OGE Options History — October 2016

In October 2016, OGE traded between $29.65 and $31.39. ATM implied volatility averaged 32.1%, placing in the 12.7% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 10.6% (HV 20d: 21.4%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 1.23.

Notable Days

  • 2016-10-03: Highest Volume — 199 contracts
  • 2016-10-05: Largest IV spike — 149.5% change
  • 2016-10-06: Highest IV Rank — 74.7%
  • 2016-10-05: Largest Expected Move — 19.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.49$29.65$31.39$31.39$31.10
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV32.1%21.8%107.9%52.3%24.6%
Expected Move8.7%5.8%19.9%15.0%7.1%
HV 20d21.4%17.9%26.3%24.8%18.3%
HV 60d21.7%20.6%22.6%20.6%20.8%
IV Rank12.7%4.3%74.7%29.3%6.6%
IV Percentile52.8%27.8%98.8%90.5%46.0%
Term Structure-6.6%-58.6%1.4%-58.6%1.4%
VWIV31.0%20.3%121.7%22.5%22.5%
Skew 25d2.9%-40.8%42.9%28.1%4.8%
Skew 10d10.0%-55.8%108.3%108.3%10.6%
Call IV 25d34.5%20.1%101.4%36.9%22.5%
Put IV 25d37.4%22.1%92.2%65.0%27.3%
Bid-Ask Spread %114.99100.78136.07130.28105.38
Gamma HHI0.530.500.590.500.52
Net GEX-5.0K-9.3K-2.6K-2.6K-4.0K
Net DEX55.9K-37.5K172.4K7.4K-37.5K
Net VEX-2.6K-2.8K-2.4K-2.6K-2.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.230.303.973.630.37
Total Volume89.2385019919956
Total OI554.762514580514560

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-10-03$31.39$30.0052.3%15.0%24.8%29.3%22.5%28.1%-58.6%-2.6K7.4K-2.6K3.63130.2843156273241
2016-10-04$30.45$30.0027.8%8.0%26.3%9.2%27.2%0.2%-5.4%-6.5K114.0K-2.6K3.75124.1736135273241
2016-10-05$30.40$30.0069.4%19.9%26.0%43.3%121.7%-19.5%-35.8%-6.7K125.6K-2.6K3.97130.8834135272244
2016-10-06$30.00$30.00107.9%18.9%25.7%74.7%66.0%42.9%-14.5%-4.6K79.2K-2.8K3.97136.0734135273244
2016-10-07$29.65$30.0021.9%5.8%22.9%4.4%20.3%2.1%-0.7%-9.3K172.4K-2.4K1.34121.064763274244
2016-10-10$30.33$30.0021.8%6.8%24.2%4.3%23.6%2.9%-1.8%-6.0K103.7K-2.8K0.83103.784739294264
2016-10-11$29.87$30.0021.9%6.8%22.3%4.4%23.6%1.7%-1.3%-7.4K156.6K-2.7K0.77103.154837294264
2016-10-12$30.08$30.0024.5%7.0%22.4%6.5%24.5%-1.5%-2.0%-5.3K121.9K-2.8K0.86111.924337299264
2016-10-13$30.37$30.0023.9%6.9%22.5%6.0%23.9%-3.9%-0.8%-3.8K51.4K-2.8K0.86115.704337315264
2016-10-14$30.31$30.0023.9%6.9%21.9%6.0%23.9%2.8%-0.8%-4.6K76.8K-2.7K0.86113.724337316264
2016-10-17$30.45$30.0025.1%7.2%21.5%7.0%25.1%1.0%-1.5%-3.6K43.0K-2.8K0.90114.564137316264
2016-10-18$30.64$30.0025.4%7.3%21.4%7.2%25.4%-40.8%-1.6%-3.9K26.6K-2.7K0.49114.804120316264
2016-10-19$30.77$30.0024.4%7.0%19.3%6.4%24.3%19.3%-0.8%-3.7K2.2K-2.7K0.49116.054120316264
2016-10-20$30.79$30.0025.7%7.4%19.1%7.5%25.6%-23.1%-1.8%-3.2K-14.8K-2.7K0.49113.264120316264
2016-10-21$30.52$30.0024.8%7.1%19.1%6.7%24.7%4.7%-1.8%-2.9K18.7K-2.7K0.30101.175316316264
2016-10-24$30.62$30.0023.7%6.8%19.0%5.9%23.7%4.2%-1.2%-3.7K24.7K-2.6K0.43107.683515293261
2016-10-25$30.62$30.0026.1%7.5%18.8%7.8%26.1%-3.0%-3.1%-5.9K37.9K-2.5K0.42119.293615293261
2016-10-26$30.70$30.0025.3%7.3%18.7%7.2%25.3%15.4%-2.1%-5.1K18.7K-2.6K0.42114.843615294261
2016-10-27$30.58$30.0026.0%7.5%18.3%7.7%26.0%18.5%-2.9%-6.0K39.1K-2.5K0.42100.783615294261
2016-10-28$30.66$30.0027.0%7.7%17.9%8.5%25.2%4.5%-1.6%-5.2K6.1K-2.5K0.37116.154115294261
2016-10-31$31.10$30.0024.6%7.1%18.3%6.6%22.5%4.8%1.4%-4.0K-37.5K-2.5K0.37105.384115299261