OGE Options History — September 2009

In September 2009, OGE traded between $15.38 and $16.77. ATM implied volatility averaged 25.6%, placing in the 10.3% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 8.4% (HV 20d: 17.1%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.26.

Notable Days

  • 2009-09-01: Highest Volume — 264 contracts
  • 2009-09-11: Largest IV spike — 105.1% change
  • 2009-09-18: Highest IV Rank — 73.0%
  • 2009-09-11: Largest Expected Move — 11.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.11$15.38$16.77$15.68$16.54
Max Pain$14.53$12.50$15.00$12.50$15.00
ATM IV25.6%9.9%112.7%16.9%11.5%
Expected Move4.7%2.8%11.6%4.8%3.3%
HV 20d17.1%14.3%19.2%14.3%17.5%
HV 60d20.8%17.5%22.8%22.4%17.5%
IV Rank10.3%0.0%73.0%2.5%1.1%
IV Percentile21.7%0.0%98.0%6.7%1.6%
Term Structure-0.3%-30.2%8.9%2.4%0.8%
Skew 25d-21.7%-47.1%3.8%-3.1%-47.1%
Skew 10d-24.7%-59.5%13.0%0.4%-59.5%
Call IV 25d41.8%15.7%74.8%19.6%74.8%
Put IV 25d20.2%11.3%27.7%16.5%27.7%
Bid-Ask Spread %104.6975.40122.5077.62119.78
Gamma HHI0.840.790.890.860.82
Net GEX102.2K65.3K152.5K131.4K78.4K
Net DEX-3.0M-4.0M-2.5M-3.1M-2.6M
Net VEX-6.2K-8.5K-3.7K-7.6K-4.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.260.001.541.540.00
Total Volume1602642640
Total OI3,571.6192,8544,0443,8642,854

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-09-01$15.68$12.5016.9%4.8%14.3%2.5%0.0%-3.1%2.4%131.4K-3.1M-7.6K1.5477.621041602,954910
2009-09-02$15.38$12.5015.4%4.4%16.2%1.4%0.0%-11.3%0.7%152.5K-2.7M-8.5K0.0082.40002,9501,070
2009-09-03$15.43$12.5011.9%3.4%16.0%0.0%0.0%1.7%8.9%151.5K-2.7M-8.1K0.0075.40002,9501,070
2009-09-04$15.47$0.0012.4%5.6%14.8%0.3%0.0%3.8%1.3%149.2K-2.8M-8.0K0.0076.42402,9501,070
2009-09-08$15.75$0.0016.7%6.2%15.7%3.4%0.0%-38.1%1.2%110.1K-3.1M-7.5K0.00117.22002,9501,070
2009-09-09$15.64$0.0023.5%5.9%15.9%8.4%0.0%-38.3%3.1%135.2K-3.0M-7.7K0.00108.80002,9501,070
2009-09-10$15.52$0.0019.7%5.6%15.8%5.6%0.0%-40.8%2.3%145.9K-2.9M-7.7K0.00109.010202,9501,070
2009-09-11$15.63$0.0040.4%11.6%16.0%20.6%0.0%-47.1%-30.2%130.0K-3.0M-7.6K0.00122.50802,9501,090
2009-09-14$16.07$15.0026.7%6.9%18.7%10.7%0.0%0.0%-2.2%84.6K-3.4M-6.9K0.0091.691002,9541,090
2009-09-15$16.22$15.0035.8%6.7%18.8%17.3%0.0%0.0%-2.3%82.0K-3.6M-6.7K0.0088.84002,9441,090
2009-09-16$16.38$15.0046.8%3.4%18.9%25.3%0.0%0.0%-0.1%81.9K-3.8M-5.8K0.00102.17002,9441,090
2009-09-17$16.34$15.0066.4%3.3%18.9%39.5%0.0%0.0%0.3%82.9K-3.8M-5.5K0.0092.771002,9281,090
2009-09-18$16.54$15.00112.7%3.6%19.2%73.0%0.0%0.0%-1.5%80.9K-4.0M-4.5K0.00110.62002,9281,090
2009-09-21$16.48$15.009.9%2.8%18.0%0.0%0.0%0.0%-0.4%82.7K-2.5M-4.8K0.00109.68002,072782
2009-09-22$16.50$15.0011.4%3.3%17.7%1.1%0.0%0.0%-0.2%82.2K-2.6M-4.8K0.00111.09002,072782
2009-09-23$16.41$15.0011.4%3.3%17.7%1.1%0.0%0.0%1.0%82.8K-2.5M-5.2K0.00122.37002,072782
2009-09-24$16.45$15.0011.5%3.3%17.6%1.1%0.0%0.0%1.0%80.5K-2.5M-5.1K0.00121.22002,072782
2009-09-25$16.41$15.0011.7%3.3%17.6%1.3%0.0%0.0%1.4%81.6K-2.5M-5.1K0.00121.22002,072782
2009-09-28$16.64$15.0011.3%3.2%17.6%1.0%0.0%0.0%2.6%74.8K-2.6M-4.6K0.00121.56002,072782
2009-09-29$16.77$15.0013.1%3.8%16.4%2.3%0.0%0.0%4.6%65.3K-2.9M-3.7K0.00116.072002,072782
2009-09-30$16.54$15.0011.5%3.3%17.5%1.1%0.0%0.0%0.8%78.4K-2.6M-4.7K0.00119.78002,072782