OGE Options History — May 2012

In May 2012, OGE traded between $26.36 and $27.46. ATM implied volatility averaged 40.4%, placing in the 25.9% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded above realized volatility by 24.2% (HV 20d: 16.1%). 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 10 of 22 days. Put/call ratio averaged 0.00.

Notable Days

  • 2012-05-03: Highest Volume — 12 contracts
  • 2012-05-18: Largest IV spike — 80.5% change
  • 2012-05-09: Highest IV Rank — 51.0%
  • 2012-05-03: Largest Expected Move — 15.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.85$26.36$27.46$26.96$26.62
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV40.4%22.5%69.4%51.7%32.1%
Expected Move10.1%6.4%15.6%14.8%9.2%
HV 20d16.1%14.7%17.8%14.7%16.3%
HV 60d14.1%13.0%14.7%13.0%13.9%
IV Rank25.9%10.5%51.0%35.7%18.8%
IV Percentile71.9%44.8%97.6%90.5%61.5%
Term Structure-6.6%-51.0%24.1%-43.5%18.0%
VWIV23.2%23.2%23.2%23.2%23.2%
Skew 25d22.7%-5.8%53.3%1.3%53.3%
Skew 10d36.4%-1.0%71.9%8.4%71.9%
Call IV 25d33.2%17.7%75.3%72.4%20.3%
Put IV 25d55.9%19.4%78.0%73.7%73.6%
Bid-Ask Spread %128.39125.15132.22128.98130.16
Gamma HHI0.440.400.570.570.43
Net GEX36.3K26.5K49.7K49.7K31.7K
Net DEX-368.0K-525.5K-246.3K-375.4K-307.1K
Net VEX-2.4K-2.7K-1.9K-2.4K-2.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume1.18201200
Total OI754.909746762746752

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-05-01$26.96$0.0051.7%14.8%14.7%35.7%0.0%1.3%-43.5%49.7K-375.4K-2.4K0.00128.9800552194
2012-05-02$26.67$0.0053.2%15.2%15.3%37.0%0.0%2.6%-51.0%31.1K-327.4K-2.7K0.00129.3300552194
2012-05-03$27.44$0.0054.6%15.6%17.8%38.2%0.0%3.1%-25.9%46.9K-501.7K-2.7K0.00128.83120552194
2012-05-04$27.46$25.0056.3%9.5%16.9%39.7%0.0%19.4%-14.3%49.1K-525.5K-2.7K0.00127.4800564194
2012-05-07$27.09$25.0063.2%9.9%17.6%45.6%0.0%17.4%-16.6%39.2K-427.2K-2.7K0.00127.6800564194
2012-05-08$26.95$25.0066.1%10.1%16.0%48.2%0.0%16.5%-17.5%36.3K-398.6K-2.7K0.00127.6500564194
2012-05-09$26.84$25.0069.4%10.2%16.1%51.0%0.0%16.2%-18.4%33.9K-373.8K-2.6K0.00127.6000564194
2012-05-10$27.16$25.0036.0%10.3%16.3%22.1%0.0%18.5%-17.6%41.2K-448.9K-2.6K0.00127.8400564194
2012-05-11$27.04$25.0036.5%10.5%16.1%22.6%0.0%17.9%-18.5%38.1K-416.7K-2.6K0.00127.1700564194
2012-05-14$27.00$25.0038.2%10.9%16.0%24.0%0.0%18.5%-20.2%37.5K-410.5K-2.6K0.00128.0700564194
2012-05-15$26.94$25.0027.0%7.7%15.7%14.4%0.0%30.6%2.5%35.4K-390.9K-2.5K0.00127.8400564194
2012-05-16$26.95$25.0022.6%6.5%15.4%10.5%0.0%35.9%12.1%35.9K-392.3K-2.5K0.00127.9800564194
2012-05-17$26.58$25.0022.5%6.4%16.3%10.5%0.0%35.3%11.2%31.5K-318.0K-2.4K0.00128.8900564194
2012-05-18$26.36$25.0040.6%11.6%16.0%26.1%0.0%16.3%-25.5%26.5K-274.0K-2.4K0.00127.3600564194
2012-05-21$26.68$25.0043.0%12.3%16.2%28.2%0.0%-5.8%-16.5%34.3K-334.2K-2.3K0.00127.1340564194
2012-05-22$26.80$25.0030.5%8.7%15.9%17.3%23.2%31.8%10.0%36.8K-377.4K-2.3K0.00128.68100568194
2012-05-23$26.53$25.0025.6%7.3%16.0%13.1%0.0%42.0%19.8%28.3K-298.4K-2.3K0.00129.0200558194
2012-05-24$26.70$25.0024.3%7.0%16.1%12.0%0.0%0.7%24.1%33.0K-315.5K-2.2K0.00128.0700558194
2012-05-25$26.73$25.0030.5%8.8%16.0%17.4%0.0%36.5%12.9%39.0K-309.6K-2.0K0.00125.1500558194
2012-05-29$26.71$25.0030.4%8.7%15.9%17.3%0.0%50.8%18.6%33.1K-326.8K-2.1K0.00131.5300558194
2012-05-30$26.39$25.0034.0%9.7%16.4%20.4%0.0%39.9%11.3%29.5K-246.3K-1.9K0.00132.2200558194
2012-05-31$26.62$25.0032.1%9.2%16.3%18.8%0.0%53.3%18.0%31.7K-307.1K-2.0K0.00130.1600558194