OGE Options History — April 2013

In April 2013, OGE traded between $34.47 and $36.22. ATM implied volatility averaged 14.0%, placing in the 4.8% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded below realized volatility by 9.6% (HV 20d: 23.5%). Max pain ranged from $32.50 to $35.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.23.

Notable Days

  • 2013-04-02: Highest Volume — 2,108 contracts
  • 2013-04-30: Largest IV drop — 21.6% change
  • 2013-04-15: Highest IV Rank — 6.0%
  • 2013-04-15: Largest Expected Move — 4.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.28$34.47$36.22$35.10$36.22
Max Pain$34.55$32.50$35.00$32.50$35.00
ATM IV14.0%11.8%15.4%13.1%11.9%
Expected Move4.1%3.4%4.4%3.8%3.4%
HV 20d23.5%13.2%35.5%34.2%14.7%
HV 60d22.6%22.1%23.1%22.3%23.1%
IV Rank4.8%2.9%6.0%4.1%3.0%
IV Percentile10.7%4.0%17.5%6.3%4.4%
Term Structure0.6%-0.4%4.3%1.4%4.3%
VWIV13.8%12.8%14.7%13.1%14.4%
Skew 25d13.3%0.2%78.0%66.6%7.5%
Skew 10d20.7%0.1%106.8%106.8%4.7%
Call IV 25d14.1%8.5%37.1%33.9%8.5%
Put IV 25d27.4%12.5%103.6%100.4%16.0%
Bid-Ask Spread %108.0698.30114.08112.02114.08
Gamma HHI0.890.530.940.550.89
Net GEX578.4K58.8K710.7K58.8K514.7K
Net DEX-5.5M-7.4M-2.4M-2.4M-7.4M
Net VEX-12.4K-15.2K-3.8K-4.0K-7.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.230.000.910.000.00
Total Volume165.72702,1085884
Total OI3,309.0911,5103,7261,5103,276

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-04-01$35.10$32.5013.1%3.8%34.2%4.1%0.0%66.6%1.4%58.8K-2.4M-4.0K0.00112.02580844666
2013-04-02$35.30$32.5013.1%3.8%34.2%4.1%13.1%45.8%1.0%68.9K-2.4M-3.8K0.01111.312,07830872666
2013-04-03$34.91$32.5012.7%3.6%35.0%3.7%12.8%78.0%1.7%610.7K-5.3M-14.1K0.07109.942822,826696
2013-04-04$35.20$32.5011.8%3.4%35.0%2.9%0.0%34.8%2.7%649.1K-5.8M-13.8K0.00106.53002,814698
2013-04-05$35.20$35.0012.2%4.2%34.8%3.3%0.0%5.2%0.3%649.1K-5.8M-13.7K0.00105.111202,814698
2013-04-08$35.20$35.0013.9%4.4%34.9%4.7%0.0%5.9%0.0%591.2K-5.8M-14.3K0.00104.583002,754698
2013-04-09$34.84$35.0013.7%4.3%35.5%4.6%0.0%4.7%0.3%594.3K-5.0M-15.1K0.00102.38082,726698
2013-04-10$35.15$35.0013.2%4.3%35.3%4.2%0.0%5.6%0.2%605.2K-5.6M-14.6K0.91105.6322202,726706
2013-04-11$35.17$35.0015.1%4.3%35.4%5.7%0.0%1.7%-0.0%603.2K-5.6M-15.2K0.91110.3822202,748726
2013-04-12$35.15$35.0014.7%4.2%35.5%5.4%14.7%1.7%0.5%624.2K-5.6M-14.8K0.00111.080422,770746
2013-04-15$34.47$35.0015.4%4.4%13.2%6.0%0.0%2.9%0.3%579.8K-3.9M-14.6K0.0098.30202,770788
2013-04-16$34.98$35.0015.1%4.3%14.1%5.8%0.0%0.3%-0.1%631.8K-5.1M-14.3K0.59105.57102602,770788
2013-04-17$34.69$35.0014.8%4.2%13.8%5.5%0.0%3.3%0.3%646.6K-4.6M-15.1K0.00101.9914002,870836
2013-04-18$34.96$35.0014.7%4.2%13.6%5.4%0.0%0.2%0.4%671.7K-5.4M-14.8K0.00110.709202,890836
2013-04-19$35.49$35.0014.2%4.1%14.1%5.0%14.2%3.5%0.3%663.1K-6.9M-13.5K0.13106.77310402,890836
2013-04-22$35.43$35.0014.5%4.2%14.1%5.3%0.0%3.0%0.1%703.1K-6.1M-13.0K0.00109.41002,756714
2013-04-23$35.70$35.0014.9%4.3%14.2%5.6%0.0%4.4%-0.3%659.2K-6.7M-12.4K0.38110.30104402,756714
2013-04-24$35.69$35.0014.4%4.1%13.9%5.1%0.0%4.1%-0.1%663.3K-6.4M-12.0K0.00111.817602,652754
2013-04-25$35.90$35.0014.5%4.2%13.9%5.3%14.4%4.8%-0.0%616.4K-6.9M-10.6K0.05108.3512862,638754
2013-04-26$35.58$35.0014.4%4.1%14.3%5.1%0.0%3.2%-0.0%710.7K-5.9M-11.2K0.00111.12002,550760
2013-04-29$35.91$35.0015.1%4.3%14.6%5.8%0.0%5.4%-0.4%609.3K-6.8M-9.3K0.80110.0450402,550760
2013-04-30$36.22$35.0011.9%3.4%14.7%3.0%0.0%7.5%4.3%514.7K-7.4M-7.7K0.00114.088402,540736