OGE Options History — March 2012

In March 2012, OGE traded between $25.83 and $26.75. ATM implied volatility averaged 50.6%, placing in the 50.8% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded above realized volatility by 37.8% (HV 20d: 12.8%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 0.00.

Notable Days

  • 2012-03-05: Highest Volume — 112 contracts
  • 2012-03-14: Largest IV spike — 145.4% change
  • 2012-03-06: Highest IV Rank — 100.0%
  • 2012-03-02: Largest Expected Move — 17.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.32$25.83$26.75$26.18$26.75
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV50.6%22.7%126.2%56.9%27.2%
Expected Move9.9%6.4%17.0%16.3%7.8%
HV 20d12.8%10.0%14.7%14.3%10.8%
HV 60d15.0%12.7%17.1%17.0%12.7%
IV Rank50.8%10.7%100.0%78.3%14.5%
IV Percentile87.2%60.3%100.0%98.4%69.4%
Term Structure-2.1%-18.8%25.2%-15.0%20.1%
VWIV24.6%21.6%27.7%27.7%21.6%
Skew 25d15.9%1.5%63.9%63.9%24.8%
Skew 10d11.2%3.9%76.8%76.8%11.4%
Call IV 25d41.1%10.6%64.7%10.6%37.3%
Put IV 25d57.0%45.1%83.8%74.5%62.1%
Bid-Ask Spread %128.55120.59131.54124.45129.08
Gamma HHI0.630.380.870.870.46
Net GEX103.4K24.9K232.0K153.6K32.7K
Net DEX-1.1M-1.9M-312.7K-1.2M-520.8K
Net VEX-3.8K-5.2K-2.6K-5.0K-3.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume18.364011200
Total OI1,435.7276662,0501,914782

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-03-01$26.18$25.0056.9%16.3%14.3%78.3%0.0%63.9%-15.0%153.6K-1.2M-5.0K0.00124.45001,696218
2012-03-02$26.16$25.0059.4%17.0%13.8%82.6%0.0%27.3%-18.8%119.1K-1.4M-5.2K0.00131.54001,696218
2012-03-05$26.09$0.0066.7%9.7%13.8%94.8%27.7%18.2%-7.5%117.1K-1.4M-4.9K0.00129.2011201,696218
2012-03-06$25.83$25.0070.5%8.7%14.2%100.0%21.6%24.4%-0.4%128.2K-1.3M-5.0K0.00120.597201,776218
2012-03-07$26.04$25.0073.2%9.8%14.4%100.0%0.0%19.1%-7.9%146.0K-1.5M-5.2K0.00129.74021,832218
2012-03-08$26.13$25.0076.8%9.3%14.4%100.0%0.0%19.3%-1.6%130.5K-1.6M-4.6K0.00128.68201,832218
2012-03-09$26.32$25.0076.4%6.4%14.7%99.4%0.0%17.8%9.9%140.6K-1.8M-5.0K0.00128.32001,830218
2012-03-12$26.45$25.0045.3%6.6%14.6%52.6%0.0%16.9%9.1%203.0K-1.6M-4.4K0.00127.87001,830218
2012-03-13$26.57$25.0051.4%10.0%14.6%61.8%0.0%1.5%-16.1%220.0K-1.7M-4.2K0.00129.85001,830218
2012-03-14$26.39$25.00126.2%6.9%14.4%100.0%0.0%16.1%1.6%148.6K-1.9M-4.1K0.00128.80001,830218
2012-03-15$26.47$25.0036.5%10.5%14.4%22.6%0.0%1.5%-17.8%232.0K-1.5M-3.6K0.00128.88001,830218
2012-03-16$26.48$25.0024.8%7.1%13.1%12.5%0.0%15.5%5.8%228.5K-1.4M-3.4K0.00128.83001,830218
2012-03-19$26.39$25.0025.8%7.4%12.9%13.3%0.0%17.5%11.3%24.9K-389.3K-2.8K0.00129.55100492174
2012-03-20$26.32$25.0039.6%11.3%11.5%25.2%0.0%1.6%-13.3%29.6K-522.8K-2.8K0.00129.53820502174
2012-03-21$26.14$25.0039.5%11.3%11.8%25.1%0.0%1.7%-3.0%25.1K-312.7K-2.6K0.00129.75400564174
2012-03-22$25.91$25.0040.6%11.6%11.7%26.1%0.0%1.7%-5.9%24.9K-382.6K-3.1K0.00128.95200584174
2012-03-23$26.23$25.0040.6%11.6%10.8%26.1%0.0%1.7%-5.1%26.6K-435.7K-3.2K0.00129.21200584174
2012-03-26$26.48$25.0024.6%7.0%10.7%12.2%0.0%27.1%20.0%38.7K-620.9K-3.0K0.00129.5240584174
2012-03-27$26.63$25.0022.7%6.5%10.0%10.7%0.0%29.9%25.2%38.6K-639.3K-3.1K0.00130.32020588174
2012-03-28$26.42$25.0044.4%12.7%10.4%29.4%0.0%1.8%-18.0%36.7K-605.3K-3.1K0.00130.16200588194
2012-03-29$26.63$25.0045.1%12.9%10.7%30.0%0.0%1.6%-18.2%29.4K-475.9K-3.2K0.00125.2600588194
2012-03-30$26.75$25.0027.2%7.8%10.8%14.5%0.0%24.8%20.1%32.7K-520.8K-3.2K0.00129.0800588194