OGE Options History — July 2009

In July 2009, OGE traded between $13.46 and $15.14. ATM implied volatility averaged 49.9%, placing in the 25.6% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 22.4% (HV 20d: 27.6%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 0.12.

Notable Days

  • 2009-07-20: Highest Volume — 114 contracts
  • 2009-07-13: Largest IV spike — 110.2% change
  • 2009-07-13: Highest IV Rank — 95.7%
  • 2009-07-01: Largest Expected Move — 13.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.35$13.46$15.14$14.52$15.05
Max Pain$12.95$12.50$15.00$12.50$12.50
ATM IV49.9%17.6%150.0%47.1%17.6%
Expected Move7.8%5.1%13.5%13.5%5.1%
HV 20d27.6%22.1%31.5%25.0%22.1%
HV 60d24.7%23.7%25.4%23.7%24.1%
IV Rank25.6%2.9%95.7%23.6%2.9%
IV Percentile48.1%7.9%99.2%70.6%7.9%
Term Structure0.1%-2.8%11.7%11.7%2.0%
VWIV24.9%20.5%32.6%32.6%21.1%
Skew 25d-3.4%-32.2%10.2%10.2%-4.6%
Skew 10d-13.2%-48.9%-1.8%-1.8%-7.2%
Call IV 25d25.6%16.1%51.0%16.1%22.9%
Put IV 25d22.3%18.4%26.3%26.3%18.4%
Bid-Ask Spread %96.0955.13161.59159.38131.83
Gamma HHI0.860.800.910.840.90
Net GEX95.1K59.5K148.2K69.9K148.2K
Net DEX-1.7M-2.6M-886.0K-1.5M-2.6M
Net VEX-9.3K-9.7K-8.8K-9.5K-9.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.120.001.670.000.00
Total Volume45.63601143050
Total OI3,587.4553,2503,8743,2503,874

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-07-01$14.52$12.5047.1%13.5%25.0%23.6%0.0%0.0%11.7%69.9K-1.5M-9.5K0.00159.383002,474776
2009-07-02$14.04$12.5046.6%13.4%28.3%23.2%0.0%0.0%10.1%61.6K-1.2M-9.2K0.00161.5911002,504776
2009-07-06$14.18$15.0054.9%7.9%28.4%29.1%0.0%0.0%-1.1%68.0K-1.3M-9.5K0.0074.4410002,604776
2009-07-07$13.79$15.0072.7%7.9%30.2%41.5%0.0%0.0%-0.8%60.9K-1.0M-9.2K0.0361.027622,704776
2009-07-08$13.46$15.0069.1%9.9%31.5%39.0%0.0%0.0%-2.8%59.5K-886.0K-8.8K0.0088.82022,772778
2009-07-09$13.59$15.0066.5%9.3%31.4%37.2%32.6%0.0%-2.1%63.3K-985.1K-9.1K0.0077.710202,772780
2009-07-10$13.53$12.5071.4%9.3%28.0%40.6%0.0%0.0%-1.7%61.9K-937.2K-9.1K0.0089.61002,772800
2009-07-13$13.71$12.50150.0%9.7%28.1%95.7%26.2%0.0%-2.8%67.3K-1.0M-8.9K0.0055.131602,772800
2009-07-14$13.77$12.50115.2%7.4%27.8%71.3%0.0%0.0%-0.8%68.9K-1.1M-9.2K0.0057.44002,766800
2009-07-15$14.03$12.50137.5%7.5%28.5%86.9%0.0%0.0%-1.7%77.6K-1.3M-9.4K0.0078.51402,766800
2009-07-16$14.18$12.5024.4%7.0%28.7%7.7%0.0%0.0%0.1%82.8K-1.5M-9.3K0.0072.316002,766800
2009-07-17$14.23$12.5026.5%7.6%28.5%9.2%26.5%0.0%-2.1%86.5K-1.5M-9.4K0.0086.242602,762800
2009-07-20$14.47$12.5026.3%7.5%28.4%9.0%0.0%10.2%-1.8%95.7K-1.7M-9.5K0.0073.8811402,788770
2009-07-21$14.63$12.5022.8%6.5%28.2%6.6%0.0%4.9%-0.7%108.6K-1.9M-9.3K0.0092.008602,786770
2009-07-22$14.59$12.5022.9%6.6%27.3%6.6%23.0%5.2%-0.7%109.2K-1.8M-9.5K0.0096.102602,830770
2009-07-23$14.91$12.5024.4%7.0%27.9%7.7%24.4%5.1%-2.4%118.9K-2.2M-9.4K0.0090.8910602,856770
2009-07-24$15.11$12.5020.5%5.9%25.2%5.0%20.5%5.8%-0.0%133.1K-2.5M-9.7K0.0094.994402,946770
2009-07-27$15.14$12.5021.1%6.0%25.1%5.4%21.1%-32.2%-0.4%138.5K-2.6M-9.6K1.67123.4212202,986770
2009-07-28$14.92$12.5021.9%6.3%25.9%5.9%0.0%5.8%-0.8%135.0K-2.3M-9.6K0.00112.95002,984790
2009-07-29$14.84$12.5021.2%6.1%26.0%5.5%0.0%-29.0%-0.3%133.0K-2.3M-9.5K0.00114.542002,984790
2009-07-30$15.13$12.5017.9%5.1%25.5%3.1%0.0%-4.7%1.8%144.9K-2.6M-9.4K0.33121.1360203,004790
2009-07-31$15.05$12.5017.6%5.1%22.1%2.9%0.0%-4.6%2.0%148.2K-2.6M-9.7K0.00131.835003,064810