OGE Options History — May 2009

In May 2009, OGE traded between $12.59 and $13.27. ATM implied volatility averaged 30.6%, placing in the 12.0% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 9.4% (HV 20d: 21.2%). Max pain ranged from $11.25 to $11.25. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 2.92.

Notable Days

  • 2009-05-08: Highest Volume — 1,000 contracts
  • 2009-05-04: Largest IV spike — 404.5% change
  • 2009-05-22: Highest IV Rank — 50.2%
  • 2009-05-22: Largest Expected Move — 24.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.95$12.59$13.27$12.79$12.91
Max Pain$11.25$11.25$11.25$11.25$11.25
ATM IV30.6%16.1%85.0%16.1%27.3%
Expected Move8.6%4.6%24.4%4.6%7.8%
HV 20d21.2%19.2%24.0%21.4%20.1%
HV 60d37.3%30.9%40.0%39.6%30.9%
IV Rank12.0%1.9%50.2%1.9%9.7%
IV Percentile30.8%4.0%94.0%4.0%29.4%
Term Structure-0.0%-20.8%15.1%15.1%0.5%
VWIV33.7%18.9%79.9%28.4%20.0%
Bid-Ask Spread %110.2953.50170.08148.32124.36
Gamma HHI0.620.470.890.890.54
Net GEX43.2K20.6K63.5K61.2K45.9K
Net DEX-754.2K-1.1M-394.6K-814.6K-628.0K
Net VEX-5.4K-7.9K-1.9K-2.3K-7.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.920.0030.000.000.00
Total Volume116.401,000040
Total OI2,370.81,3503,1721,3503,170

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-05-01$12.79$11.2516.1%4.6%21.4%1.9%0.0%0.0%15.1%61.2K-814.6K-2.3K0.00148.32001,134216
2009-05-04$12.88$11.2581.3%9.2%21.4%47.5%0.0%0.0%-3.0%33.5K-771.4K-2.2K0.0053.50001,134216
2009-05-05$12.59$11.2520.4%9.2%23.1%4.9%0.0%0.0%-3.1%63.5K-691.7K-2.2K0.0062.99001,134216
2009-05-06$12.91$11.2517.3%8.0%24.0%2.7%0.0%0.0%-1.4%55.5K-911.0K-2.0K0.0099.86201,134216
2009-05-07$13.07$11.2521.1%8.0%24.0%5.4%0.0%0.0%-1.4%44.8K-973.0K-1.9K0.0088.72601,136216
2009-05-08$13.15$11.2521.5%8.5%23.3%5.6%0.0%0.0%-1.5%37.9K-1.0M-1.9K1.0090.055005001,142216
2009-05-11$13.19$11.2526.0%8.1%22.0%8.8%0.0%0.0%-0.8%34.9K-938.8K-5.3K0.04103.87512201,642716
2009-05-12$13.27$11.2530.5%8.2%20.0%12.0%0.0%0.0%-0.9%44.7K-1.1M-6.9K0.00102.17002,154716
2009-05-13$13.03$11.2529.3%8.2%21.3%11.2%0.0%0.0%-1.2%51.6K-999.7K-6.6K3.00104.2820602,154716
2009-05-14$13.01$11.2528.4%8.1%21.4%10.5%28.4%0.0%-1.1%50.1K-984.2K-6.7K30.00104.172602,174746
2009-05-15$12.86$11.2528.3%8.1%21.5%10.4%28.3%0.0%-1.0%54.9K-863.8K-6.5K0.00115.941002,174806
2009-05-18$12.94$11.2527.1%7.8%20.0%9.6%0.0%0.0%0.4%34.1K-502.9K-6.7K0.00118.62001,842786
2009-05-19$12.94$11.2527.3%7.8%19.6%9.7%0.0%0.0%0.1%34.2K-506.5K-6.6K0.00117.99001,842786
2009-05-20$12.80$11.2526.5%7.6%19.2%9.2%26.5%0.0%0.5%34.0K-436.8K-6.4K1.00120.1410101,842786
2009-05-21$12.77$11.2527.1%7.8%19.3%9.6%0.0%0.0%0.3%33.1K-394.6K-6.1K0.00120.33001,842796
2009-05-22$12.78$11.2585.0%24.4%19.3%50.2%79.9%0.0%-20.8%20.6K-492.7K-7.2K0.00170.083001,842796
2009-05-26$13.14$11.2526.1%7.5%21.3%8.9%0.0%0.0%1.7%36.9K-606.7K-6.4K0.00127.2951001,852796
2009-05-27$12.96$11.2522.2%6.4%21.6%6.2%18.9%0.0%8.6%47.3K-713.1K-7.9K0.00119.212802,362796
2009-05-28$12.97$11.2523.3%6.7%21.0%6.9%20.0%0.0%8.4%45.7K-692.1K-7.9K0.00113.90802,376796
2009-05-29$12.91$11.2527.3%7.8%20.1%9.7%0.0%0.0%0.5%45.9K-628.0K-7.9K0.00124.360402,374796