OGE Options History — October 2015

In October 2015, OGE traded between $26.81 and $29.19. ATM implied volatility averaged 49.3%, placing in the 35.7% IV rank vs the trailing year. The 30-day expected move averaged 12.1%. IV traded above realized volatility by 27.0% (HV 20d: 22.3%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 1.12.

Notable Days

  • 2015-10-16: Highest Volume — 186 contracts
  • 2015-10-21: Largest IV spike — 115.9% change
  • 2015-10-13: Highest IV Rank — 100.0%
  • 2015-10-26: Largest Expected Move — 23.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.42$26.81$29.19$26.81$28.56
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV49.3%19.7%114.6%67.3%22.7%
Expected Move12.1%5.4%23.1%19.3%6.5%
HV 20d22.3%13.2%25.3%23.3%13.2%
HV 60d24.3%23.7%25.0%23.7%23.9%
IV Rank35.7%5.8%100.0%54.8%8.7%
IV Percentile75.8%35.7%100.0%94.0%53.2%
Term Structure-14.9%-53.0%15.2%-48.0%3.0%
VWIV34.3%19.1%81.9%51.7%19.1%
Skew 25d3.4%-11.4%38.8%-11.4%5.6%
Skew 10d11.9%-12.6%47.4%44.8%-0.3%
Call IV 25d35.5%16.5%96.7%61.6%20.6%
Put IV 25d39.0%22.0%101.6%50.2%26.2%
Bid-Ask Spread %128.72103.12139.39139.13116.45
Gamma HHI0.520.340.790.500.63
Net GEX-3.9K-6.7K51-4.7K-2.7K
Net DEX191.8K23.8K311.1K311.1K182.5K
Net VEX-1.8K-2.3K-1.5K-1.6K-1.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.120.861.381.240.94
Total Volume147.9550186159153
Total OI464.955454484454484

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-10-01$26.81$30.0067.3%19.3%23.3%54.8%51.7%-11.4%-48.0%-4.7K311.1K-1.6K1.24139.137188221233
2015-10-02$27.68$30.0067.5%19.3%25.3%55.0%51.9%-0.6%-18.0%-4.5K284.7K-1.7K1.38138.157198221233
2015-10-05$28.02$0.0050.2%11.6%24.9%37.2%0.0%-10.1%-27.7%-5.9K301.4K-1.6K0.00131.5000221243
2015-10-06$27.99$0.0060.7%16.3%24.0%48.0%0.0%2.2%-28.9%-4.5K270.1K-1.7K1.38133.837198221243
2015-10-07$27.82$0.0071.2%17.9%23.3%58.8%0.0%-10.0%-38.7%-2.7K94.2K-2.0K1.21138.707186216243
2015-10-08$28.40$0.0030.7%5.4%23.9%17.2%0.0%5.9%4.8%-4.4K242.6K-1.8K1.21125.987186216251
2015-10-09$28.42$0.0048.4%9.5%23.8%35.4%0.0%5.4%-10.7%-4.3K205.7K-2.0K1.21119.867186216251
2015-10-12$28.37$0.00101.2%19.0%23.8%89.5%0.0%9.2%-8.0%5123.8K-2.3K1.21138.537186216251
2015-10-13$28.43$0.00114.6%12.4%23.8%100.0%0.0%-5.0%-10.7%-5.3K263.2K-1.8K1.21132.507186216251
2015-10-14$28.49$0.0035.0%10.0%23.1%20.9%0.0%-2.1%-2.9%-3.1K179.5K-2.1K1.21121.007186216251
2015-10-15$28.87$0.0053.3%15.3%23.5%39.2%0.0%4.9%-40.1%-2.5K89.2K-2.1K1.21129.857186216251
2015-10-16$28.81$0.0021.8%6.3%22.7%7.9%22.7%0.8%-3.6%-6.7K207.6K-1.7K0.86125.5910086216251
2015-10-19$28.82$30.0031.8%9.1%22.7%17.8%31.8%-0.4%-13.7%-4.3K148.4K-1.9K0.97132.977674222239
2015-10-20$28.94$30.0020.1%5.8%21.7%6.2%23.3%-1.8%-4.0%-4.0K163.6K-1.8K0.97103.127674222239
2015-10-21$28.82$30.0043.4%12.4%21.7%29.3%37.9%-1.2%-14.1%-5.8K198.5K-1.8K0.97116.127674222239
2015-10-22$29.19$30.0019.7%5.7%21.9%5.8%19.9%38.8%1.3%-3.1K116.7K-1.9K0.97113.637674222239
2015-10-23$28.77$30.0038.6%11.1%22.8%24.5%35.6%-1.5%-20.3%-4.9K117.3K-1.9K1.19135.266274222239
2015-10-26$28.74$30.0080.7%23.1%22.2%66.4%81.9%20.0%-53.0%-3.3K139.6K-1.9K1.19135.476274225239
2015-10-27$28.42$30.0025.9%7.4%22.2%11.9%19.1%14.5%15.2%-2.7K202.9K-1.8K1.19131.366274225239
2015-10-28$28.39$30.0036.5%10.5%19.1%22.4%27.3%3.5%-7.0%-4.8K240.0K-1.5K0.90133.568274225239
2015-10-29$28.47$30.0043.5%12.5%17.0%29.4%24.1%8.7%-3.2%-2.7K237.1K-1.7K0.90139.398274245239
2015-10-30$28.56$30.0022.7%6.5%13.2%8.7%19.1%5.6%3.0%-2.7K182.5K-1.8K0.94116.457974245239