OGE Options History — December 2013

In December 2013, OGE traded between $33.37 and $34.35. ATM implied volatility averaged 26.9%, placing in the 18.4% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 1.1% (HV 20d: 25.8%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.05.

Notable Days

  • 2013-12-11: Highest Volume — 602 contracts
  • 2013-12-11: Largest IV spike — 12.8% change
  • 2013-12-11: Highest IV Rank — 20.7%
  • 2013-12-04: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.86$33.37$34.35$34.01$33.90
Max Pain$31.43$30.00$35.00$35.00$30.00
ATM IV26.9%24.6%29.3%26.7%24.9%
Expected Move7.8%7.1%8.1%7.7%7.2%
HV 20d25.8%12.0%30.2%30.2%12.0%
HV 60d21.0%20.5%21.6%21.6%20.5%
IV Rank18.4%16.1%20.7%18.2%16.5%
IV Percentile73.0%63.1%78.6%72.2%65.5%
Term Structure2.6%-0.7%5.3%1.6%3.9%
VWIV28.4%24.8%40.6%26.6%25.9%
Skew 25d1.1%-5.9%5.1%4.7%1.3%
Skew 10d2.0%-7.8%9.8%4.1%-3.2%
Call IV 25d25.8%23.6%30.0%24.1%25.4%
Put IV 25d26.9%21.1%30.2%28.8%26.6%
Bid-Ask Spread %90.4777.35104.8384.98104.83
Gamma HHI0.470.380.530.460.51
Net GEX303.4K28.1K550.5K385.3K178.2K
Net DEX-1.7M-3.0M151.6K-2.3M-2.4M
Net VEX-19.4K-27.8K-13.8K-26.9K-14.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.050.000.450.140.00
Total Volume93.1430602281383
Total OI6,822.2863,2328,4238,1183,405

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-12-02$34.01$35.0026.7%7.7%30.2%18.2%26.6%4.7%1.6%385.3K-2.3M-26.9K0.1484.98247345,8182,300
2013-12-03$34.07$35.0028.2%8.1%30.2%19.7%28.1%-0.0%-0.2%387.2K-2.4M-27.8K0.0377.3517056,0522,330
2013-12-04$34.21$35.0028.4%8.1%30.2%19.9%0.0%4.4%-0.7%406.5K-2.6M-27.4K0.0079.872206,0132,325
2013-12-05$33.99$35.0028.1%8.0%28.0%19.5%27.5%2.6%0.7%380.5K-1.9M-25.7K0.4580.8822106,0352,325
2013-12-06$34.18$35.0026.8%8.0%28.2%18.3%0.0%4.9%1.6%441.5K-2.6M-26.5K0.0086.222606,0352,325
2013-12-09$34.35$35.0025.6%8.0%28.4%17.1%25.6%4.7%1.9%526.1K-2.9M-24.8K0.1087.293036,0612,325
2013-12-10$34.26$30.0025.9%8.0%28.4%17.5%40.6%5.1%2.3%550.5K-3.0M-24.4K0.0085.981506,0852,323
2013-12-11$33.58$30.0029.3%8.0%28.8%20.7%0.0%2.9%1.8%335.2K-662.0K-21.2K0.1078.15545576,1002,323
2013-12-12$33.61$30.0028.3%8.1%28.8%19.7%0.0%3.5%3.1%333.0K-523.0K-19.9K0.0077.696305,8452,358
2013-12-13$33.51$30.0027.8%8.0%28.6%19.3%0.0%3.7%2.6%239.1K74.6K-18.2K0.0079.591105,9052,358
2013-12-16$33.82$30.0027.7%7.9%28.6%19.2%0.0%3.4%3.0%431.4K-969.6K-18.5K0.0080.36005,9152,358
2013-12-17$33.55$30.0027.0%7.7%28.6%18.5%0.0%2.2%4.0%298.8K-238.3K-17.5K0.0087.12005,9152,358
2013-12-18$33.72$30.0026.0%7.4%28.8%17.5%0.0%-2.9%5.3%332.9K-663.6K-15.8K0.01100.006715,9152,166
2013-12-19$33.37$30.0026.8%7.7%28.8%18.3%0.0%-5.9%4.2%28.1K151.6K-14.1K0.0099.807005,5952,166
2013-12-20$33.78$30.0026.6%7.6%29.1%18.1%0.0%-2.2%4.7%308.8K-840.7K-15.5K0.0099.66005,6652,166
2013-12-23$33.70$30.0024.6%7.1%28.2%16.1%24.8%-1.5%5.0%153.7K-2.2M-13.8K0.0099.224503,092140
2013-12-24$33.97$30.0026.1%7.5%28.7%17.6%0.0%-1.7%2.4%161.7K-2.3M-14.4K0.00101.551003,137140
2013-12-26$33.76$30.0027.7%7.9%15.0%19.2%27.8%-3.1%1.4%167.5K-2.3M-13.8K0.00100.831103,147140
2013-12-27$33.81$30.0026.4%7.6%12.6%17.9%0.0%-1.7%2.5%164.8K-2.3M-14.2K0.00104.611103,158140
2013-12-30$33.83$30.0026.2%7.5%12.7%17.6%25.9%-1.7%3.6%161.5K-2.3M-13.8K0.00103.989803,169140
2013-12-31$33.90$30.0024.9%7.2%12.0%16.5%0.0%1.3%3.9%178.2K-2.4M-14.0K0.00104.8338303,265140