-4.9K207.3K-2.4K0.00108.08700762730
2008-12-23$12.13$11.2551.1%14.7%60.0%26.4%50.6%12.4%0.4%-4.6K211.4K-2.3K0.00107.9580832730
2008-12-24$12.29$11.2550.0%14.3%60.3%25.6%50.0%11.3%-0.6%-3.9K180.3K-2.3K0.00105.51200840730
2008-12-26$12.45$11.2549.1%14.1%59.9%25.0%0.0%13.6%-4.2%-3.0K149.6K-2.3K0.00121.3900860730
2008-12-29$12.38$11.2552.1%14.9%58.7%27.1%51.8%11.2%-1.9%-3.8K169.1K-2.2K0.00104.75100860730
2008-12-30$12.73$11.2534.0%9.7%42.7%14.4%0.0%10.5%2.3%-2.9K117.9K-2.1K0.00151.5300870730
2008-12-31$12.89$11.2540.9%11.7%39.3%19.3%80.1%11.5%1.1%-3.4K80.4K-2.0K0.67134.173624870730