OGE Options History — December 2016

In December 2016, OGE traded between $31.80 and $33.88. ATM implied volatility averaged 33.3%, placing in the 14.8% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 15.8% (HV 20d: 17.4%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 3.95.

Notable Days

  • 2016-12-14: Highest Volume — 178 contracts
  • 2016-12-19: Largest IV spike — 140.9% change
  • 2016-12-13: Highest IV Rank — 74.0%
  • 2016-12-12: Largest Expected Move — 12.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.20$31.80$33.88$31.80$33.42
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV33.3%11.7%107.0%20.6%17.1%
Expected Move7.6%3.3%12.0%5.9%4.9%
HV 20d17.4%14.7%22.4%21.9%16.0%
HV 60d20.3%18.7%22.4%22.3%18.8%
IV Rank14.8%0.0%74.0%3.3%4.3%
IV Percentile54.8%0.0%98.8%15.1%2.0%
Term Structure-0.3%-48.0%31.2%25.5%5.1%
VWIV21.0%16.2%31.8%20.9%23.7%
Skew 25d3.6%-31.1%29.7%2.2%4.8%
Skew 10d9.2%-3.4%40.9%-3.4%8.1%
Call IV 25d21.2%12.9%47.6%25.6%19.7%
Put IV 25d24.8%16.6%59.8%27.8%24.5%
Bid-Ask Spread %124.07113.35135.12122.50119.80
Gamma HHI0.540.500.930.630.52
Net GEX3.5K-11.1K18.4K-11.1K5.0K
Net DEX-174.8K-414.7K-57.0K-124.8K-95.8K
Net VEX-1.9K-2.4K-1.1K-1.7K-2.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.951.337.881.333.66
Total Volume124.4295217863163
Total OI538.714453684537499

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-12-01$31.80$30.0020.6%5.9%21.9%3.3%20.9%2.2%25.5%-11.1K-124.8K-1.7K1.33122.502736277260
2016-12-02$32.33$30.0034.9%10.0%22.4%15.0%31.6%4.5%-23.3%2.9K-159.2K-1.8K1.57114.242336277260
2016-12-05$32.35$30.0027.0%9.4%21.7%8.5%25.7%12.6%-22.2%-1.6K-161.9K-1.8K1.64121.272236287260
2016-12-06$32.02$30.0033.7%6.2%20.8%14.1%23.7%9.9%-1.0%-2.5K-174.3K-1.8K2.25116.111636289260
2016-12-07$32.37$30.0033.9%5.5%20.2%14.2%21.7%11.3%6.2%-2.6K-195.7K-1.7K2.25117.841636293260
2016-12-08$32.60$30.0054.0%11.0%19.6%30.7%31.8%0.1%-12.1%6.5K-172.3K-1.9K2.12124.971736293260
2016-12-09$33.14$30.0040.2%8.1%16.7%19.3%22.4%6.4%4.5%12.8K-280.9K-1.9K1.44133.372536294260
2016-12-12$33.64$30.0060.8%12.0%17.1%36.2%21.9%-31.1%-48.0%18.4K-414.7K-1.6K5.28128.4125132304260
2016-12-13$33.88$30.00107.0%9.1%16.9%74.0%17.8%-8.7%-8.3%4.0K-258.7K-2.2K7.76127.5117132304346
2016-12-14$33.28$30.0036.0%10.3%17.0%15.9%19.1%-10.8%-13.4%7.3K-206.5K-2.2K2.87129.4146132308346
2016-12-15$33.56$30.0029.1%8.3%16.7%10.3%16.2%7.4%9.1%9.3K-257.2K-2.1K2.87135.1246132338346
2016-12-16$33.54$30.0014.2%4.1%15.7%0.0%16.6%1.3%6.4%-1.3K-281.8K-2.0K4.26113.3531132338346
2016-12-19$33.74$30.0034.2%9.8%15.7%16.0%20.8%29.7%31.2%4.8K-124.9K-1.7K7.88128.5216126187266
2016-12-20$33.73$30.0032.4%9.3%15.4%14.6%19.0%5.9%3.4%11.3K-133.0K-1.1K7.88132.9616126187266
2016-12-21$33.65$30.0032.8%9.4%15.4%15.0%17.2%6.1%1.2%-590-84.3K-2.0K4.27132.3430128187266
2016-12-22$33.73$30.0013.8%3.9%15.4%0.0%16.9%4.9%5.4%-730-96.5K-2.3K4.27114.6730128204268
2016-12-23$33.75$30.0013.3%3.8%14.8%0.0%20.5%7.4%7.4%3.7K-135.5K-2.0K4.27126.8630128204268
2016-12-27$33.78$30.0017.5%5.0%14.7%3.3%17.5%5.7%4.2%-30-121.6K-2.0K7.53126.4817128204268
2016-12-28$33.19$30.0034.8%10.0%16.3%17.1%16.8%6.2%5.3%5.0K-57.0K-2.2K3.76124.3534128208268
2016-12-29$33.63$30.0011.7%3.3%15.7%0.0%18.7%0.1%7.2%3.5K-134.6K-2.0K3.76115.4134128229268
2016-12-30$33.42$30.0017.1%4.9%16.0%4.3%23.7%4.8%5.1%5.0K-95.8K-2.4K3.66119.8035128229270