OGE Options History — December 2014

In December 2014, OGE traded between $33.19 and $36.67. ATM implied volatility averaged 18.7%, placing in the 35.2% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded below realized volatility by 1.0% (HV 20d: 19.6%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 3.35.

Notable Days

  • 2014-12-09: Highest Volume — 294 contracts
  • 2014-12-29: Largest IV spike — 24.2% change
  • 2014-12-29: Highest IV Rank — 52.4%
  • 2014-12-15: Largest Expected Move — 5.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.12$33.19$36.67$35.17$35.48
Max Pain$35.33$35.00$40.00$40.00$35.00
ATM IV18.7%16.0%23.0%18.7%17.4%
Expected Move5.2%5.1%5.5%5.2%5.1%
HV 20d19.6%14.7%25.3%15.3%25.3%
HV 60d20.2%18.6%22.1%19.1%22.1%
IV Rank35.2%24.4%52.4%35.1%30.0%
IV Percentile32.4%10.3%69.0%31.3%19.0%
Term Structure-0.4%-3.9%0.6%0.4%0.1%
VWIV17.4%15.7%19.6%16.2%17.9%
Skew 25d3.5%-4.9%25.4%22.5%-3.2%
Skew 10d9.2%-6.3%45.6%40.1%-2.8%
Call IV 25d20.2%16.8%23.6%21.7%21.8%
Put IV 25d23.7%15.9%45.5%44.3%18.7%
Bid-Ask Spread %92.9482.6398.2487.7997.09
Gamma HHI0.760.560.860.600.84
Net GEX-30.7K-51.6K-7.5K-8.5K-51.6K
Net DEX394.4K80.5K951.5K256.2K241.3K
Net VEX-2.4K-2.9K-2.0K-2.5K-2.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.350.0011.004.860.00
Total Volume185.09122942054
Total OI803.5914361,029871439

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-12-01$35.17$40.0018.7%5.2%15.3%35.1%16.2%22.5%0.4%-8.5K256.2K-2.5K4.8687.7935170451420
2014-12-02$35.56$35.0020.1%5.3%16.0%40.7%17.3%1.3%-1.1%-7.9K111.0K-2.4K4.8687.8235170452415
2014-12-03$35.62$35.0018.4%5.2%15.9%33.9%15.9%13.4%0.5%-7.5K80.7K-2.4K4.5791.6137169452415
2014-12-04$35.42$35.0018.8%5.1%15.3%35.5%17.9%0.6%-0.1%-19.1K197.2K-2.6K11.0093.48111454465
2014-12-05$35.46$35.0018.8%5.2%15.3%35.6%15.7%1.8%0.0%-18.8K221.1K-2.6K3.4690.5356194455465
2014-12-08$35.56$35.0019.2%5.2%14.7%37.2%16.4%2.0%-0.2%-38.3K279.3K-2.9K4.2092.6856235455547
2014-12-09$35.78$35.0022.3%5.4%14.9%49.5%16.0%2.2%-0.7%-33.3K186.3K-2.9K4.2591.0456238465547
2014-12-10$34.78$35.0018.9%5.4%17.5%36.2%16.5%0.1%-0.1%-33.8K512.1K-2.8K4.2592.6456238475554
2014-12-11$34.80$35.0018.8%5.3%17.5%35.6%16.9%0.9%-0.5%-33.7K509.5K-2.8K3.0794.0556172475554
2014-12-12$34.38$35.0019.1%5.4%15.3%36.7%18.3%0.1%-0.2%-29.4K639.2K-2.5K3.0792.4656172475536
2014-12-15$33.19$35.0017.7%5.5%19.1%31.3%19.4%-4.9%-1.7%-32.3K943.1K-2.1K2.9790.8158172475536
2014-12-16$33.40$35.0016.0%5.4%18.8%24.4%19.6%-3.3%-0.1%-34.4K951.5K-2.0K2.2882.6371162477536
2014-12-17$34.36$35.0017.9%5.2%21.9%32.0%19.2%24.3%0.3%-30.4K875.4K-2.2K2.4489.6171173484535
2014-12-18$34.96$35.0017.9%5.1%23.1%32.3%17.9%25.4%-0.2%-28.3K534.4K-2.3K2.5890.1767173484535
2014-12-19$34.81$35.0018.0%5.2%23.0%32.4%0.0%0.2%0.0%-18.6K611.2K-2.3K0.0096.86100492535
2014-12-22$34.91$0.0018.1%5.2%23.0%32.8%0.0%-0.6%0.1%-44.1K428.7K-2.1K3.0996.3944136146290
2014-12-23$35.07$0.0018.3%5.3%23.1%33.8%0.0%-3.8%0.3%-44.4K387.0K-2.1K3.0996.3644136146290
2014-12-24$35.45$0.0017.1%5.1%23.5%29.0%0.0%-1.8%0.6%-46.7K281.6K-2.2K3.0997.1144136146290
2014-12-26$35.88$0.0018.5%5.1%23.7%34.6%0.0%-0.1%-0.7%-41.7K189.5K-2.1K3.2497.6042136146290
2014-12-29$36.67$0.0023.0%5.4%24.4%52.4%0.0%3.0%-3.9%-29.1K80.5K-2.0K3.2497.7742136153290
2014-12-30$35.83$0.0018.3%5.2%25.3%33.6%0.0%-3.0%-0.8%-43.4K159.6K-2.0K0.0098.2420147290
2014-12-31$35.48$0.0017.4%5.1%25.3%30.0%0.0%-3.2%0.1%-51.6K241.3K-2.0K0.0097.0940149290