OGE Options History — July 2013

In July 2013, OGE traded between $34.03 and $37.82. ATM implied volatility averaged 25.7%, placing in the 14.8% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 8.8% (HV 20d: 17.0%). Max pain ranged from $32.50 to $37.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 1.69.

Notable Days

  • 2013-07-09: Highest Volume — 810 contracts
  • 2013-07-30: Largest IV spike — 195.2% change
  • 2013-07-31: Highest IV Rank — 59.0%
  • 2013-07-31: Largest Expected Move — 22.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.02$34.03$37.82$34.03$37.40
Max Pain$35.53$32.50$37.50$32.50$37.50
ATM IV25.7%18.4%77.7%19.2%77.7%
Expected Move7.6%5.3%22.3%5.5%22.3%
HV 20d17.0%8.8%22.8%22.8%13.4%
HV 60d18.8%18.4%19.3%19.0%18.7%
IV Rank14.8%8.6%59.0%9.2%59.0%
IV Percentile44.6%32.1%98.4%35.3%98.4%
Term Structure-3.3%-49.6%1.6%1.5%-32.1%
VWIV32.1%16.7%77.3%16.7%77.3%
Skew 25d0.6%-42.7%8.7%2.8%-3.6%
Skew 10d3.4%-57.8%57.3%57.3%16.2%
Call IV 25d25.5%15.0%104.1%18.7%104.1%
Put IV 25d26.1%15.0%100.5%21.4%100.5%
Bid-Ask Spread %115.38101.42145.00101.78145.00
Gamma HHI0.730.690.780.740.70
Net GEX607.1K320.8K709.8K632.3K504.1K
Net DEX-12.7M-17.8M-3.3M-5.9M-17.3M
Net VEX-50.7K-56.7K-26.5K-53.0K-45.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.690.0012.670.0012.67
Total Volume230.27311810230205
Total OI8,718.1364,2279,3288,4549,018

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-07-01$34.03$32.5019.2%5.5%22.8%9.2%0.0%2.8%1.5%632.3K-5.9M-53.0K0.00101.7823006,1242,330
2013-07-02$34.20$32.5019.2%5.5%22.7%9.2%0.0%1.8%1.4%320.8K-3.3M-26.5K0.00121.148003,0621,165
2013-07-03$34.26$32.5018.4%5.3%21.5%8.6%16.7%-8.8%1.2%684.6K-7.3M-56.0K1.38126.3129406,4142,330
2013-07-05$34.35$0.0019.2%6.3%21.2%9.3%0.0%6.3%0.3%646.7K-7.5M-56.3K0.00112.289306,4432,308
2013-07-08$34.75$0.0019.5%6.5%20.8%9.5%0.0%2.9%-0.7%709.8K-9.1M-56.4K1.89101.4237706,5302,308
2013-07-09$34.93$0.0020.1%6.9%20.8%10.0%24.0%3.5%-0.0%691.1K-10.0M-56.7K0.33104.956092016,4472,278
2013-07-10$35.06$35.0018.7%7.1%20.5%8.8%0.0%3.7%0.2%617.9K-9.9M-56.4K5.00104.501095456,3402,431
2013-07-11$35.56$35.0024.5%7.0%20.2%13.7%0.0%3.6%0.2%556.5K-11.3M-56.4K1.44105.171492156,4212,586
2013-07-12$35.57$35.0023.7%6.8%19.8%13.0%0.0%2.4%-0.5%646.0K-11.8M-56.4K2.03107.831312666,5272,525
2013-07-15$36.08$35.0023.9%6.8%20.0%13.2%0.0%1.2%0.0%627.9K-13.5M-54.6K0.00109.1715506,5592,541
2013-07-16$35.92$35.0023.1%6.6%20.2%12.6%0.0%3.7%0.1%674.1K-13.3M-54.5K2.22107.65451006,6662,541
2013-07-17$35.93$35.0023.3%6.7%20.0%12.8%0.0%4.1%0.6%659.2K-13.5M-54.6K1.20106.97861036,7102,565
2013-07-18$36.27$35.0021.1%6.1%18.6%10.9%0.0%1.7%0.2%658.1K-14.7M-53.2K0.00116.2633406,7842,544
2013-07-19$36.50$35.0020.5%5.9%9.6%10.4%0.0%4.4%0.4%630.3K-15.0M-50.7K0.04114.04265106,6162,544
2013-07-22$37.05$35.0021.1%6.1%9.5%10.9%21.0%5.6%0.6%601.1K-15.2M-47.7K0.03118.1921276,2812,338
2013-07-23$37.32$37.5020.7%5.9%8.8%10.5%0.0%6.9%0.6%600.9K-16.5M-48.2K0.00115.421106,4842,345
2013-07-24$36.92$37.5021.1%6.1%10.6%10.9%0.0%4.3%0.9%599.8K-15.3M-49.4K8.94117.61625546,4952,345
2013-07-25$37.82$37.5021.2%6.1%12.3%11.0%21.2%8.7%0.9%548.2K-17.8M-45.9K0.00109.674406,5452,384
2013-07-26$37.58$37.5021.4%6.1%13.0%11.1%0.0%1.1%0.3%580.5K-17.5M-45.4K0.00115.372706,5652,384
2013-07-29$37.48$37.5022.3%6.4%13.3%11.9%0.0%0.3%1.6%578.0K-17.0M-47.7K0.00133.102406,5922,384
2013-07-30$37.47$37.5065.9%18.9%13.2%48.9%0.0%-42.7%-49.6%587.5K-17.5M-44.8K0.00144.441806,6162,384
2013-07-31$37.40$37.5077.7%22.3%13.4%59.0%77.3%-3.6%-32.1%504.1K-17.3M-45.8K12.67145.00151906,6342,384