OGE Options History — June 2012

In June 2012, OGE traded between $25.20 and $27.16. ATM implied volatility averaged 41.7%, placing in the 27.0% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded above realized volatility by 28.9% (HV 20d: 12.8%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.00.

Notable Days

  • 2012-06-15: Highest Volume — 24 contracts
  • 2012-06-14: Largest IV drop — 65.8% change
  • 2012-06-13: Highest IV Rank — 51.6%
  • 2012-06-29: Largest Expected Move — 14.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.44$25.20$27.16$26.60$25.89
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV41.7%24.0%70.1%33.1%50.0%
Expected Move9.9%6.7%14.3%9.5%14.3%
HV 20d12.8%9.7%16.3%12.3%16.3%
HV 60d14.3%13.6%15.6%13.8%15.6%
IV Rank27.0%11.8%51.6%19.6%34.2%
IV Percentile73.1%44.0%98.0%62.7%83.7%
Term Structure-3.6%-14.9%17.7%17.7%-14.4%
Skew 25d18.1%1.0%54.9%54.9%37.2%
Skew 10d12.1%4.2%74.3%74.3%13.3%
Call IV 25d38.6%21.1%47.8%21.1%32.8%
Put IV 25d56.7%48.0%76.1%76.1%70.0%
Bid-Ask Spread %128.80126.13132.46132.46129.79
Gamma HHI0.470.420.760.430.43
Net GEX27.2K9.0K70.9K31.3K11.5K
Net DEX-229.9K-393.3K-81.9K-302.8K-121.9K
Net VEX-1.4K-2.0K-991-2.0K-1.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume402404
Total OI520.762254752752282

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-06-01$26.60$25.0033.1%9.5%12.3%19.6%0.0%54.9%17.7%31.3K-302.8K-2.0K0.00132.4600558194
2012-06-04$26.44$0.0036.6%9.6%12.4%22.7%0.0%2.3%-13.8%28.6K-260.6K-1.8K0.00128.2900558194
2012-06-05$26.67$0.0040.2%9.1%12.0%25.8%0.0%2.5%-13.6%41.4K-276.4K-1.7K0.00128.05200558194
2012-06-06$26.89$0.0038.2%9.3%12.3%24.0%0.0%2.1%-13.4%70.9K-306.2K-1.6K0.00129.3580558194
2012-06-07$26.90$0.0043.3%9.4%12.3%28.4%0.0%2.2%-13.7%36.6K-369.8K-1.9K0.00126.9400558194
2012-06-08$26.92$0.0046.0%9.5%11.5%30.7%0.0%1.0%-14.0%38.8K-393.3K-1.8K0.00126.1300558194
2012-06-11$26.97$0.0053.0%6.7%11.4%36.8%0.0%10.4%-1.1%41.9K-375.1K-1.6K0.00128.6700558194
2012-06-12$26.89$0.0058.9%6.7%11.4%41.9%0.0%11.5%7.5%37.0K-341.7K-1.5K0.00129.0300540194
2012-06-13$26.73$0.0070.1%6.8%11.6%51.6%0.0%13.5%7.1%51.9K-258.5K-1.3K0.00128.9400540194
2012-06-14$26.75$0.0024.0%6.9%11.6%11.8%0.0%12.4%7.0%37.3K-310.8K-1.4K0.00129.5700540194
2012-06-15$26.98$0.0024.5%7.0%10.9%12.2%0.0%11.6%7.3%36.1K-358.1K-1.3K0.00129.27240540194
2012-06-18$27.16$0.0025.7%7.4%10.5%13.2%0.0%10.5%13.5%16.5K-166.9K-1.1K0.00128.660021440
2012-06-19$27.16$0.0026.1%7.5%9.7%13.6%0.0%11.0%13.5%14.4K-181.0K-1.1K0.00128.7920021440
2012-06-20$26.84$0.0026.3%7.5%10.6%13.8%0.0%14.0%13.2%14.9K-182.7K-1.2K0.00129.870023440
2012-06-21$26.15$0.0042.7%12.3%13.7%27.9%0.0%23.3%-8.5%12.2K-138.6K-1.1K0.00126.920023440
2012-06-22$25.68$0.0043.8%12.6%14.7%28.9%0.0%26.8%-11.3%10.6K-110.8K-1.1K0.00128.844023440
2012-06-25$25.24$0.0046.9%13.4%15.6%31.5%0.0%32.4%-14.2%9.4K-86.7K-9910.00128.530423840
2012-06-26$25.20$0.0047.9%13.7%15.6%32.4%0.0%32.6%-14.9%9.0K-81.9K-9980.00128.720023844
2012-06-27$25.45$0.0048.5%13.9%15.9%32.9%0.0%35.4%-14.7%9.9K-95.7K-9950.00129.100023844
2012-06-28$25.64$0.0049.3%14.1%15.8%33.6%0.0%32.2%-14.7%10.6K-107.3K-1.0K0.00128.880023844
2012-06-29$25.89$0.0050.0%14.3%16.3%34.2%0.0%37.2%-14.4%11.5K-121.9K-1.0K0.00129.794023844