OGE Options History — July 2012 In July 2012, OGE traded between $25.44 and $26.99. ATM implied volatility averaged 43.0%, placing in the 28.1% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded above realized volatility by 26.8% (HV 20d: 16.2%). Max pain ranged from $22.50 to $22.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 0 of 21 days. Put/call ratio averaged 0.00.
Notable Days 2012-07-17 : Highest Volume — 20 contracts2012-07-24 : Largest IV spike — 80.5% change2012-07-11 : Highest IV Rank — 55.5%2012-07-05 : Largest Expected Move — 16.9%Monthly Statistics Metric Avg Min Max Open Close Price $26.15 $25.44 $26.99 $26.08 $26.55 Max Pain $22.50 $22.50 $22.50 $22.50 $22.50 ATM IV 43.0% 22.7% 74.7% 53.4% 30.1% Expected Move 10.6% 6.5% 16.9% 15.3% 8.6% HV 20d 16.2% 14.1% 18.2% 16.5% 16.6% HV 60d 15.1% 14.6% 15.8% 15.4% 15.1% IV Rank 28.1% 10.7% 55.5% 37.2% 17.1% IV Percentile 66.7% 31.0% 98.8% 89.3% 46.8% Term Structure -9.0% -20.2% -3.1% -15.9% -7.8% Skew 25d 27.8% 18.1% 35.1% 28.0% 28.6% Skew 10d 10.7% 7.0% 14.9% 7.2% 14.7% Call IV 25d 33.0% 18.7% 48.6% 46.0% 41.2% Put IV 25d 60.7% 50.6% 81.9% 74.0% 69.9% Bid-Ask Spread % 129.69 128.73 131.07 129.72 130.13 Gamma HHI 0.51 0.43 0.59 0.43 0.56 Net GEX 15.4K 10.5K 22.4K 12.2K 20.3K Net DEX -139.2K -203.7K -80.2K -137.0K -184.1K Net VEX -896 -1.1K -784 -1.1K -887 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.00 0.00 0.00 0.00 0.00 Total Volume 2.286 0 20 0 10 Total OI 275.619 262 282 282 280
Daily Data (21 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Vol Put Vol Call OI Put OI 2012-07-02 $26.08 $0.00 53.4% 15.3% 16.5% 37.2% 0.0% 28.0% -15.9% 12.2K -137.0K -1.1K 0.00 129.72 0 0 238 44 2012-07-03 $26.09 $0.00 54.9% 15.7% 16.1% 38.4% 0.0% 28.6% -16.7% 12.2K -138.1K -1.1K 0.00 130.40 0 0 238 44 2012-07-05 $25.86 $0.00 58.8% 16.9% 16.0% 41.8% 0.0% 33.4% -20.2% 11.4K -122.2K -1.0K 0.00 129.82 0 0 238 44 2012-07-06 $25.59 $22.50 60.9% 10.3% 16.2% 43.7% 0.0% 28.1% -8.2% 10.9K -113.3K -1.0K 0.00 128.73 0 0 238 44 2012-07-09 $25.52 $22.50 68.3% 10.7% 16.2% 50.0% 0.0% 32.5% -9.0% 10.7K -106.7K -986 0.00 128.81 0 0 238 44 2012-07-10 $25.44 $22.50 71.5% 10.9% 16.1% 52.8% 0.0% 35.1% -10.0% 10.5K -80.2K -835 0.00 129.44 0 0 238 44 2012-07-11 $25.57 $22.50 74.7% 11.0% 16.3% 55.5% 0.0% 28.7% -9.4% 11.1K -99.7K -912 0.00 129.04 0 0 238 44 2012-07-12 $25.66 $22.50 38.7% 11.1% 16.4% 24.5% 0.0% 28.0% -9.5% 11.5K -103.0K -901 0.00 129.24 0 0 238 44 2012-07-13 $26.05 $22.50 38.2% 10.9% 17.5% 24.0% 0.0% 24.6% -8.5% 13.6K -124.6K -920 0.00 130.17 0 0 238 44 2012-07-16 $25.84 $22.50 40.3% 11.5% 17.2% 25.8% 0.0% 32.4% -10.0% 12.6K -99.2K -830 0.00 130.18 0 0 238 44 2012-07-17 $26.01 $22.50 41.0% 11.8% 17.3% 26.5% 0.0% 29.8% -10.6% 13.6K -111.7K -870 0.00 129.72 0 20 238 44 2012-07-18 $26.39 $22.50 22.7% 6.5% 18.2% 10.7% 0.0% 23.9% -3.3% 17.5K -154.4K -836 0.00 130.15 0 0 238 24 2012-07-19 $26.51 $22.50 23.3% 6.7% 17.9% 11.2% 0.0% 21.8% -6.3% 18.8K -154.7K -799 0.00 128.75 0 0 238 24 2012-07-20 $26.82 $22.50 24.1% 6.9% 15.7% 11.8% 0.0% 18.1% -3.1% 20.1K -183.9K -883 0.00 129.24 8 0 238 24 2012-07-23 $26.70 $22.50 25.3% 7.2% 14.1% 12.9% 0.0% 21.0% -3.8% 20.4K -181.6K -864 0.00 129.30 0 0 246 24 2012-07-24 $26.13 $22.50 45.6% 13.1% 15.0% 30.4% 0.0% 33.0% -9.1% 16.6K -143.9K -790 0.00 129.78 0 0 246 24 2012-07-25 $26.14 $22.50 46.5% 13.3% 15.0% 31.2% 0.0% 34.6% -10.8% 16.7K -143.2K -784 0.00 130.24 0 0 246 24 2012-07-26 $26.37 $22.50 26.4% 7.6% 14.9% 13.8% 0.0% 29.0% -5.3% 18.3K -156.1K -800 0.00 131.07 0 0 246 24 2012-07-27 $26.79 $22.50 27.6% 7.9% 15.6% 14.9% 0.0% 22.8% -5.8% 21.6K -181.8K -849 0.00 130.12 0 0 246 24 2012-07-30 $26.99 $22.50 29.9% 8.6% 15.5% 16.9% 0.0% 21.3% -6.0% 22.4K -203.7K -860 0.00 129.52 10 0 246 24 2012-07-31 $26.55 $22.50 30.1% 8.6% 16.6% 17.1% 0.0% 28.6% -7.8% 20.3K -184.1K -887 0.00 130.13 10 0 256 24
« Jun 2012 | All History | Aug 2012 » Home OGE History July 2012