OGE Options History — November 2015

In November 2015, OGE traded between $25.78 and $28.39. ATM implied volatility averaged 38.5%, placing in the 24.4% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded above realized volatility by 14.4% (HV 20d: 24.1%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 1.99.

Notable Days

  • 2015-11-20: Highest Volume — 155 contracts
  • 2015-11-10: Largest IV spike — 154.7% change
  • 2015-11-02: Highest IV Rank — 82.3%
  • 2015-11-02: Largest Expected Move — 27.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.50$25.78$28.39$28.21$26.11
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV38.5%17.6%96.8%96.8%60.1%
Expected Move10.0%5.0%27.8%27.8%17.2%
HV 20d24.1%13.3%28.3%13.4%28.0%
HV 60d24.9%23.1%26.8%23.7%23.1%
IV Rank24.4%3.7%82.3%82.3%45.9%
IV Percentile62.6%9.9%97.2%97.2%88.5%
Term Structure-12.6%-73.4%34.7%-73.4%-63.1%
VWIV31.3%16.6%96.9%96.9%33.1%
Skew 25d6.5%-23.9%101.4%101.4%-23.9%
Skew 10d12.6%-5.7%58.9%40.3%58.9%
Call IV 25d27.8%18.3%48.8%36.3%48.8%
Put IV 25d34.3%18.6%137.7%137.7%24.9%
Bid-Ask Spread %122.97107.50142.64137.87130.76
Gamma HHI0.810.600.900.810.86
Net GEX-6.4K-10.2K-2.8K-5.2K-9.8K
Net DEX381.0K226.3K459.3K245.0K448.4K
Net VEX-1.1K-1.7K-795-1.6K-964
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.990.0015.000.942.59
Total Volume99.701551530
Total OI493.15476507487507

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-11-02$28.21$30.0096.8%27.8%13.4%82.3%96.9%101.4%-73.4%-5.2K245.0K-1.6K0.94137.877974248239
2015-11-03$28.39$30.0019.9%5.7%13.6%5.9%18.8%6.6%1.1%-3.1K226.3K-1.7K1.10108.246774248239
2015-11-04$28.39$30.0036.5%10.5%13.3%22.5%19.4%34.6%10.6%-4.1K237.0K-1.7K1.10139.006774256239
2015-11-05$27.51$30.0050.9%7.3%15.8%36.8%24.2%-3.1%-1.7%-2.8K237.7K-1.7K1.10130.396774256239
2015-11-06$26.07$30.0022.5%5.0%24.3%8.6%16.6%0.3%5.7%-6.2K395.7K-1.0K0.00114.4340256239
2015-11-09$26.13$30.0033.5%9.0%24.4%19.5%0.0%3.1%-26.5%-5.8K407.3K-1.0K0.00142.6400254239
2015-11-10$26.41$30.0085.3%12.7%24.9%70.9%35.8%5.6%-35.5%-4.9K368.7K-1.2K1.35128.995574254239
2015-11-11$26.42$30.0045.8%13.1%24.8%31.7%37.1%6.3%-24.9%-3.9K349.1K-1.3K1.35134.965574254239
2015-11-12$26.14$30.0019.3%5.5%24.1%5.4%21.7%1.9%4.5%-6.7K414.1K-9201.35107.725574254239
2015-11-13$25.79$30.0046.1%13.2%24.2%32.0%28.8%-12.8%-20.5%-4.3K398.1K-1.0K1.35134.825574254239
2015-11-16$26.56$30.0017.6%5.0%27.2%3.7%0.0%0.5%4.6%-6.0K417.8K-8330.00126.8070254239
2015-11-17$25.90$30.0025.4%7.3%28.0%11.4%25.1%-2.0%-0.8%-5.9K392.5K-9201.25115.815974242234
2015-11-18$26.04$30.0021.9%6.3%28.3%8.0%24.0%4.3%4.2%-7.8K415.6K-7951.59109.065994242234
2015-11-19$26.29$30.0039.1%11.2%28.0%25.1%29.9%3.2%-27.6%-7.5K430.0K-9441.59110.585994242254
2015-11-20$26.06$30.0025.2%7.2%27.8%11.2%26.7%4.0%-2.8%-7.8K435.0K-9121.54110.096194242254
2015-11-23$25.91$30.0024.4%7.0%27.8%10.5%0.0%0.6%34.7%-8.4K436.3K-9350.00110.9310236254
2015-11-24$25.78$30.0020.5%5.9%27.7%6.6%0.0%5.1%3.6%-10.2K451.7K-87315.00107.50115237254
2015-11-25$25.85$30.0039.1%11.2%27.8%25.0%31.5%-1.9%-28.5%-9.0K459.3K-9662.59124.1839101238269
2015-11-27$25.94$30.0039.2%11.2%27.8%25.2%33.1%-3.8%-16.4%-8.9K453.9K-9652.59134.6039101238269
2015-11-30$26.11$30.0060.1%17.2%28.0%45.9%0.0%-23.9%-63.1%-9.8K448.4K-9640.00130.7600238269