OGE Options History — August 2013

In August 2013, OGE traded between $35.21 and $38.36. ATM implied volatility averaged 35.6%, placing in the 23.2% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded above realized volatility by 17.6% (HV 20d: 18.1%). 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 13 of 22 days. Put/call ratio averaged 0.03.

Notable Days

  • 2013-08-01: Highest Volume — 247 contracts
  • 2013-08-06: Largest IV spike — 109.3% change
  • 2013-08-07: Highest IV Rank — 85.8%
  • 2013-08-02: Largest Expected Move — 23.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.77$35.21$38.36$38.33$35.21
Max Pain$35.00$32.50$37.50$37.50$35.00
ATM IV35.6%19.7%109.3%79.9%25.6%
Expected Move9.2%6.2%23.6%22.9%7.3%
HV 20d18.1%15.1%20.4%15.1%16.1%
HV 60d18.9%18.5%19.2%19.2%18.5%
IV Rank23.2%9.6%85.8%60.8%14.7%
IV Percentile58.4%38.5%99.2%98.4%50.8%
Term Structure-5.9%-52.1%1.5%-52.1%0.4%
VWIV25.6%12.0%47.0%47.0%24.1%
Skew 25d1.0%-36.4%10.2%0.3%10.2%
Skew 10d4.6%-30.3%15.8%10.3%10.4%
Call IV 25d33.0%17.4%110.1%106.7%17.4%
Put IV 25d34.0%22.6%112.4%107.0%27.5%
Bid-Ask Spread %110.0395.72146.02136.87108.69
Gamma HHI0.740.610.790.730.79
Net GEX741.7K330.6K1.1M538.0K1.1M
Net DEX-15.9M-20.1M-11.7M-19.2M-11.7M
Net VEX-45.0K-51.5K-38.0K-41.5K-45.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.030.000.500.010.00
Total Volume84.636024724732
Total OI9,399.3189,0959,6389,0959,638

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-08-01$38.33$37.5079.9%22.9%15.1%60.8%0.0%0.3%-52.1%538.0K-19.2M-41.5K0.01136.8724526,6492,446
2013-08-02$38.36$37.5082.5%23.6%15.2%63.0%0.0%2.3%-37.6%330.6K-17.4M-46.7K0.00146.025206,7442,444
2013-08-05$37.85$32.5031.3%7.2%16.4%19.5%0.0%7.2%-10.8%542.5K-18.6M-43.7K0.00103.985006,7942,444
2013-08-06$37.51$32.5065.5%14.3%17.1%48.6%47.0%-36.4%-19.1%375.5K-15.7M-50.4K0.06130.8810666,8432,444
2013-08-07$37.49$35.00109.3%13.7%17.1%85.8%12.0%-32.0%-17.9%358.2K-15.8M-51.5K0.05131.5512666,8272,446
2013-08-08$38.31$35.0020.7%6.3%18.0%10.5%21.2%2.4%0.9%561.3K-20.1M-38.0K0.02102.7318346,8102,440
2013-08-09$38.04$35.0019.7%6.4%18.3%9.6%0.0%4.2%0.1%556.3K-19.7M-38.5K0.00104.392106,7902,436
2013-08-12$37.75$35.0021.6%6.2%18.3%11.3%0.0%2.9%1.4%612.0K-19.0M-39.2K0.0095.7215606,8112,436
2013-08-13$37.66$35.0020.9%6.3%18.2%10.7%20.1%2.2%0.7%613.4K-19.3M-40.3K0.0099.464706,9622,436
2013-08-14$37.22$35.0021.8%7.1%18.8%11.4%35.0%3.6%-0.0%668.4K-17.4M-44.7K0.0098.4720607,0092,436
2013-08-15$36.60$35.0025.3%7.3%19.7%14.4%24.5%8.3%-0.3%740.8K-15.8M-48.1K0.00102.4118007,1182,436
2013-08-16$36.05$35.0027.3%7.8%20.3%16.1%0.0%7.4%1.5%812.4K-14.3M-50.2K0.0096.2716407,1932,436
2013-08-19$35.51$35.0026.5%7.6%20.1%15.4%0.0%5.3%0.7%861.1K-12.7M-48.4K0.0095.915607,0642,366
2013-08-20$35.93$35.0025.7%7.4%20.4%14.8%0.0%4.4%-0.0%914.0K-13.8M-47.5K0.00109.11007,0842,366
2013-08-21$35.71$35.0025.6%7.3%20.2%14.7%0.0%4.7%0.3%903.9K-13.7M-47.0K0.00110.03707,0842,366
2013-08-22$35.92$35.0026.3%7.5%18.0%15.3%23.1%5.9%-0.6%894.1K-14.0M-46.7K0.50110.56847,0872,366
2013-08-23$36.21$35.0024.7%7.1%18.4%13.9%0.0%4.6%0.8%989.0K-14.9M-45.2K0.00109.45007,0912,364
2013-08-26$36.04$35.0025.8%7.4%18.4%14.9%23.3%1.6%0.3%955.7K-14.6M-43.8K0.00117.202607,0912,364
2013-08-27$35.69$35.0026.5%7.6%18.6%15.4%24.1%4.2%0.1%965.3K-13.7M-44.4K0.00110.146807,1092,364
2013-08-28$35.86$35.0026.0%7.5%18.8%15.0%0.0%4.5%0.3%998.9K-14.1M-44.4K0.00101.516907,1772,364
2013-08-29$35.62$35.0025.8%7.4%15.9%14.9%0.0%4.6%0.7%1.0M-13.6M-44.8K0.0099.273807,2462,364
2013-08-30$35.21$35.0025.6%7.3%16.1%14.7%0.0%10.2%0.4%1.1M-11.7M-45.0K0.00108.693207,2742,364