OGE Options History — October 2014

In October 2014, OGE traded between $33.95 and $37.30. ATM implied volatility averaged 21.6%, placing in the 29.3% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 0.2% (HV 20d: 21.4%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 4 of 23 days. Put/call ratio averaged 1.07.

Notable Days

  • 2014-10-21: Highest Volume — 309 contracts
  • 2014-10-15: Largest IV spike — 76.2% change
  • 2014-10-15: Highest IV Rank — 62.7%
  • 2014-10-17: Largest Expected Move — 5.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.38$33.95$37.30$36.85$37.30
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV21.6%14.3%34.9%23.6%20.6%
Expected Move5.3%4.9%5.6%5.0%5.4%
HV 20d21.4%15.9%26.3%16.4%24.8%
HV 60d17.2%14.8%19.5%14.8%18.2%
IV Rank29.3%11.2%62.7%34.4%26.9%
IV Percentile45.7%6.0%99.6%59.9%40.1%
Term Structure-2.6%-19.3%4.7%-19.3%-0.9%
VWIV18.8%16.6%20.2%18.4%20.2%
Skew 25d4.4%-9.1%18.0%-8.1%10.2%
Skew 10d15.7%-3.8%32.2%9.4%14.1%
Call IV 25d18.1%13.6%23.5%23.5%16.1%
Put IV 25d22.5%13.3%36.1%15.4%26.3%
Bid-Ask Spread %84.9181.0488.3787.7983.22
Gamma HHI0.550.430.690.520.59
Net GEX28.9K1.3K39.9K31.3K39.9K
Net DEX-456.8K-843.8K83.2K-456.4K-843.8K
Net VEX-2.7K-3.1K-2.3K-2.7K-2.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.070.002.670.072.67
Total Volume118.304030916213
Total OI793.435670949695949

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-10-01$36.85$35.0023.6%5.0%16.4%34.4%0.0%-8.1%-19.3%31.3K-456.4K-2.7K0.0787.79151436259
2014-10-02$36.79$35.0021.3%5.2%16.3%28.5%18.4%-9.1%-10.6%29.8K-413.2K-2.7K0.0081.82011435259
2014-10-03$37.13$35.0016.7%5.0%16.5%17.1%0.0%-1.2%0.1%29.8K-464.8K-2.7K0.0087.6680435269
2014-10-06$37.20$35.0024.6%5.1%16.2%36.9%0.0%-0.1%-1.2%30.0K-474.1K-2.7K0.0083.60100431269
2014-10-07$36.97$35.0028.6%5.2%15.9%46.9%0.0%5.8%-2.8%31.0K-459.3K-2.8K0.1386.24405441269
2014-10-08$37.14$35.0018.8%5.1%15.9%22.3%17.6%1.2%4.7%29.8K-536.4K-2.5K0.9183.599586451269
2014-10-09$36.05$35.0014.3%4.9%19.0%11.2%16.6%-3.7%0.7%18.9K-225.0K-2.5K0.0087.6303401269
2014-10-10$35.82$35.0014.6%5.0%17.6%11.9%17.5%3.2%-1.2%15.7K-160.8K-2.4K0.0088.3706401271
2014-10-13$35.20$35.0017.8%5.2%18.5%19.9%0.0%1.8%-0.9%10.9K-55.1K-2.4K0.0088.0000401271
2014-10-14$35.23$35.0019.8%5.1%18.4%24.9%18.4%18.0%-1.3%39.4K-131.1K-2.3K1.0181.389495451271
2014-10-15$33.95$35.0034.9%5.2%22.3%62.7%19.0%-2.4%-1.5%15.2K80.2K-2.3K1.2984.9390116463282
2014-10-16$34.45$35.0021.8%5.6%23.0%29.7%19.6%9.5%-1.8%1.3K83.2K-2.4K0.6481.07149415295
2014-10-17$35.60$35.0021.5%5.6%26.0%29.0%0.0%16.9%-1.0%10.1K-171.7K-2.5K0.7583.476750427303
2014-10-20$36.22$35.0022.9%5.5%26.3%32.6%18.5%12.0%-2.0%24.7K-408.8K-2.8K0.0084.631350475348
2014-10-21$36.60$35.0023.1%5.6%26.3%33.2%19.7%7.3%-2.4%38.1K-712.1K-3.0K1.0283.07153156554348
2014-10-22$36.62$35.0022.8%5.5%24.9%32.4%19.1%5.1%-3.0%38.1K-737.2K-3.1K1.4583.42110160553355
2014-10-23$36.83$35.0022.2%5.4%24.6%30.8%19.0%6.2%-3.5%36.1K-725.3K-3.0K1.4481.04111160544364
2014-10-24$36.82$35.0022.5%5.5%24.6%31.6%18.6%5.6%-4.5%36.8K-728.4K-2.9K1.3985.88115160545364
2014-10-27$36.95$35.0022.4%5.5%24.6%31.3%0.0%5.1%-3.2%39.3K-737.2K-2.9K0.0087.4907551364
2014-10-28$37.03$35.0018.8%5.4%24.6%22.4%0.0%6.7%3.6%39.8K-719.9K-2.9K0.0088.3200551371
2014-10-29$36.75$35.0021.8%5.4%24.6%29.8%19.1%2.2%-1.0%38.2K-706.9K-2.9K2.6787.0458155561371
2014-10-30$37.20$35.0021.3%5.5%25.0%28.7%20.1%8.3%-5.5%39.7K-801.4K-2.8K2.6783.2058155565372
2014-10-31$37.30$35.0020.6%5.4%24.8%26.9%20.2%10.2%-0.9%39.9K-843.8K-2.9K2.6783.2258155577372