OGE Options History — July 2015

In July 2015, OGE traded between $27.80 and $29.74. ATM implied volatility averaged 58.1%, placing in the 48.3% IV rank vs the trailing year. The 30-day expected move averaged 14.0%. IV traded above realized volatility by 40.5% (HV 20d: 17.6%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 7 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 0.26.

Notable Days

  • 2015-07-13: Highest Volume — 181 contracts
  • 2015-07-07: Largest IV spike — 283.9% change
  • 2015-07-14: Highest IV Rank — 100.0%
  • 2015-07-31: Largest Expected Move — 26.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.78$27.80$29.74$28.66$29.74
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV58.1%16.9%111.4%53.2%90.9%
Expected Move14.0%5.5%26.1%15.2%26.1%
HV 20d17.6%13.4%20.3%13.4%19.2%
HV 60d15.8%14.6%16.5%14.6%16.5%
IV Rank48.3%6.4%100.0%45.8%79.6%
IV Percentile89.6%13.5%100.0%97.6%99.2%
Term Structure-18.7%-69.7%38.4%38.4%-65.1%
VWIV44.6%19.9%94.2%29.9%91.1%
Skew 25d28.1%-21.7%151.5%96.8%16.8%
Skew 10d33.4%-60.1%157.8%113.3%-14.3%
Call IV 25d44.2%18.2%115.8%31.8%111.6%
Put IV 25d72.3%16.7%178.3%128.6%128.5%
Bid-Ask Spread %124.0999.54138.74109.55111.68
Gamma HHI0.550.490.700.580.49
Net GEX-444-6.2K8.3K-5.3K-149
Net DEX254.3K52.0K400.6K294.5K166.6K
Net VEX-1.9K-2.4K-1.5K-1.7K-2.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.260.080.460.160.23
Total Volume132.6367718179175
Total OI725.136650781650758

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-07-01$28.66$30.0053.2%15.2%13.4%45.8%29.9%96.8%38.4%-5.3K294.5K-1.7K0.16109.556811450200
2015-07-02$29.28$30.0048.1%13.8%15.2%40.3%26.7%18.1%19.8%-6.2K219.7K-2.0K0.13130.19689462200
2015-07-06$29.11$30.0016.9%6.0%15.2%6.4%21.2%-1.8%-2.1%-3.1K260.3K-1.8K0.10106.52899462196
2015-07-07$29.62$30.0065.0%7.2%16.4%58.7%25.8%77.7%-5.6%-641117.1K-2.1K0.09116.61969493196
2015-07-08$28.99$30.0067.2%11.0%16.5%61.1%32.7%151.5%2.6%8.3K52.0K-2.4K0.09113.04969503196
2015-07-09$28.71$30.0069.1%12.5%16.7%63.2%40.4%-14.1%-19.0%-1.2K198.0K-1.9K0.08131.511179503196
2015-07-10$28.72$30.0075.5%7.1%16.6%70.1%26.5%-21.0%-5.7%3.2K101.0K-2.2K0.08125.441179537196
2015-07-13$28.88$30.0034.6%5.6%16.5%25.6%20.0%25.2%0.2%8.1K200.9K-1.9K0.2499.5414635534196
2015-07-14$28.76$30.00111.4%18.5%16.5%100.0%64.1%6.4%-46.5%625173.0K-2.2K0.24138.3914635559222
2015-07-15$28.90$30.0052.2%15.0%16.5%41.0%50.3%-21.7%-25.0%1.6K306.9K-2.0K0.24133.2014635559222
2015-07-16$29.27$30.0019.3%5.5%16.9%8.2%19.9%18.9%0.1%5.4K249.9K-2.1K0.24122.2814635559222
2015-07-17$28.61$30.0040.1%11.5%18.6%28.9%31.9%-15.3%-6.3%-1.8K335.4K-1.8K0.24119.7014635559222
2015-07-20$28.40$30.0042.9%12.3%18.6%31.8%34.3%-9.8%-9.3%-1.0K309.0K-1.9K0.27127.0412333491220
2015-07-21$28.10$30.0073.6%21.1%18.7%62.3%77.3%10.2%-51.9%-3.0K400.6K-1.5K0.27131.2412333498220
2015-07-22$28.05$30.0076.3%21.9%18.7%65.0%76.3%92.6%-50.4%-1.3K349.3K-1.7K0.45131.637433498220
2015-07-23$27.80$30.0044.8%12.8%18.8%33.6%38.7%-16.8%-20.5%-3.8K350.1K-1.6K0.45121.007433505220
2015-07-24$27.87$30.0041.4%11.9%18.2%30.2%24.0%82.0%-6.2%-3.5K343.8K-1.6K0.46125.677233505220
2015-07-27$28.36$30.0080.3%23.0%19.0%69.0%94.2%-12.8%-69.7%-2.3K386.3K-1.6K0.46138.747233510220
2015-07-28$28.77$30.0081.7%23.4%19.6%70.4%92.2%-1.9%-62.8%-1.9K331.2K-1.7K0.45136.597333510220
2015-07-29$29.10$30.0047.8%13.7%19.9%36.6%27.3%84.2%-9.6%-2.1K270.7K-2.0K0.46130.117233525220
2015-07-30$29.47$30.0045.3%13.0%20.3%34.2%37.5%52.6%-16.7%570177.8K-2.2K0.23130.2614233529220
2015-07-31$29.74$30.0090.9%26.1%19.2%79.6%91.1%16.8%-65.1%-149166.6K-2.2K0.23111.6814233538220