OGE Options History — September 2015

In September 2015, OGE traded between $26.48 and $27.62. ATM implied volatility averaged 46.1%, placing in the 33.1% IV rank vs the trailing year. The 30-day expected move averaged 13.0%. IV traded above realized volatility by 18.6% (HV 20d: 27.4%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 1.61.

Notable Days

  • 2015-09-10: Highest Volume — 234 contracts
  • 2015-09-30: Largest IV spike — 136.9% change
  • 2015-09-30: Highest IV Rank — 100.0%
  • 2015-09-30: Largest Expected Move — 31.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.03$26.48$27.62$27.20$27.39
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV46.1%25.5%111.4%55.3%111.4%
Expected Move13.0%7.3%31.9%15.9%31.9%
HV 20d27.4%21.4%30.1%29.2%22.6%
HV 60d22.8%21.7%23.7%21.9%23.7%
IV Rank33.1%11.9%100.0%44.1%100.0%
IV Percentile82.7%70.6%100.0%91.3%100.0%
Term Structure-20.3%-55.9%20.1%-49.5%-37.7%
VWIV37.1%19.0%129.8%30.2%129.8%
Skew 25d1.4%-32.0%55.2%-13.9%11.1%
Skew 10d4.9%-77.6%98.4%9.2%-77.6%
Call IV 25d41.3%22.6%143.7%42.1%143.7%
Put IV 25d42.7%20.8%154.9%28.2%154.9%
Bid-Ask Spread %125.5497.82139.35123.02137.52
Gamma HHI0.600.380.840.650.38
Net GEX-4.0K-6.7K1.3K1.3K-1.3K
Net DEX591.6K130.5K838.9K599.8K130.5K
Net VEX-1.5K-2.2K-1.2K-1.5K-2.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.610.002.061.511.31
Total Volume169.71419234176155
Total OI811.3334461,085940454

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-09-01$27.20$30.0055.3%15.9%29.2%44.1%30.2%-13.9%-49.5%1.3K599.8K-1.5K1.51123.0270106630310
2015-09-02$26.78$30.0059.7%17.1%29.3%47.7%38.4%-18.3%-55.9%-457632.4K-1.7K2.01122.4170141635350
2015-09-03$27.20$30.0049.7%15.6%30.1%36.7%32.6%55.2%4.7%-2.8K662.1K-1.9K2.01132.5470141635384
2015-09-04$26.78$30.0058.6%8.2%29.3%45.8%82.5%-32.0%20.1%-3.2K700.9K-1.7K2.06130.2070144637384
2015-09-08$27.31$30.0037.1%13.0%30.1%23.8%0.0%5.0%-23.7%-2.1K756.9K-1.5K0.00123.25020637389
2015-09-09$26.87$30.0031.0%8.9%30.1%17.6%24.7%0.2%-6.0%-4.2K779.6K-1.3K1.58122.3979125637389
2015-09-10$26.64$30.0058.8%16.8%29.2%46.0%20.3%29.2%-38.3%-2.0K672.4K-1.8K1.96131.9679155647389
2015-09-11$26.87$30.0043.5%12.5%29.7%30.3%39.9%-3.4%-22.5%-4.4K798.6K-1.6K1.96131.0979155647414
2015-09-14$26.85$30.0030.6%8.8%29.1%17.1%21.1%6.4%-4.0%-5.0K821.4K-1.5K1.9697.8279155647414
2015-09-15$27.07$30.0045.2%13.0%28.6%32.1%0.0%-15.5%-28.3%-4.6K815.1K-1.5K0.00126.29190647414
2015-09-16$27.54$30.0025.5%7.3%29.9%11.9%19.0%8.9%5.3%-3.2K808.0K-1.6K1.49110.5585127654414
2015-09-17$27.62$30.0048.3%13.8%30.0%35.2%42.5%38.5%-22.0%-4.1K789.2K-1.6K1.59139.3585135654415
2015-09-18$27.21$30.0044.2%12.7%30.0%31.1%23.1%-11.1%-42.0%-5.6K838.9K-1.7K1.82128.9174135654431
2015-09-21$27.30$30.0033.8%9.7%29.8%20.4%19.8%-6.3%-23.5%-6.2K349.7K-1.5K1.52120.265888213233
2015-09-22$26.90$30.0027.1%7.8%26.6%13.5%24.9%-6.6%-12.9%-6.6K368.6K-1.4K1.52115.745888213233
2015-09-23$26.77$30.0029.6%8.5%23.8%16.1%27.7%-3.2%-6.5%-6.7K394.1K-1.2K1.69116.225288213233
2015-09-24$27.00$30.0039.1%11.2%24.1%25.9%30.9%13.8%-4.6%-5.9K406.7K-1.2K1.69130.175288214233
2015-09-25$27.10$30.0047.4%13.6%21.4%34.3%29.6%-4.5%-24.7%-5.6K351.1K-1.4K1.63138.245488214233
2015-09-28$26.78$30.0044.8%12.8%21.6%31.7%30.5%-6.4%-29.9%-6.2K364.8K-1.4K1.63123.475488214233
2015-09-29$26.48$30.0047.0%13.5%21.6%34.0%37.7%-16.7%-24.9%-6.0K381.7K-1.3K1.31134.876788214233
2015-09-30$27.39$30.00111.4%31.9%22.6%100.0%129.8%11.1%-37.7%-1.3K130.5K-2.2K1.31137.526788221233