OGE Options History — March 2015

In March 2015, OGE traded between $31.19 and $32.45. ATM implied volatility averaged 24.3%, placing in the 52.4% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 0.3% (HV 20d: 24.0%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 1.92.

Notable Days

  • 2015-03-06: Highest Volume — 294 contracts
  • 2015-03-30: Largest IV spike — 100.2% change
  • 2015-03-30: Highest IV Rank — 100.0%
  • 2015-03-31: Largest Expected Move — 14.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.74$31.19$32.45$31.82$31.63
Max Pain$30.68$30.00$35.00$35.00$30.00
ATM IV24.3%15.5%49.4%15.7%49.4%
Expected Move6.9%4.5%14.2%4.5%14.2%
HV 20d24.0%21.4%27.6%25.1%21.4%
HV 60d23.2%22.0%24.5%23.3%22.2%
IV Rank52.4%22.6%100.0%23.3%100.0%
IV Percentile72.4%8.7%100.0%9.9%100.0%
Term Structure-7.1%-59.0%4.9%2.9%-59.0%
VWIV22.6%15.0%36.7%16.0%22.3%
Skew 25d1.4%-22.1%14.3%-3.2%-22.1%
Skew 10d25.4%-5.4%68.8%-5.4%-5.0%
Call IV 25d21.8%16.7%44.0%20.5%44.0%
Put IV 25d23.3%14.2%40.4%17.4%21.9%
Bid-Ask Spread %115.89102.28131.37116.06126.02
Gamma HHI0.690.560.850.560.61
Net GEX-19.7K-38.9K-7.9K-7.9K-12.7K
Net DEX259.3K-90.3K586.5K277.2K62.5K
Net VEX-3.1K-3.8K-1.9K-2.0K-3.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.920.007.401.134.84
Total Volume80.5910294111263
Total OI760.5551940551807

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-03-02$31.82$35.0015.7%4.5%25.1%23.3%16.0%-3.2%2.9%-7.9K277.2K-2.0K1.13116.065259312239
2015-03-03$32.37$35.0021.3%6.1%26.1%45.7%25.7%14.3%4.9%-8.0K280.2K-2.0K1.09122.065459312239
2015-03-04$31.71$35.0015.5%4.5%26.5%22.6%15.0%-2.9%2.4%-8.2K305.0K-1.9K1.58111.615079313239
2015-03-05$32.26$30.0023.8%6.3%27.3%55.6%23.0%-4.1%-1.9%-8.1K283.5K-2.1K1.93102.284179321259
2015-03-06$31.63$30.0016.6%6.0%27.6%26.9%21.1%3.6%-0.6%-9.0K300.0K-2.1K7.40114.2935259323259
2015-03-09$31.67$30.0026.4%5.9%23.2%65.9%0.0%2.4%-1.9%-33.4K482.1K-3.1K0.00117.2100318470
2015-03-10$31.38$30.0019.5%5.5%23.3%38.4%0.0%3.5%0.2%-35.2K506.9K-3.1K0.00120.5700318470
2015-03-11$31.19$30.0020.7%5.9%22.5%43.1%0.0%12.6%-0.9%-38.0K581.2K-3.0K0.00113.08016318470
2015-03-12$31.49$30.0021.3%6.1%22.5%45.4%21.5%2.0%-1.2%-35.6K534.0K-3.1K0.00108.9130318470
2015-03-13$31.24$30.0020.7%5.9%21.4%43.3%0.0%2.6%-0.2%-38.8K586.5K-3.0K0.00105.1100315470
2015-03-16$31.50$30.0022.1%6.3%21.6%48.7%22.2%2.7%-2.3%-35.6K527.5K-3.0K0.00119.9450315470
2015-03-17$31.43$30.0021.2%6.1%21.6%45.2%0.0%2.7%-0.4%-38.9K532.7K-2.9K0.00103.521300315470
2015-03-18$32.29$30.0027.3%7.8%23.4%69.4%23.5%11.2%-6.9%-16.6K124.9K-3.6K0.00118.25290445470
2015-03-19$31.76$30.0022.5%6.4%23.8%50.3%0.0%3.7%-9.7%-13.6K117.4K-3.8K0.00117.2400470470
2015-03-20$32.45$30.0024.3%7.0%25.3%57.7%0.0%6.8%-3.1%-12.2K52.1K-3.6K0.00114.6600470470
2015-03-23$32.29$30.0022.7%6.5%25.2%51.2%0.0%-1.2%-14.8%-11.5K-90.3K-3.6K0.00131.37120386403
2015-03-24$31.91$30.0024.8%7.1%25.2%59.6%0.0%-9.8%-17.6%-12.1K3.5K-3.7K0.00114.02010398403
2015-03-25$31.50$30.0024.1%6.9%25.5%56.8%0.0%-1.5%-4.4%-15.3K51.0K-3.6K0.00112.8100398405
2015-03-26$31.32$30.0021.3%6.1%23.0%45.7%21.3%-0.5%-1.0%-16.1K87.2K-3.7K4.11111.5053218398405
2015-03-27$31.52$30.0024.2%6.9%23.2%57.3%0.0%-2.2%-2.4%-15.7K94.8K-3.6K0.00121.2540398405
2015-03-30$31.84$30.0048.5%13.9%22.2%100.0%36.7%11.1%-38.9%-11.3K5.0K-3.6K4.84127.7545218402405
2015-03-31$31.63$30.0049.4%14.2%21.4%100.0%22.3%-22.1%-59.0%-12.7K62.5K-3.6K4.84126.0245218402405