OGE Options History — August 2016

In August 2016, OGE traded between $30.16 and $31.60. ATM implied volatility averaged 22.9%, placing in the 5.3% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 3.7% (HV 20d: 19.2%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 18 of 23 days. Put/call ratio averaged 0.40.

Notable Days

  • 2016-08-19: Highest Volume — 146 contracts
  • 2016-08-04: Largest IV spike — 153.6% change
  • 2016-08-04: Highest IV Rank — 37.8%
  • 2016-08-01: Largest Expected Move — 8.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.04$30.16$31.60$31.47$31.13
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV22.9%16.5%62.5%30.0%18.5%
Expected Move5.9%4.7%8.6%8.6%5.3%
HV 20d19.2%17.4%21.9%17.4%18.8%
HV 60d17.3%16.4%17.9%17.0%17.8%
IV Rank5.3%0.0%37.8%11.2%1.6%
IV Percentile20.7%0.0%92.5%55.6%3.2%
Term Structure2.9%-23.3%38.1%-23.3%5.1%
VWIV20.2%16.3%25.3%21.8%18.5%
Skew 25d5.4%-3.1%27.4%6.7%-0.0%
Skew 10d27.6%-0.6%85.4%85.4%44.6%
Call IV 25d21.2%16.4%28.9%28.9%25.7%
Put IV 25d26.6%20.0%47.5%35.6%25.7%
Bid-Ask Spread %114.81106.13124.85124.85117.90
Gamma HHI0.830.730.890.730.87
Net GEX66.4K42.7K96.8K42.7K96.8K
Net DEX-1.1M-1.3M-701.9K-1.1M-1.2M
Net VEX-2.2K-2.6K-1.7K-2.4K-1.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.400.000.470.440.44
Total Volume117.130146137128
Total OI764.13735796759773

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-08-01$31.47$30.0030.0%8.6%17.4%11.2%21.8%6.7%-23.3%42.7K-1.1M-2.4K0.44124.859542578181
2016-08-02$31.01$30.0023.4%6.7%18.0%5.9%25.3%4.3%-0.0%55.3K-974.9K-2.6K0.44117.209542578181
2016-08-03$31.10$30.0024.7%7.1%18.0%6.9%23.6%-2.2%-7.4%68.0K-999.2K-2.4K0.44121.129542578181
2016-08-04$31.28$30.0062.5%5.4%17.4%37.8%18.6%11.7%4.6%56.0K-1.0M-2.5K0.47116.049042578181
2016-08-05$30.75$30.0020.4%5.8%17.5%3.4%19.9%3.8%1.1%57.7K-972.2K-2.5K0.47110.249042583180
2016-08-08$31.08$30.0022.1%5.5%17.9%4.8%19.1%9.8%2.0%66.8K-1.0M-2.4K0.47106.139042583180
2016-08-09$31.07$30.0027.2%5.9%17.7%9.0%20.2%3.1%1.2%57.7K-1.0M-2.3K0.47106.639042583180
2016-08-10$31.12$30.0020.7%5.9%17.7%3.7%20.4%9.5%0.6%59.0K-1.0M-2.3K0.47117.889042583180
2016-08-11$31.50$30.0021.1%6.0%18.4%4.0%20.4%4.5%0.5%55.8K-1.1M-2.2K0.45114.499342583180
2016-08-12$31.33$30.0020.4%5.9%18.4%3.5%20.0%4.5%1.6%55.9K-1.1M-2.3K0.45116.769342591180
2016-08-15$30.82$30.0019.4%5.6%19.2%2.6%19.7%-3.1%2.0%67.4K-990.4K-2.3K0.45114.299342591180
2016-08-16$30.16$30.0019.4%5.6%20.4%2.6%19.5%2.2%1.8%73.3K-750.7K-2.3K0.42111.459339591180
2016-08-17$30.43$30.0020.1%5.8%20.8%3.2%20.1%23.8%1.2%70.8K-701.9K-2.3K0.00115.70450552183
2016-08-18$30.95$30.0020.0%5.7%21.9%3.1%20.0%8.5%1.0%71.3K-942.2K-2.3K0.00113.0840577183
2016-08-19$31.17$30.0019.8%5.7%20.6%2.0%19.6%1.6%1.8%69.3K-1.1M-2.1K0.36110.9110739613183
2016-08-22$31.60$30.0017.9%5.1%21.0%0.5%17.3%6.8%38.1%57.9K-1.3M-1.9K0.43115.448938579172
2016-08-23$31.31$30.0022.1%6.3%21.1%3.9%22.7%2.3%-0.9%56.4K-1.3M-2.0K0.43119.238938600172
2016-08-24$31.26$30.0020.8%5.9%20.6%2.8%0.0%2.5%-2.4%60.7K-1.1M-2.0K0.00118.5600564172
2016-08-25$31.13$30.0016.5%4.7%20.6%0.0%16.3%1.8%36.1%72.4K-1.2M-2.1K0.43110.098938600172
2016-08-26$30.52$30.0019.8%5.7%20.3%2.7%19.9%-3.1%1.1%90.3K-956.6K-2.2K0.43116.338938600172
2016-08-29$30.91$30.0021.0%6.0%19.4%3.7%21.1%-1.6%0.4%81.2K-1.1M-2.0K0.43107.768938600172
2016-08-30$30.91$30.0020.0%5.7%18.7%2.9%20.2%27.4%1.2%85.8K-1.1M-2.0K0.44118.468939600172
2016-08-31$31.13$30.0018.5%5.3%18.8%1.6%18.5%-0.0%5.1%96.8K-1.2M-1.7K0.44117.908939600173