OGE Options History — December 2015

In December 2015, OGE traded between $24.34 and $26.82. ATM implied volatility averaged 29.4%, placing in the 15.4% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 5.7% (HV 20d: 23.7%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 1.17.

Notable Days

  • 2015-12-14: Highest Volume — 189 contracts
  • 2015-12-14: Largest IV spike — 163.2% change
  • 2015-12-14: Highest IV Rank — 49.3%
  • 2015-12-14: Largest Expected Move — 18.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.55$24.34$26.82$25.94$26.29
Max Pain$25.45$25.00$30.00$30.00$25.00
ATM IV29.4%17.3%63.5%17.3%29.0%
Expected Move8.1%5.0%18.2%5.0%8.3%
HV 20d23.7%20.7%29.7%27.8%20.7%
HV 60d23.7%22.4%24.9%22.9%22.5%
IV Rank15.4%3.4%49.3%3.4%15.1%
IV Percentile52.8%6.7%89.3%6.7%57.5%
Term Structure-7.7%-80.7%35.1%4.3%-17.5%
VWIV25.4%16.9%55.2%21.6%21.0%
Skew 25d-3.6%-64.7%45.4%-40.0%-13.6%
Skew 10d-1.8%-84.0%86.1%-46.2%-2.5%
Call IV 25d32.2%18.8%103.2%57.9%35.5%
Put IV 25d28.6%17.8%80.1%17.8%21.9%
Bid-Ask Spread %113.4595.00132.49109.77105.18
Gamma HHI0.870.690.970.880.76
Net GEX-11.2K-15.0K-7.1K-11.0K-10.8K
Net DEX409.6K195.4K576.7K450.3K238.8K
Net VEX-1.1K-1.4K-785-942-1.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.170.622.152.151.12
Total Volume128.7271318963110
Total OI497.773313632507366

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-12-01$25.94$30.0017.3%5.0%27.8%3.4%0.0%-40.0%4.3%-11.0K450.3K-9420.00109.77063238269
2015-12-02$25.11$30.0021.3%6.1%29.3%7.3%21.6%45.4%1.3%-15.0K527.6K-9252.15117.783984238291
2015-12-03$24.56$25.0023.1%6.5%29.7%9.2%23.2%3.2%-1.3%-14.2K571.0K-7851.93113.534587238292
2015-12-04$24.78$25.0026.9%6.3%28.8%12.9%22.2%2.0%-0.2%-13.3K556.5K-8411.09119.666672247295
2015-12-07$24.76$25.0027.4%6.6%22.4%13.4%22.9%-5.3%-2.1%-12.7K542.6K-9270.00115.94013267300
2015-12-08$24.61$25.0036.1%6.6%22.3%22.1%23.1%-0.2%-1.5%-12.8K562.6K-9611.1497.726675267313
2015-12-09$24.77$25.0025.2%7.2%22.0%11.2%25.2%-0.1%-4.0%-14.0K554.2K-9931.14111.306675267313
2015-12-10$24.34$25.0020.3%5.8%22.5%6.4%16.9%21.8%-2.6%-14.0K576.7K-8841.37117.946589267313
2015-12-11$24.89$25.0024.1%6.9%24.3%10.2%24.1%4.1%-1.5%-14.7K522.5K-1.2K0.9795.009289267323
2015-12-14$24.74$25.0063.5%18.2%23.9%49.3%55.2%-64.7%-50.9%-7.1K521.9K-9820.89119.3710089297323
2015-12-15$24.91$25.0032.9%9.4%21.2%18.9%32.8%-8.0%-11.0%-8.3K507.5K-1.1K0.89118.6410089298323
2015-12-16$25.49$25.0022.1%6.3%21.5%8.2%22.8%-2.7%-1.0%-10.2K451.5K-1.1K0.66132.4910066298323
2015-12-17$25.59$25.0021.9%6.3%21.4%8.0%22.0%-1.8%-0.1%-10.5K418.4K-1.1K0.63109.5110063300329
2015-12-18$25.43$25.0022.6%6.5%21.1%8.6%22.3%-3.5%-0.9%-10.0K390.8K-1.1K0.62100.3410062300332
2015-12-21$25.95$25.0021.4%6.1%22.3%7.4%23.2%-0.1%35.1%-11.1K253.3K-1.1K2.03112.783367104209
2015-12-22$26.31$25.0020.9%6.0%22.7%7.0%17.7%2.3%-2.0%-11.6K255.8K-9201.29125.715267104228
2015-12-23$26.82$25.0029.8%8.6%23.5%15.8%30.6%11.3%-6.6%-8.1K195.4K-1.3K1.10114.725257122228
2015-12-24$26.70$25.0023.2%6.6%23.6%9.2%25.5%5.6%9.0%-9.4K241.3K-1.2K1.10107.585257122243
2015-12-28$26.73$25.0054.1%15.5%23.6%40.0%41.4%-1.4%-26.7%-10.4K237.5K-1.3K1.12122.775258122243
2015-12-29$26.79$25.0027.7%7.9%23.6%13.7%19.7%-3.8%-8.9%-8.5K219.9K-1.3K1.12112.195258122244
2015-12-30$26.67$25.0056.5%16.2%23.5%42.3%19.0%-30.0%-80.7%-9.5K215.7K-1.4K1.12116.015258122244
2015-12-31$26.29$25.0029.0%8.3%20.7%15.1%21.0%-13.6%-17.5%-10.8K238.8K-1.3K1.12105.185258122244