OGE Options History — August 2011

In August 2011, OGE traded between $20.58 and $25.09. ATM implied volatility averaged 24.4%, placing in the 14.9% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded below realized volatility by 22.0% (HV 20d: 46.4%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 10 of 23 days. Put/call ratio averaged 2.70.

Notable Days

  • 2011-08-22: Highest Volume — 222 contracts
  • 2011-08-04: Largest IV spike — 74.3% change
  • 2011-08-08: Highest IV Rank — 54.0%
  • 2011-08-08: Largest Expected Move — 10.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.61$20.58$25.09$25.09$25.02
Max Pain$23.26$22.50$25.00$25.00$22.50
ATM IV24.4%14.0%54.8%20.9%15.1%
Expected Move6.5%4.0%10.4%6.0%4.3%
HV 20d46.4%15.3%58.0%15.3%57.5%
HV 60d29.7%15.7%35.1%15.9%35.0%
IV Rank14.9%1.5%54.0%10.4%2.8%
IV Percentile57.1%0.8%97.2%77.4%2.0%
Term Structure0.2%-11.3%6.6%-1.0%4.1%
VWIV19.2%13.3%27.8%17.6%15.1%
Skew 25d10.3%-0.3%36.0%3.4%2.7%
Skew 10d15.6%0.8%46.2%4.9%4.4%
Call IV 25d17.8%13.6%26.2%16.7%13.8%
Put IV 25d28.1%15.2%51.0%20.0%16.6%
Bid-Ask Spread %76.9762.94100.6964.8762.94
Gamma HHI0.450.330.570.460.56
Net GEX97.8K22.8K199.3K141.2K187.4K
Net DEX-677.1K-1.4M-32.9K-1.3M-1.4M
Net VEX-6.4K-8.5K-3.4K-8.5K-8.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.700.0025.000.000.00
Total Volume44.870222128
Total OI1,957.3911,8542,1261,8821,998

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-08-01$25.09$25.0020.9%6.0%15.3%10.4%0.0%3.4%-1.0%141.2K-1.3M-8.5K0.0064.871201,728154
2011-08-02$24.60$25.0019.4%5.6%16.6%8.5%0.0%-0.3%-0.4%126.8K-1.1M-8.3K0.0067.50001,740154
2011-08-03$24.71$25.0018.9%5.4%16.6%7.8%0.0%0.1%-0.1%131.2K-1.1M-8.2K0.0068.69001,740154
2011-08-04$23.33$25.0032.9%9.4%25.6%25.9%0.0%10.4%-11.3%75.6K-517.9K-6.1K0.0082.1416001,740154
2011-08-05$22.50$25.0033.0%7.9%27.9%26.0%17.6%4.2%-2.9%49.1K-267.6K-5.1K0.0098.372401,800154
2011-08-08$20.58$25.0054.8%10.4%40.4%54.0%27.8%12.0%-4.0%22.8K-32.9K-3.4K0.00100.69021,800154
2011-08-09$21.86$25.0039.8%9.1%47.6%34.8%25.1%5.5%-5.4%32.8K-120.1K-4.2K0.0092.798001,800152
2011-08-10$21.80$22.5039.4%8.6%47.6%34.2%0.0%12.3%-6.7%39.3K-216.4K-4.5K0.0086.49001,780152
2011-08-11$23.04$22.5030.6%8.8%52.5%22.9%0.0%11.0%-4.6%66.1K-488.4K-5.9K0.0078.74001,780152
2011-08-12$23.05$22.5028.6%8.2%52.3%20.3%0.0%10.9%-4.0%66.1K-439.8K-5.8K0.0079.43201,780152
2011-08-15$23.82$22.5016.1%4.6%53.8%4.2%0.0%10.1%6.6%89.2K-603.0K-6.2K0.0072.81001,782152
2011-08-16$23.69$22.5020.6%5.9%53.4%10.0%0.0%6.9%6.3%80.9K-517.6K-6.0K0.0072.511601,782152
2011-08-17$24.04$22.5018.0%5.2%53.6%6.6%0.0%1.4%6.5%104.6K-674.0K-6.6K0.0083.48001,766152
2011-08-18$23.32$22.5025.0%7.2%53.7%15.7%0.0%12.0%-1.1%68.9K-427.9K-5.8K25.0092.9282001,766152
2011-08-19$22.84$22.5025.8%7.4%54.0%16.7%13.3%12.8%-1.4%44.7K-160.3K-5.1K0.0068.424001,774352
2011-08-22$22.87$22.5027.7%7.9%54.0%19.1%16.2%8.1%-2.3%43.3K-189.1K-5.2K10.1071.56202021,734346
2011-08-23$23.84$22.5015.1%4.3%56.6%2.9%0.0%9.7%5.4%85.2K-620.1K-6.1K0.0071.9114401,714140
2011-08-24$24.46$22.5015.3%4.4%57.5%3.2%15.1%33.1%4.6%144.3K-979.4K-7.6K0.0067.068201,858140
2011-08-25$24.22$22.5019.1%5.5%57.5%8.1%0.0%6.8%1.2%122.9K-891.0K-7.1K0.0064.15001,874140
2011-08-26$24.43$22.5016.0%4.6%57.6%4.0%0.0%36.0%4.2%147.7K-932.6K-7.5K0.0067.66001,874140
2011-08-29$24.88$22.5015.9%4.5%58.0%3.9%0.0%2.4%5.4%179.1K-1.3M-8.0K0.0077.043201,874140
2011-08-30$25.02$22.5014.0%4.0%57.5%1.5%0.0%26.1%5.3%199.3K-1.3M-8.0K0.0078.25001,858140
2011-08-31$25.02$22.5015.1%4.3%57.5%2.8%0.0%2.7%4.1%187.4K-1.4M-8.0K0.0062.94801,858140