OGE Options History — March 2016

In March 2016, OGE traded between $25.30 and $28.68. ATM implied volatility averaged 28.9%, placing in the 12.0% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 0.0% (HV 20d: 28.9%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 12 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 3.55.

Notable Days

  • 2016-03-04: Highest Volume — 265 contracts
  • 2016-03-08: Largest IV spike — 152.5% change
  • 2016-03-08: Highest IV Rank — 54.7%
  • 2016-03-08: Largest Expected Move — 24.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.34$25.30$28.68$25.30$28.65
Max Pain$27.50$25.00$30.00$30.00$30.00
ATM IV28.9%18.9%82.2%18.9%27.9%
Expected Move8.2%5.4%24.5%5.4%8.0%
HV 20d28.9%14.3%33.3%32.3%14.3%
HV 60d27.8%27.3%28.3%28.2%27.5%
IV Rank12.0%4.0%54.7%4.0%11.2%
IV Percentile40.8%11.9%94.8%11.9%44.0%
Term Structure-2.9%-54.6%18.2%5.1%1.8%
VWIV31.8%20.6%85.3%20.6%36.0%
Skew 25d4.6%-8.8%20.9%-2.1%7.4%
Skew 10d3.6%-21.7%15.0%-2.4%-21.7%
Call IV 25d24.3%15.9%34.5%28.9%22.8%
Put IV 25d28.9%21.8%55.5%26.8%30.2%
Bid-Ask Spread %121.91103.71138.10136.36130.72
Gamma HHI0.560.331.000.510.82
Net GEX1.7K-23.0K18.1K-23.0K17.7K
Net DEX-122.8K-410.5K345.0K345.0K-410.5K
Net VEX-2.7K-3.1K-2.0K-2.8K-2.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.551.546.473.776.47
Total Volume177127265248127
Total OI791.273681921828726

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-03-01$25.30$30.0018.9%5.4%32.3%4.0%20.6%-2.1%5.1%-23.0K345.0K-2.8K3.77136.3652196345483
2016-03-02$25.81$30.0022.7%6.5%33.3%7.1%22.5%-8.8%-2.0%-18.3K139.6K-2.8K3.77119.2352196351463
2016-03-03$26.06$25.0022.7%6.1%32.2%7.0%23.5%2.4%3.9%-14.3K98.1K-2.8K3.77124.9952196351463
2016-03-04$26.47$25.0023.3%5.7%32.8%7.5%22.8%5.3%6.4%-10.6K44.3K-2.7K2.84110.2869196351463
2016-03-07$26.36$25.0032.6%8.6%32.8%14.9%22.1%-3.2%-12.5%-11.6K42.8K-2.8K1.54111.5869106344463
2016-03-08$26.15$25.0082.2%24.5%32.1%54.7%85.3%2.2%-54.6%-3.6K83.2K-3.0K1.54133.7969106344463
2016-03-09$26.37$25.0022.6%6.5%32.2%7.0%24.6%6.3%2.7%-11.1K35.0K-2.7K1.54106.2369106344463
2016-03-10$26.57$25.0036.9%10.6%32.3%18.4%30.8%4.0%-16.7%-10.0K25.6K-2.7K1.87134.7263118344463
2016-03-11$27.12$25.0027.2%7.8%32.2%10.6%27.9%7.0%-2.3%-1.2K-54.5K-2.5K1.57103.7175118345473
2016-03-14$27.25$25.0029.8%8.6%32.2%12.8%30.4%8.1%-6.6%546-95.8K-2.4K1.59113.5768108358473
2016-03-15$27.49$25.0036.9%10.6%32.2%18.4%35.3%13.7%-15.5%2.4K-104.4K-2.7K1.64120.1266108369473
2016-03-16$27.74$25.0032.8%9.4%32.3%15.2%57.3%20.9%18.2%-345-211.1K-2.0K1.84138.1082151377497
2016-03-17$28.21$25.0019.7%5.7%31.9%4.7%27.8%18.9%2.6%8.2K-192.2K-2.7K1.89105.8266125401497
2016-03-18$28.15$30.0020.8%6.0%31.2%5.5%24.2%0.1%0.5%10.5K-213.4K-3.0K3.86132.3635135422499
2016-03-21$28.23$30.0026.8%7.7%30.9%10.4%32.2%5.9%2.7%13.1K-299.3K-2.8K3.67127.7830110347334
2016-03-22$27.93$30.0022.5%6.5%31.0%6.9%23.1%-2.2%-3.0%12.8K-237.1K-2.9K4.58115.2424110372334
2016-03-23$28.16$30.0025.0%7.2%31.1%8.9%27.7%-2.0%0.4%15.6K-297.6K-2.6K5.79125.5319110384334
2016-03-24$28.09$30.0022.2%6.4%31.1%6.7%26.2%3.7%2.4%12.6K-278.7K-3.1K5.79113.4019110389334
2016-03-28$28.09$30.0026.9%7.7%14.6%10.4%29.1%0.5%-3.8%14.4K-331.8K-2.8K5.79120.4019110389334
2016-03-29$28.68$30.0029.5%8.5%14.9%12.5%41.0%14.5%6.7%14.9K-396.0K-2.4K6.47124.9517110389334
2016-03-30$28.58$30.0025.4%7.3%15.1%9.2%28.9%-0.6%-0.6%18.1K-391.6K-2.7K6.47133.2217110392334
2016-03-31$28.65$30.0027.9%8.0%14.3%11.2%36.0%7.4%1.8%17.7K-410.5K-2.9K6.47130.7217110392334