OGE Options History — June 2015

In June 2015, OGE traded between $28.57 and $31.31. ATM implied volatility averaged 26.5%, placing in the 17.8% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 11.9% (HV 20d: 14.6%). 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 8 of 22 days. Put/call ratio averaged 0.96.

Notable Days

  • 2015-06-03: Highest Volume — 272 contracts
  • 2015-06-25: Largest IV spike — 248.2% change
  • 2015-06-29: Highest IV Rank — 84.1%
  • 2015-06-29: Largest Expected Move — 25.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.44$28.57$31.31$31.31$28.57
Max Pain$32.95$30.00$35.00$30.00$30.00
ATM IV26.5%15.1%88.2%19.4%33.7%
Expected Move7.6%4.3%25.3%5.6%9.7%
HV 20d14.6%13.2%16.3%13.8%13.2%
HV 60d15.6%14.6%16.9%16.1%14.7%
IV Rank17.8%5.6%84.1%10.2%24.7%
IV Percentile55.7%8.7%99.6%53.6%92.1%
Term Structure-6.4%-88.2%3.2%2.5%-3.1%
VWIV31.1%15.9%107.5%21.1%28.8%
Skew 25d0.8%-39.4%32.2%1.3%-1.6%
Skew 10d-7.3%-65.6%38.3%28.7%-5.5%
Call IV 25d29.8%19.6%70.8%21.3%30.6%
Put IV 25d30.5%17.0%61.8%22.6%29.0%
Bid-Ask Spread %114.2789.35133.64117.63123.85
Gamma HHI0.710.530.810.530.61
Net GEX-23.6K-45.8K-6.5K-12.4K-6.5K
Net DEX533.8K-9.0K1.1M-9.0K305.9K
Net VEX-2.2K-3.2K-1.4K-3.2K-1.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.960.141.801.670.16
Total Volume124.51427225981
Total OI932.5455331,1031,065642

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-06-01$31.31$30.0019.4%5.6%13.8%10.2%21.1%1.3%2.5%-12.4K-9.0K-3.2K1.67117.6397162593472
2015-06-02$30.55$30.0018.4%5.3%15.4%9.1%0.0%-10.3%1.5%-22.0K200.4K-3.2K0.00118.72014609472
2015-06-03$30.34$30.0017.6%5.0%14.4%8.3%17.3%9.0%0.7%-27.0K286.8K-3.1K1.80102.0597175609486
2015-06-04$29.92$35.0018.9%5.8%14.8%9.7%46.5%1.8%-1.2%-29.5K491.0K-3.0K0.32115.149831609486
2015-06-05$30.03$35.0020.1%5.5%15.0%11.0%52.8%1.9%0.1%-29.0K471.1K-3.0K0.32116.339831611473
2015-06-08$29.79$35.0020.0%5.6%15.1%10.9%54.3%-1.0%-0.6%-31.7K565.1K-2.8K0.62111.845031611473
2015-06-09$29.17$35.0022.9%6.0%16.3%14.0%21.6%-2.9%-1.5%-25.9K742.1K-2.5K1.42112.125071611473
2015-06-10$29.27$35.0020.2%5.8%15.7%11.1%20.9%-16.2%-1.2%-35.1K731.1K-2.6K1.42116.875071611492
2015-06-11$29.41$35.0019.4%5.6%15.9%10.3%19.6%-14.6%-0.5%-35.7K735.8K-2.5K1.42111.655071611492
2015-06-12$29.16$35.0019.8%5.7%14.1%10.6%19.7%-10.2%-1.3%-35.1K752.3K-2.4K1.42117.995071611492
2015-06-15$28.98$35.0018.4%5.3%13.2%9.1%18.4%28.7%0.7%-29.6K955.8K-2.0K1.76119.305088611492
2015-06-16$29.13$35.0019.4%5.6%13.5%10.3%19.4%32.2%-0.5%-32.6K929.8K-2.0K1.76118.865088611472
2015-06-17$29.32$35.0018.2%5.2%14.1%8.9%18.1%29.6%0.4%-38.0K873.1K-1.9K1.56122.225078611472
2015-06-18$29.50$35.0017.4%5.0%14.4%8.1%17.4%-15.2%1.2%-45.8K840.4K-2.0K1.56117.305078611472
2015-06-19$29.30$35.0017.9%5.1%14.5%8.7%17.5%-2.5%-0.0%-15.1K1.1M-1.7K1.5499.685077611472
2015-06-22$29.42$35.0015.1%4.3%14.8%5.6%15.9%25.9%3.2%-15.4K306.0K-1.7K0.45116.635826335198
2015-06-23$29.22$30.0023.3%6.7%14.6%14.5%26.3%-6.0%-4.8%-10.0K285.6K-1.7K0.3089.358626368198
2015-06-24$29.10$30.0018.3%5.2%14.1%9.1%20.6%-15.5%-2.4%-7.8K279.5K-1.8K0.28102.199226389198
2015-06-25$28.65$30.0063.7%18.3%14.5%57.9%63.2%12.8%-45.1%-14.4K300.2K-1.5K0.14118.549113404198
2015-06-26$28.92$30.0052.9%15.2%15.2%46.2%25.0%9.1%-0.4%-13.0K321.5K-1.4K0.16112.029115428198
2015-06-29$28.72$30.0088.2%25.3%15.2%84.1%107.5%-39.4%-88.2%-7.5K282.0K-1.7K0.16133.649215428200
2015-06-30$28.57$30.0033.7%9.7%13.2%24.7%28.8%-1.6%-3.1%-6.5K305.9K-1.7K0.16123.857011442200