OGE Options History — March 2017

In March 2017, OGE traded between $35.05 and $37.13. ATM implied volatility averaged 25.7%, placing in the 14.1% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 9.9% (HV 20d: 15.9%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 9 of 23 days. Put/call ratio averaged 2.46.

Notable Days

  • 2017-03-17: Highest Volume — 383 contracts
  • 2017-03-31: Largest IV spike — 347.6% change
  • 2017-03-31: Highest IV Rank — 67.5%
  • 2017-03-31: Largest Expected Move — 22.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.15$35.05$37.13$37.13$35.05
Max Pain$36.96$35.00$40.00$35.00$35.00
ATM IV25.7%15.5%78.9%22.3%78.9%
Expected Move6.9%4.4%22.6%6.4%22.6%
HV 20d15.9%12.0%19.3%13.1%16.2%
HV 60d14.7%13.8%15.6%14.4%14.8%
IV Rank14.1%3.8%67.5%10.7%67.5%
IV Percentile39.2%4.0%98.4%42.5%98.4%
Term Structure-3.2%-35.1%29.8%7.7%-35.1%
VWIV22.2%10.5%80.9%25.7%80.9%
Skew 25d1.3%-83.5%37.6%-11.1%-83.5%
Skew 10d15.8%-6.6%53.5%-4.0%17.4%
Call IV 25d23.3%12.2%102.3%31.3%102.3%
Put IV 25d24.6%14.5%57.5%20.2%18.8%
Bid-Ask Spread %108.1430.38132.32126.16120.30
Gamma HHI0.950.781.000.970.78
Net GEX49.3K14.5K82.8K43.4K14.5K
Net DEX-980.8K-1.9M-335.5K-1.3M-463.3K
Net VEX-2.0K-2.5K-1.4K-2.1K-2.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.460.324.003.442.27
Total Volume165.304111383111167
Total OI615.217347890755460

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-03-01$37.13$35.0022.3%6.4%13.1%10.7%25.7%-11.1%7.7%43.4K-1.3M-2.1K3.44126.162586473282
2017-03-02$36.97$35.0029.8%8.5%12.0%18.2%35.3%-30.2%-20.1%47.7K-1.3M-2.1K3.44116.572586471282
2017-03-03$36.81$35.0046.1%13.2%12.4%34.5%70.5%-7.5%-23.5%40.3K-1.1M-2.3K3.44132.322586471282
2017-03-06$36.78$40.0025.8%6.1%12.1%14.2%10.5%7.8%-2.2%55.2K-1.3M-1.8K3.44104.772586471282
2017-03-07$36.81$40.0019.4%5.0%12.1%7.7%11.0%6.8%2.7%49.9K-1.4M-1.6K3.44104.892586471282
2017-03-08$35.97$40.0025.1%5.4%15.5%13.5%12.5%6.0%-3.0%82.8K-1.2M-1.9K3.44113.602586472282
2017-03-09$36.10$40.0017.8%5.1%15.4%6.1%13.4%3.7%0.9%78.3K-1.3M-1.7K3.44104.812586472282
2017-03-10$36.13$40.0037.4%9.6%15.4%25.9%10.5%8.1%-23.0%68.8K-1.1M-1.9K3.84126.452596472282
2017-03-13$36.46$40.0026.6%4.7%15.4%15.0%17.8%9.9%2.6%50.5K-1.4M-1.5K3.69114.902696472292
2017-03-14$36.20$40.0027.9%5.2%15.7%16.3%13.5%3.7%-0.1%63.6K-1.4M-1.5K3.8590.0126100473292
2017-03-15$37.01$40.0030.8%8.8%16.7%19.2%11.9%0.1%-16.9%49.3K-1.3M-1.6K4.00127.4025100473296
2017-03-16$36.58$40.0021.0%6.0%17.4%9.4%14.2%11.8%-3.6%29.7K-1.5M-1.4K0.60109.54168100472296
2017-03-17$36.85$35.0017.3%5.0%17.2%5.7%16.2%5.5%1.8%39.3K-1.9M-1.8K0.35105.13283100594296
2017-03-20$36.52$35.0020.9%6.0%17.7%9.3%20.4%5.5%12.4%43.1K-717.4K-1.9K0.32100.211344330047
2017-03-21$35.78$35.0017.6%5.1%19.2%6.0%17.7%2.1%29.8%51.5K-609.0K-2.0K0.3430.381344530147
2017-03-22$35.65$35.0019.3%5.5%19.3%7.7%19.8%-2.2%-0.5%50.5K-576.5K-2.0K0.82115.5014111530149
2017-03-23$35.46$35.0018.3%5.3%17.7%6.7%18.4%2.8%-0.2%40.8K-445.5K-2.4K0.72119.71159115308119
2017-03-24$35.71$35.0015.5%4.4%17.6%3.8%15.9%0.5%-3.5%43.9K-502.0K-2.4K2.5088.2346115322119
2017-03-27$35.42$35.0020.7%5.9%17.7%9.1%20.7%28.0%-2.0%41.5K-416.9K-2.5K2.45116.4447115325119
2017-03-28$35.51$35.0016.5%4.7%16.5%4.9%16.5%26.6%2.4%50.6K-444.1K-2.4K2.2398.7052116326119
2017-03-29$35.41$35.0019.1%5.5%16.1%7.5%19.1%-1.8%-0.4%45.8K-440.7K-2.5K2.19113.4353116327124
2017-03-30$35.15$35.0017.6%5.1%16.2%6.0%17.7%37.6%0.4%53.1K-335.5K-2.4K2.27107.6651116328124
2017-03-31$35.05$35.0078.9%22.6%16.2%67.5%80.9%-83.5%-35.1%14.5K-463.3K-2.4K2.27120.3051116336124