OGE Options History — October 2013

In October 2013, OGE traded between $35.10 and $37.24. ATM implied volatility averaged 24.2%, placing in the 13.5% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 8.6% (HV 20d: 15.6%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 16 of 23 days. Put/call ratio averaged 0.26.

Notable Days

  • 2013-10-28: Highest Volume — 621 contracts
  • 2013-10-28: Largest IV spike — 32.4% change
  • 2013-10-30: Highest IV Rank — 18.7%
  • 2013-10-30: Largest Expected Move — 8.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.24$35.10$37.24$36.39$36.90
Max Pain$37.17$35.00$40.00$35.00$35.00
ATM IV24.2%19.4%30.3%21.3%27.3%
Expected Move7.1%5.6%8.7%6.1%7.8%
HV 20d15.6%13.7%17.1%16.0%13.7%
HV 60d16.8%15.9%17.3%16.9%15.9%
IV Rank13.5%9.4%18.7%11.0%16.1%
IV Percentile55.0%36.5%71.0%43.3%69.4%
Term Structure0.9%-4.7%8.5%5.5%1.6%
VWIV28.3%23.9%33.9%23.9%30.6%
Skew 25d7.9%-1.1%21.1%3.7%9.9%
Skew 10d19.8%1.4%43.8%14.5%14.6%
Call IV 25d19.4%15.2%27.4%20.8%20.2%
Put IV 25d27.3%23.4%41.6%24.5%30.1%
Bid-Ask Spread %100.6092.61120.04120.04100.61
Gamma HHI0.540.490.560.520.50
Net GEX323.1K269.4K378.3K269.4K362.1K
Net DEX-7.0M-9.5M-5.1M-6.6M-9.2M
Net VEX-26.2K-29.1K-21.6K-27.7K-25.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.260.002.380.000.00
Total Volume104.565062110378
Total OI5,271.3914,9626,1084,9625,951

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-10-01$36.39$35.0021.3%6.1%16.0%11.0%0.0%3.7%5.5%269.4K-6.6M-27.7K0.00120.041003,3711,591
2013-10-02$36.07$35.0019.4%5.6%16.1%9.4%0.0%-0.3%8.5%274.8K-5.9M-27.9K0.00104.7110103,3761,591
2013-10-03$35.69$35.0022.9%6.6%16.1%12.4%0.0%-1.1%2.8%279.1K-5.5M-29.1K0.00101.330103,4721,591
2013-10-04$35.94$40.0021.3%7.3%16.2%11.0%0.0%5.6%1.6%287.2K-5.9M-28.8K0.0098.401803,4721,601
2013-10-07$35.48$40.0021.3%7.5%17.0%11.0%0.0%4.8%-0.3%282.0K-5.4M-28.4K0.00101.185303,4751,601
2013-10-08$35.10$40.0023.2%7.4%16.8%12.6%0.0%3.3%-1.1%276.9K-5.1M-28.4K0.00100.471803,5051,601
2013-10-09$35.20$40.0024.0%7.5%16.5%13.3%0.0%3.5%0.0%283.8K-5.2M-28.6K0.0097.40003,5231,601
2013-10-10$35.70$40.0025.5%7.3%17.1%14.6%0.0%5.0%0.1%297.0K-5.7M-28.2K0.0098.014103,5231,601
2013-10-11$35.75$40.0024.7%7.1%17.0%14.0%0.0%5.7%0.2%322.1K-6.0M-28.2K0.0099.655803,5641,601
2013-10-14$35.81$40.0025.5%7.3%17.0%14.6%0.0%19.8%0.4%319.3K-5.9M-26.5K0.0099.351203,5481,601
2013-10-15$35.28$40.0024.9%7.1%15.5%14.1%0.0%2.8%0.9%319.8K-5.3M-27.3K0.0092.612803,5541,601
2013-10-16$35.57$40.0024.8%7.1%14.3%14.0%0.0%21.1%0.8%337.3K-5.7M-27.0K0.0092.85603,5771,601
2013-10-17$36.16$40.0024.0%6.9%15.6%13.4%23.9%15.2%0.4%344.7K-6.7M-25.3K0.00100.136603,5601,601
2013-10-18$36.37$35.0023.9%6.9%15.4%13.3%0.0%7.4%-0.7%347.8K-7.3M-25.0K0.00103.454303,5911,601
2013-10-21$36.58$35.0024.9%7.1%14.9%14.1%0.0%6.8%-1.5%347.3K-7.5M-24.0K0.00100.20003,5731,600
2013-10-22$37.02$35.0024.6%7.1%15.0%13.9%0.0%8.0%-2.7%352.1K-8.4M-22.8K0.00100.19703,5731,600
2013-10-23$37.24$35.0022.6%6.5%14.6%12.1%0.0%9.3%2.2%345.5K-8.8M-21.6K0.00101.581303,5791,600
2013-10-24$36.98$35.0024.6%7.0%14.8%13.8%0.0%7.4%-1.2%345.6K-8.5M-22.3K0.03102.0227883,5901,600
2013-10-25$37.09$35.0021.5%6.2%14.7%11.2%25.0%8.4%4.5%361.2K-9.0M-24.3K0.47101.6479373,8621,608
2013-10-28$37.08$35.0028.5%8.2%14.7%17.1%33.9%15.2%0.7%378.3K-9.1M-24.2K2.3898.121844373,9391,645
2013-10-29$37.22$35.0025.9%7.4%14.5%14.9%30.6%11.1%2.3%335.9K-9.5M-25.1K2.2898.631453314,1121,996
2013-10-30$36.97$35.0030.3%8.7%14.3%18.7%0.0%9.6%-4.7%363.2K-9.2M-25.5K0.00101.314404,1071,812
2013-10-31$36.90$35.0027.3%7.8%13.7%16.1%0.0%9.9%1.6%362.1K-9.2M-25.5K0.00100.6137804,1391,812