OGE Options History — April 2015

In April 2015, OGE traded between $31.61 and $32.84. ATM implied volatility averaged 30.1%, placing in the 44.2% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 13.3% (HV 20d: 16.7%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 1.51.

Notable Days

  • 2015-04-22: Highest Volume — 394 contracts
  • 2015-04-28: Largest IV spike — 126.5% change
  • 2015-04-06: Highest IV Rank — 100.0%
  • 2015-04-01: Largest Expected Move — 14.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.25$31.61$32.84$31.82$32.66
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV30.1%15.9%57.0%49.3%45.5%
Expected Move7.5%4.6%14.1%14.1%13.0%
HV 20d16.7%13.4%20.2%20.2%14.7%
HV 60d21.5%21.1%22.2%22.2%21.3%
IV Rank44.2%12.9%100.0%99.9%75.7%
IV Percentile76.5%11.5%100.0%99.6%98.0%
Term Structure-8.1%-55.0%5.4%-55.0%-4.3%
VWIV36.5%18.9%67.4%23.9%67.4%
Skew 25d2.5%-19.8%8.3%-19.8%3.6%
Skew 10d19.7%-58.8%88.5%-3.3%-34.1%
Call IV 25d22.1%15.0%42.6%42.6%27.8%
Put IV 25d24.5%18.6%31.4%22.8%31.4%
Bid-Ask Spread %118.94103.21134.39128.06131.32
Gamma HHI0.470.360.610.610.43
Net GEX-1.1K-12.4K9.3K-12.4K9.1K
Net DEX-278.0K-488.1K41.0K41.0K-466.9K
Net VEX-3.3K-3.9K-2.7K-3.5K-3.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.510.762.221.900.92
Total Volume327.2860394333346
Total OI900.381807962807962

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-04-01$31.82$30.0049.3%14.1%20.2%99.9%23.9%-19.8%-55.0%-12.4K41.0K-3.5K1.90128.06115218402405
2015-04-02$32.06$0.0037.0%6.1%19.4%68.7%0.0%5.0%-0.7%-8.5K-100.8K-3.6K1.90106.58115218474405
2015-04-06$32.31$0.0057.0%6.0%18.2%100.0%0.0%4.1%0.3%-6.6K-171.2K-3.4K1.90116.75115218474405
2015-04-07$31.94$0.0049.8%6.4%18.7%84.7%0.0%4.4%-2.9%-7.2K-132.8K-3.4K1.90113.53115218474405
2015-04-08$31.62$0.0021.9%6.3%18.8%25.6%0.0%2.4%-1.2%-10.7K-66.9K-3.5K0.00114.2400471405
2015-04-09$31.61$0.0020.8%6.0%18.6%23.3%0.0%3.5%-1.1%-9.3K-63.7K-3.5K1.90122.68115218476405
2015-04-10$32.03$0.0019.3%5.5%18.9%20.1%0.0%6.9%5.4%-7.1K-152.5K-3.4K1.80109.69121218476405
2015-04-13$31.97$0.0024.3%7.0%18.7%30.6%0.0%4.5%-4.9%-6.6K-198.7K-3.2K1.77112.01123218490405
2015-04-14$32.20$0.0021.6%6.2%18.6%24.8%0.0%7.2%2.3%-5.6K-218.5K-3.2K1.77112.73123218494405
2015-04-15$32.48$0.0024.8%7.1%18.8%31.7%0.0%6.6%-5.9%-4.2K-294.9K-3.1K2.22116.0098218490405
2015-04-16$32.17$0.0023.5%6.7%16.6%28.9%0.0%7.6%-7.0%-2.3K-272.0K-3.0K2.06103.21106218490405
2015-04-17$32.65$0.0017.4%5.0%16.2%16.0%0.0%8.3%2.0%-1.2K-388.3K-2.7K2.02116.64108218503405
2015-04-20$32.84$0.0015.9%4.6%14.5%12.9%20.2%2.2%0.3%3.2K-457.2K-2.9K1.67114.86102170500357
2015-04-21$32.43$30.0019.9%5.7%15.1%21.4%20.1%1.2%-2.1%2.8K-420.4K-3.0K1.65118.99103170515357
2015-04-22$32.29$30.0021.7%6.2%14.5%25.1%21.8%3.3%-2.3%2.8K-364.5K-3.1K0.76130.38224170526357
2015-04-23$32.46$30.0031.8%9.1%13.7%46.5%40.6%0.4%-26.5%8.7K-419.3K-3.9K0.76134.39224170595357
2015-04-24$32.46$30.0030.7%8.8%13.4%44.2%37.9%-0.8%-23.0%8.6K-430.5K-3.7K0.76126.36224170595357
2015-04-27$32.03$30.0016.5%4.7%14.3%14.1%18.9%-5.6%-4.5%7.2K-381.6K-3.6K0.76108.24224170595357
2015-04-28$32.39$30.0037.4%10.7%14.4%58.4%49.1%-0.4%-35.4%7.5K-390.8K-3.5K0.76127.32224170595357
2015-04-29$32.79$30.0045.3%13.0%14.7%75.1%65.5%7.1%-3.8%9.3K-488.1K-3.4K1.00133.71180180595357
2015-04-30$32.66$30.0045.5%13.0%14.7%75.7%67.4%3.6%-4.3%9.1K-466.9K-3.7K0.92131.32180166595367