OGE Options History — August 2015

In August 2015, OGE traded between $27.64 and $31.42. ATM implied volatility averaged 44.7%, placing in the 33.5% IV rank vs the trailing year. The 30-day expected move averaged 11.0%. IV traded above realized volatility by 24.8% (HV 20d: 19.9%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.70.

Notable Days

  • 2015-08-10: Highest Volume — 254 contracts
  • 2015-08-06: Largest IV spike — 330.1% change
  • 2015-08-06: Highest IV Rank — 93.4%
  • 2015-08-03: Largest Expected Move — 21.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.70$27.64$31.42$29.73$28.05
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV44.7%16.2%104.8%74.0%51.9%
Expected Move11.0%4.6%21.2%21.2%14.9%
HV 20d19.9%15.3%27.8%19.0%27.7%
HV 60d17.9%16.4%21.2%16.5%21.1%
IV Rank33.5%5.2%93.4%62.7%40.8%
IV Percentile77.3%7.9%99.6%96.8%89.7%
Term Structure-7.0%-59.6%38.4%-17.0%-13.0%
VWIV37.2%14.9%89.1%30.8%57.9%
Skew 25d1.0%-35.7%24.3%6.2%-7.3%
Skew 10d5.7%-74.2%75.3%-34.0%74.3%
Call IV 25d32.7%13.9%116.9%116.9%44.1%
Put IV 25d33.7%18.4%123.1%123.1%36.8%
Bid-Ask Spread %115.9464.41136.87117.05132.54
Gamma HHI0.600.490.900.750.81
Net GEX3.3K-12.1K16.7K10.8K3.9K
Net DEX62.7K-239.6K489.0K-6.9K367.3K
Net VEX-2.5K-3.2K-1.9K-2.8K-2.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.700.001.570.361.02
Total Volume169.90502541131
Total OI817.905737939737939

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-08-03$29.73$30.0074.0%21.2%19.0%62.7%0.0%6.2%-17.0%10.8K-6.9K-2.8K0.00117.0501517220
2015-08-04$29.32$30.0028.6%8.2%18.7%17.5%30.8%-35.7%-8.7%-767183.5K-2.1K0.36126.3114452517220
2015-08-05$29.49$30.0024.4%7.0%17.1%13.3%24.4%2.4%10.0%6.2K43.9K-2.4K0.41102.1714459521230
2015-08-06$29.41$30.00104.8%18.9%16.7%93.4%53.8%-5.4%-22.9%10.3K-111.9K-3.2K0.27120.0313637521234
2015-08-07$29.94$30.0070.0%18.4%17.7%58.7%55.7%4.1%-37.0%13.4K-103.3K-3.1K0.29114.6113539521235
2015-08-10$30.25$30.0042.2%5.6%17.9%31.1%20.0%-1.0%-1.6%-4.5K71.7K-2.2K0.88112.46135119518237
2015-08-11$30.38$30.00103.8%11.9%17.7%92.4%0.0%0.2%-35.3%3.7K-27.5K-2.5K0.00122.1100518252
2015-08-12$30.81$30.0018.7%5.4%18.2%7.6%18.4%14.3%2.8%-5.4K-204-2.4K0.87102.03135117518252
2015-08-13$30.66$30.0020.4%5.9%18.0%9.4%20.5%12.8%-0.3%-2.6K4.5K-2.6K0.8799.18135117518269
2015-08-14$31.00$30.0041.1%11.8%15.6%30.0%43.4%-1.5%-39.1%-976-38.0K-2.5K0.87112.14135117518269
2015-08-17$31.42$30.0022.2%6.4%15.3%11.2%22.1%2.8%-5.1%-12.1K-60.9K-2.0K0.50121.5613567518269
2015-08-18$31.06$30.0058.2%16.7%15.5%47.0%52.5%24.3%-31.5%16.7K-239.6K-2.9K0.50127.6513567518265
2015-08-19$30.95$30.0016.2%4.6%15.6%5.2%14.9%8.5%4.6%-8.9K-55.2K-2.3K0.0064.41460518265
2015-08-20$30.45$30.0022.9%6.6%16.6%11.8%23.9%7.1%16.3%7.7K-108.2K-2.7K0.44114.4515367564265
2015-08-21$29.95$30.0021.7%6.2%18.2%10.6%23.4%-2.9%18.5%13.8K-137.2K-2.9K0.44123.8215367624265
2015-08-24$28.70$30.0028.8%8.3%23.8%17.7%29.0%-0.4%33.9%7.0K242.7K-2.3K0.89116.25130116614263
2015-08-25$27.71$30.0067.3%19.3%26.4%56.1%89.1%-1.8%-59.6%8.7K-88.3K-3.1K0.51131.6113066612320
2015-08-26$27.64$30.0042.3%12.1%25.9%31.2%46.7%5.5%38.4%657489.0K-1.9K1.57136.874266612310
2015-08-27$28.46$30.0027.6%7.9%27.8%16.5%28.2%-4.0%-0.4%-54442.7K-2.1K1.57121.144266605310
2015-08-28$28.40$30.0050.5%14.5%27.5%39.4%52.4%-7.0%-0.0%738448.2K-2.1K1.00116.456666605310
2015-08-31$28.05$30.0051.9%14.9%27.7%40.8%57.9%-7.3%-13.0%3.9K367.3K-2.1K1.02132.546566629310