OGE Options History — December 2009

In December 2009, OGE traded between $17.55 and $18.77. ATM implied volatility averaged 18.0%, placing in the 5.8% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 2.2% (HV 20d: 15.8%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 1.21.

Notable Days

  • 2009-12-21: Highest Volume — 94 contracts
  • 2009-12-28: Largest IV spike — 47.9% change
  • 2009-12-31: Highest IV Rank — 11.8%
  • 2009-12-31: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.21$17.55$18.77$17.55$18.45
Max Pain$17.16$15.00$17.50$15.00$17.50
ATM IV18.0%13.4%26.5%18.8%26.5%
Expected Move5.3%4.0%7.6%5.4%7.6%
HV 20d15.8%11.6%20.5%20.5%12.9%
HV 60d20.6%20.0%21.4%21.2%20.0%
IV Rank5.8%2.5%11.8%6.4%11.8%
IV Percentile21.5%5.2%57.1%22.6%57.1%
Term Structure-2.2%-21.5%11.2%-0.6%-19.9%
VWIV21.1%18.3%26.5%18.3%26.5%
Skew 25d3.8%-6.4%19.7%19.7%3.6%
Skew 10d14.2%-0.1%32.9%32.9%7.1%
Call IV 25d17.6%9.8%42.8%22.3%14.2%
Put IV 25d21.4%13.5%48.5%42.0%17.8%
Bid-Ask Spread %102.1988.98127.1397.0896.30
Gamma HHI0.790.680.880.880.76
Net GEX21.6K10.8K31.6K27.1K14.3K
Net DEX-492.8K-582.5K-348.0K-348.0K-472.6K
Net VEX-1.8K-2.3K-1.5K-1.9K-1.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.210.0010.000.001.00
Total Volume13.545094208
Total OI1,193.6366761,5001,400768

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-12-01$17.55$15.0018.8%5.4%20.5%6.4%0.0%19.7%-0.6%27.1K-348.0K-1.9K0.0097.08200480920
2009-12-02$17.81$15.0014.4%4.1%20.4%3.2%0.0%8.3%5.9%31.6K-430.0K-1.8K4.00107.64416500920
2009-12-03$17.88$15.0013.9%4.0%20.4%2.8%0.0%-6.4%3.5%28.9K-476.0K-1.9K0.00112.1620504936
2009-12-04$17.88$17.5013.4%5.2%20.2%2.5%0.0%-4.3%-0.1%30.5K-461.1K-1.9K0.0092.4600506936
2009-12-07$18.00$17.5015.6%5.3%19.5%4.0%0.0%-5.5%-0.0%27.2K-495.2K-1.9K0.0092.9400506936
2009-12-08$18.02$17.5015.5%5.3%18.4%4.0%0.0%-4.7%0.5%26.1K-508.1K-1.9K0.0095.18100506936
2009-12-09$17.89$17.5015.1%5.2%16.7%3.7%0.0%-6.2%-0.1%31.4K-466.5K-1.8K0.0088.9800506936
2009-12-10$18.20$17.5018.4%5.3%17.6%6.1%0.0%4.9%-0.2%22.3K-544.8K-1.8K0.0098.4980506936
2009-12-11$18.35$17.5015.3%4.4%15.1%3.9%0.0%4.1%4.2%21.7K-582.5K-1.7K10.00105.96220514936
2009-12-14$18.27$17.5018.6%5.3%15.3%6.2%18.3%5.7%11.2%13.6K-495.7K-2.3K0.00107.5840516956
2009-12-15$18.18$17.5019.0%5.4%15.5%6.5%18.9%9.5%-0.6%23.5K-536.6K-1.8K0.1593.18264520956
2009-12-16$18.21$17.5019.9%5.7%15.5%7.1%19.7%7.1%-1.6%25.4K-576.4K-1.6K0.0090.86400530960
2009-12-17$18.05$17.5018.3%5.2%15.2%6.0%18.3%4.7%1.1%24.9K-536.7K-1.9K0.0097.80100530960
2009-12-18$18.07$17.5018.1%5.2%14.2%5.8%0.0%3.7%0.1%25.3K-556.4K-1.9K0.0097.8600540960
2009-12-21$18.20$17.5018.3%5.2%14.1%6.0%25.1%4.3%-4.8%18.6K-438.4K-1.8K1.76110.053460452224
2009-12-22$18.35$17.5017.0%4.9%13.3%5.1%0.0%6.3%-2.5%16.0K-430.1K-1.8K0.00110.0900454284
2009-12-23$18.41$17.5017.2%4.9%13.3%5.2%0.0%9.6%-2.7%14.8K-426.5K-1.9K0.0092.6700454284
2009-12-24$18.73$17.5015.9%4.6%14.1%4.3%0.0%6.3%-0.2%14.3K-522.1K-1.6K0.00110.0100454284
2009-12-28$18.71$17.5023.5%6.7%12.2%9.7%0.0%7.9%-14.2%13.0K-523.1K-1.6K0.00127.13200454284
2009-12-29$18.74$17.5025.3%7.3%12.2%11.0%0.0%0.0%-21.5%10.8K-478.0K-2.0K0.00113.0900474284
2009-12-30$18.77$17.5018.1%5.2%11.6%5.8%0.0%1.0%-5.9%14.1K-537.9K-1.5K0.00110.59100474284
2009-12-31$18.45$17.5026.5%7.6%12.9%11.8%26.5%3.6%-19.9%14.3K-472.6K-1.8K1.0096.3044484284