OGE Options History — March 2011

In March 2011, OGE traded between $23.80 and $25.28. ATM implied volatility averaged 18.3%, placing in the 8.9% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 2.6% (HV 20d: 15.7%). Max pain ranged from $20.00 to $25.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 14 of 23 days. Put/call ratio averaged 0.16.

Notable Days

  • 2011-03-07: Highest Volume — 334 contracts
  • 2011-03-17: Largest IV spike — 29.0% change
  • 2011-03-10: Highest IV Rank — 12.9%
  • 2011-03-10: Largest Expected Move — 6.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.47$23.80$25.28$23.94$25.28
Max Pain$22.39$20.00$25.00$20.00$22.50
ATM IV18.3%15.1%21.4%19.1%16.2%
Expected Move5.4%4.3%6.1%5.5%4.6%
HV 20d15.7%12.9%17.7%12.9%16.2%
HV 60d13.4%12.2%14.2%12.2%14.0%
IV Rank8.9%4.9%12.9%9.9%6.3%
IV Percentile39.2%11.9%65.9%45.6%19.8%
Term Structure0.5%-0.9%3.1%-0.6%2.7%
VWIV21.6%19.6%27.0%19.7%19.6%
Skew 25d6.6%-3.2%38.8%4.4%31.6%
Skew 10d12.4%-2.4%53.1%4.5%53.1%
Call IV 25d18.3%15.5%21.5%18.5%15.5%
Put IV 25d24.9%15.0%54.7%22.9%47.2%
Bid-Ask Spread %69.2745.04200.0082.7765.89
Gamma HHI0.840.660.930.660.93
Net GEX173.0K21.3K254.5K144.2K178.7K
Net DEX-2.6M-3.7M-1.0M-2.5M-2.6M
Net VEX-8.4K-9.9K-97-8.4K-8.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.160.002.000.000.00
Total Volume34.26103346020
Total OI2,317.131,0482,9082,4021,900

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-03-01$23.94$20.0019.1%5.5%12.9%9.9%0.0%4.4%-0.6%144.2K-2.5M-8.4K0.0082.776002,110292
2011-03-02$24.36$20.0018.1%5.2%13.3%8.7%19.7%3.9%-0.1%152.8K-2.8M-8.4K2.0072.63482,130292
2011-03-03$24.57$20.0017.7%5.1%13.1%8.2%0.0%4.6%0.9%143.8K-3.0M-8.5K0.0945.04170162,134300
2011-03-04$24.43$25.0017.8%5.9%13.5%8.4%0.0%4.2%-0.1%158.7K-2.9M-9.1K0.0064.822202,204300
2011-03-07$24.46$25.0016.7%6.1%13.4%6.9%27.0%5.2%0.2%155.7K-3.0M-9.0K0.0059.5733402,226300
2011-03-08$24.73$22.5019.3%5.8%13.7%10.2%20.2%5.2%0.8%242.6K-3.6M-9.9K0.3365.29622,560300
2011-03-09$24.82$22.5018.9%6.1%13.7%9.6%21.3%5.0%-0.9%254.5K-3.7M-9.8K0.0070.283002,560300
2011-03-10$24.34$22.5021.4%6.1%15.7%12.9%0.0%3.9%-0.7%222.1K-3.2M-9.4K0.0063.05202,590300
2011-03-11$24.47$22.5020.8%6.0%15.7%12.1%0.0%3.7%-0.2%241.7K-3.3M-9.5K0.0048.92002,592300
2011-03-14$24.43$22.5019.8%5.7%15.8%10.9%0.0%3.5%0.8%237.6K-3.2M-9.2K0.0047.76002,592300
2011-03-15$23.93$22.5020.3%5.8%17.7%11.5%0.0%4.8%-0.1%195.9K-2.8M-8.9K0.0050.672202,592300
2011-03-16$23.80$0.0015.9%4.5%17.7%5.9%0.0%0.0%-0.9%21.3K-1.0M-970.00200.0000868180
2011-03-17$23.86$22.5020.5%5.9%17.7%11.7%0.0%4.0%0.0%168.6K-2.7M-8.6K0.0052.33202,608300
2011-03-18$24.02$22.5018.9%5.4%16.4%9.7%0.0%3.1%0.3%199.8K-2.8M-8.6K0.0049.373002,608300
2011-03-21$24.57$22.5019.6%5.6%17.3%10.5%0.0%-2.0%0.3%147.0K-2.1M-8.6K0.0067.51201,742120
2011-03-22$24.55$22.5017.7%5.1%17.2%8.2%19.6%-2.8%0.3%148.1K-2.1M-8.5K0.0071.021001,742120
2011-03-23$24.59$22.5017.6%5.1%16.8%8.1%0.0%-3.2%0.2%153.0K-2.1M-8.5K0.0070.95001,752120
2011-03-24$24.63$22.5016.8%4.8%16.7%7.1%0.0%-2.0%1.4%159.0K-2.1M-8.4K0.0072.53001,752120
2011-03-25$24.63$22.5017.7%5.1%16.3%8.2%0.0%-1.6%0.1%155.1K-2.1M-8.4K0.0072.000201,752120
2011-03-28$24.49$22.5018.5%5.3%16.5%9.2%0.0%-3.2%-0.1%154.3K-2.0M-8.3K0.0070.80001,752120
2011-03-29$24.73$22.5015.8%4.5%16.6%5.8%0.0%38.8%3.1%168.7K-2.1M-8.1K0.0063.33001,752120
2011-03-30$25.09$22.5015.1%4.3%16.3%4.9%0.0%34.6%3.0%175.4K-2.4M-8.2K0.0066.592801,752120
2011-03-31$25.28$22.5016.2%4.6%16.2%6.3%0.0%31.6%2.7%178.7K-2.6M-8.3K0.0065.892001,780120