OGE Options History — August 2012

In August 2012, OGE traded between $26.46 and $27.64. ATM implied volatility averaged 44.6%, placing in the 29.5% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 28.7% (HV 20d: 15.9%). Max pain ranged from $22.50 to $22.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 16 of 23 days. Put/call ratio averaged 0.00.

Notable Days

  • 2012-08-13: Highest Volume — 1,202 contracts
  • 2012-08-24: Largest IV spike — 126.6% change
  • 2012-08-15: Highest IV Rank — 99.9%
  • 2012-08-03: Largest Expected Move — 11.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.23$26.46$27.64$26.46$27.02
Max Pain$22.50$22.50$22.50$22.50$22.50
ATM IV44.6%10.7%126.0%30.9%26.3%
Expected Move7.5%3.1%11.3%8.8%7.5%
HV 20d15.9%7.5%18.5%16.7%7.5%
HV 60d15.5%14.9%16.0%14.9%15.1%
IV Rank29.5%0.3%99.9%17.7%13.8%
IV Percentile55.7%0.4%99.6%49.2%39.7%
Term Structure8.3%-14.0%24.7%-8.5%24.7%
VWIV17.7%14.1%21.6%21.6%17.3%
Skew 25d26.8%-3.5%40.4%31.7%40.4%
Skew 10d22.8%-8.9%45.4%15.9%45.4%
Call IV 25d22.9%10.3%63.6%40.6%20.7%
Put IV 25d49.7%11.8%76.1%72.3%61.1%
Bid-Ask Spread %128.00121.93130.21130.21128.98
Gamma HHI0.800.510.990.600.94
Net GEX139.9K19.2K318.4K19.2K198.0K
Net DEX-1.1M-2.0M-158.3K-158.3K-1.6M
Net VEX-3.0K-5.1K-637-759-3.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume5401,20200
Total OI1,019.9132701,5082701,500

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-08-01$26.46$22.5030.9%8.8%16.7%17.7%0.0%31.7%-8.5%19.2K-158.3K-7590.00130.210024624
2012-08-02$27.04$22.5032.6%9.3%17.8%19.2%0.0%23.0%-6.8%22.9K-206.9K-8460.00129.294024624
2012-08-03$27.57$22.5039.3%11.3%18.2%25.0%21.6%12.6%8.7%21.5K-281.0K-9770.00128.854025024
2012-08-06$27.64$22.5062.7%9.1%18.0%45.2%0.0%26.3%-12.1%22.2K-293.8K-9800.00128.750025424
2012-08-07$27.45$22.5065.8%9.2%18.3%47.9%0.0%25.3%-13.0%21.4K-276.3K-9480.00129.170025424
2012-08-08$27.41$22.5069.0%9.3%18.3%50.7%0.0%25.3%-13.4%21.3K-273.6K-9380.00129.080025424
2012-08-09$27.32$22.5072.8%9.4%18.5%53.9%0.0%24.9%-14.0%20.9K-265.2K-9280.00129.070025424
2012-08-10$27.46$22.5077.1%9.5%18.0%57.6%0.0%26.2%-13.8%21.6K-277.6K-9180.00128.610025424
2012-08-13$27.29$22.5069.8%6.8%17.8%51.3%14.1%5.8%11.2%34.7K-197.0K-6370.00121.931,202025424
2012-08-14$27.31$22.50109.2%6.0%17.8%85.4%0.0%30.3%12.7%186.9K-1.8M-5.1K0.00128.63001,45624
2012-08-15$27.34$22.50126.0%7.4%17.2%99.9%17.3%26.8%3.3%267.6K-1.8M-4.9K0.00124.242801,45624
2012-08-16$27.29$22.5010.9%3.1%17.2%0.4%0.0%-1.9%8.6%315.9K-1.7M-4.9K0.00126.21001,48424
2012-08-17$27.27$22.5023.8%6.8%16.8%11.6%0.0%38.6%8.1%187.7K-1.8M-5.0K0.00122.22401,48424
2012-08-20$27.45$22.5025.3%7.2%16.8%12.8%0.0%31.5%16.3%181.4K-2.0M-4.8K0.00129.22001,48020
2012-08-21$27.52$22.5023.1%6.6%14.4%11.0%0.0%33.3%21.5%196.7K-2.0M-4.7K0.00129.21001,48020
2012-08-22$27.23$22.5023.1%6.6%15.1%11.0%0.0%34.1%22.0%194.2K-1.8M-4.5K0.00129.11001,48020
2012-08-23$26.98$22.5010.7%3.1%15.3%0.3%0.0%-3.5%20.7%318.4K-1.3M-4.0K0.00126.23001,48020
2012-08-24$27.15$22.5024.3%7.0%14.5%12.0%0.0%34.4%21.3%190.9K-1.7M-4.4K0.00128.54001,48020
2012-08-27$27.07$22.5025.1%7.2%14.3%12.8%0.0%36.3%22.4%190.9K-1.7M-4.1K0.00128.96001,48020
2012-08-28$27.02$22.5025.2%7.2%13.0%12.8%0.0%37.4%23.4%191.5K-1.6M-4.0K0.00129.55001,48020
2012-08-29$27.05$22.5025.7%7.4%12.9%13.2%0.0%38.2%23.5%195.3K-1.6M-3.9K0.00128.57001,48020
2012-08-30$27.04$22.5026.0%7.5%10.4%13.5%0.0%39.3%24.1%196.0K-1.6M-3.8K0.00129.39001,48020
2012-08-31$27.02$22.5026.3%7.5%7.5%13.8%0.0%40.4%24.7%198.0K-1.6M-3.8K0.00128.98001,48020