OGE Options History — March 2009

In March 2009, OGE traded between $9.92 and $12.22. ATM implied volatility averaged 34.8%, placing in the 15.0% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded below realized volatility by 17.3% (HV 20d: 52.1%). Max pain ranged from $11.25 to $12.50. Net GEX was positive for 9 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 0.16.

Notable Days

  • 2009-03-31: Highest Volume — 230 contracts
  • 2009-03-30: Largest IV spike — 85.0% change
  • 2009-03-03: Highest IV Rank — 22.2%
  • 2009-03-11: Largest Expected Move — 13.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.23$9.92$12.22$10.30$11.91
Max Pain$11.48$11.25$12.50$12.50$11.25
ATM IV34.8%18.8%45.2%43.6%26.0%
Expected Move9.9%5.4%13.0%12.5%7.4%
HV 20d52.1%38.0%57.7%38.0%48.6%
HV 60d39.4%35.4%40.9%35.4%39.9%
IV Rank15.0%3.8%22.2%21.1%8.8%
IV Percentile44.6%17.5%67.1%63.9%29.0%
Term Structure6.5%-2.5%79.3%3.8%6.8%
VWIV28.9%17.8%55.1%55.1%33.9%
Skew 25d1.3%-10.1%11.3%-10.1%5.3%
Skew 10d1.9%-14.3%18.3%-7.4%6.9%
Call IV 25d41.6%32.9%53.1%53.1%35.8%
Put IV 25d42.9%35.6%51.3%42.9%41.1%
Bid-Ask Spread %102.0372.70145.2575.3078.92
Gamma HHI0.620.430.820.520.79
Net GEX42-24.2K25.0K-9.7K20.6K
Net DEX169.2K-349.4K642.3K586.2K-312.7K
Net VEX-1.6K-2.0K-957-1.3K-1.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.160.000.710.000.06
Total Volume39.54502306230
Total OI1,836.8188922,3562,1041,080

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-03-02$10.30$12.5043.6%12.5%38.0%21.1%55.1%-10.1%3.8%-9.7K586.2K-1.3K0.0075.30601,298806
2009-03-03$9.98$12.5045.2%13.0%38.3%22.2%0.0%1.2%-2.5%-5.4K617.2K-1.1K0.00145.25801,298806
2009-03-04$10.62$12.5040.6%11.7%46.1%19.1%0.0%1.6%3.1%-13.3K556.8K-1.4K0.0072.702001,306806
2009-03-05$9.92$12.5043.4%12.4%49.6%21.0%0.0%-9.0%79.3%-4.0K642.3K-9570.0076.66001,314806
2009-03-06$10.22$11.2541.3%11.4%51.4%19.5%0.0%-3.3%0.1%-7.0K637.7K-1.0K0.60107.5520121,314806
2009-03-09$10.29$11.2543.8%12.8%50.7%21.3%0.0%10.2%-1.0%-8.5K608.6K-1.2K0.00106.40001,334806
2009-03-10$10.63$11.2540.6%8.2%52.9%19.0%0.0%5.2%7.5%-12.6K527.4K-1.4K0.7174.3928201,334818
2009-03-11$10.51$11.2541.9%13.0%52.7%19.9%0.0%0.1%0.8%-11.4K548.5K-1.5K0.0081.40001,362826
2009-03-12$11.07$11.2535.1%10.1%56.8%15.2%21.3%11.3%5.0%-21.8K417.5K-1.7K0.39101.7162241,362826
2009-03-13$11.31$11.2535.1%10.1%57.7%15.2%26.0%5.3%4.6%-21.0K297.8K-1.8K0.42125.4648201,412826
2009-03-16$11.46$11.2535.4%10.1%56.0%15.4%17.8%0.0%-1.6%-23.8K251.4K-1.8K0.00116.003001,460846
2009-03-17$11.39$11.2534.9%10.0%53.3%15.0%19.6%0.0%4.2%-24.2K263.8K-1.8K0.00130.442001,490846
2009-03-18$11.90$11.2528.1%8.1%55.4%10.3%0.0%0.0%4.4%-4.5K-46.3K-1.8K0.0086.62001,510846
2009-03-19$11.99$11.2525.5%7.3%55.5%8.5%0.0%0.0%5.9%10.4K-60.4K-1.7K0.0078.431001,510846
2009-03-20$11.82$11.2536.4%10.4%54.8%16.1%33.9%0.0%-0.5%13.0K-25.6K-1.6K0.52113.6346241,510846
2009-03-23$12.22$11.2523.9%6.9%54.5%7.4%0.0%0.0%2.4%19.9K-329.5K-1.7K0.00116.311040708184
2009-03-24$11.84$11.2536.9%10.6%55.8%16.4%0.0%0.0%-1.0%16.8K-244.6K-1.8K0.00100.561200772184
2009-03-25$11.86$11.2535.2%10.1%55.6%15.3%0.0%0.0%-1.9%21.2K-284.6K-1.9K0.00113.2160892184
2009-03-26$12.15$11.2519.1%5.5%55.2%4.0%0.0%0.0%8.5%25.0K-349.4K-2.0K0.00121.32100886184
2009-03-27$11.90$11.2518.8%5.4%55.9%3.8%0.0%0.0%11.0%22.1K-307.5K-1.9K0.00104.1220896184
2009-03-30$11.78$11.2534.8%10.0%50.6%15.0%0.0%0.0%4.2%19.1K-273.0K-1.9K0.00118.2300896184
2009-03-31$11.91$11.2526.0%7.4%48.6%8.8%0.0%0.0%6.8%20.6K-312.7K-1.9K0.0678.9221812896184