OGE Options History — May 2013

In May 2013, OGE traded between $33.94 and $36.27. ATM implied volatility averaged 14.2%, placing in the 5.0% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded below realized volatility by 3.5% (HV 20d: 17.7%). Max pain ranged from $32.50 to $35.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 1.50.

Notable Days

  • 2013-05-24: Highest Volume — 1,200 contracts
  • 2013-05-07: Largest IV spike — 90.8% change
  • 2013-05-07: Highest IV Rank — 12.4%
  • 2013-05-28: Largest Expected Move — 4.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.35$33.94$36.27$35.50$33.94
Max Pain$34.55$32.50$35.00$35.00$35.00
ATM IV14.2%8.5%22.9%15.1%15.0%
Expected Move4.1%3.2%4.6%4.3%4.3%
HV 20d17.7%16.0%19.5%16.0%17.6%
HV 60d24.5%23.6%25.3%23.6%25.2%
IV Rank5.0%0.1%12.4%5.8%5.6%
IV Percentile15.5%0.4%25.4%18.3%22.6%
Term Structure0.9%-6.0%4.2%-0.3%0.5%
VWIV12.6%9.3%15.6%11.7%15.6%
Skew 25d2.1%-1.0%5.2%2.3%1.9%
Skew 10d4.2%-3.3%28.4%3.2%1.9%
Call IV 25d12.3%9.2%16.1%12.8%15.7%
Put IV 25d14.4%11.1%18.0%15.1%17.6%
Bid-Ask Spread %103.8496.73122.02108.38104.09
Gamma HHI0.610.260.930.920.35
Net GEX465.3K-9.4K1.7M798.0K21.8K
Net DEX-3.8M-7.5M551.7K-5.6M551.7K
Net VEX-11.8K-20.4K-6.3K-10.1K-20.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.500.0018.330.000.00
Total Volume144.81801,20068128
Total OI3,120.4552,1083,7923,2603,138

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-05-01$35.50$35.0015.1%4.3%16.0%5.8%11.7%2.3%-0.3%798.0K-5.6M-10.1K0.00108.386802,524736
2013-05-02$35.97$35.0011.3%3.2%16.4%2.5%13.2%5.2%4.2%608.0K-6.9M-7.7K0.34114.70130442,486736
2013-05-03$36.16$35.0014.2%4.1%16.5%5.0%9.3%0.3%-6.0%530.1K-6.6M-7.8K0.00122.027602,418780
2013-05-06$35.99$32.5012.0%4.0%16.6%3.1%0.0%1.2%1.4%621.9K-6.8M-7.2K0.0098.772002,490780
2013-05-07$36.27$32.5022.9%3.3%16.2%12.4%0.0%1.6%2.1%506.9K-7.0M-6.9K0.0098.904002,490780
2013-05-08$36.00$32.509.5%3.9%16.3%1.0%12.1%1.3%1.5%576.0K-7.2M-6.3K1.00100.02882,530780
2013-05-09$35.24$32.5012.9%4.1%18.2%3.9%14.4%2.0%1.1%1.3M-4.8M-9.2K18.33102.00244402,538780
2013-05-10$35.38$35.0012.6%4.0%18.2%3.6%0.0%3.2%1.4%1.2M-5.2M-12.2K0.00109.47002,5501,220
2013-05-13$35.04$35.0013.5%4.1%17.1%4.4%0.0%4.8%1.1%1.7M-3.7M-12.1K0.00106.77202,5501,220
2013-05-14$35.65$35.008.5%4.0%17.4%0.1%0.0%0.6%1.4%519.6K-7.1M-8.6K0.00100.11002,5521,220
2013-05-15$35.96$35.0015.7%4.1%17.2%6.3%0.0%1.8%1.1%368.9K-7.3M-8.6K0.0099.732002,5521,220
2013-05-16$35.45$35.0014.2%4.1%18.0%5.0%0.0%-1.0%1.2%1.2M-6.6M-8.9K0.0099.67002,5721,220
2013-05-17$35.90$35.0014.4%4.1%17.7%5.2%12.2%2.2%1.6%196.5K-7.5M-8.1K0.13102.80456602,5721,220
2013-05-20$35.90$35.0014.4%4.1%17.7%5.1%0.0%1.8%1.7%39.0K-1.1M-12.7K0.00103.78009261,182
2013-05-21$35.72$35.0014.5%4.2%17.6%5.3%0.0%4.9%1.1%32.9K-935.8K-12.8K0.00105.17009261,182
2013-05-22$34.95$35.0014.1%4.0%19.2%4.9%0.0%0.4%1.4%11.6K-514.8K-12.7K0.00104.02009261,182
2013-05-23$35.12$35.0014.4%4.1%19.2%5.2%0.0%1.2%1.2%15.0K-576.5K-13.1K2.10103.37601269261,182
2013-05-24$34.66$35.0015.6%4.5%19.5%6.2%15.6%3.3%1.6%-9.4K-51.9K-14.5K0.58101.687604409261,308
2013-05-28$34.65$35.0016.1%4.6%19.1%6.6%0.0%4.7%0.5%53.4K-234.1K-20.4K0.0096.7317601,4061,748
2013-05-29$34.05$35.0016.1%4.6%19.4%6.6%0.0%1.5%-0.1%8.3K519.5K-19.9K0.0099.7610001,2901,748
2013-05-30$34.14$35.0015.6%4.5%18.4%6.2%0.0%1.2%0.7%29.6K365.7K-20.1K0.00102.49001,3901,748
2013-05-31$33.94$35.0015.0%4.3%17.6%5.6%0.0%1.9%0.5%21.8K551.7K-20.0K0.00104.0912801,3901,748