OGE Options History — May 2017

In May 2017, OGE traded between $33.58 and $35.73. ATM implied volatility averaged 20.3%, placing in the 8.6% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 9.5% (HV 20d: 10.7%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.55.

Notable Days

  • 2017-05-22: Highest Volume — 357 contracts
  • 2017-05-02: Largest IV spike — 95.9% change
  • 2017-05-03: Highest IV Rank — 71.3%
  • 2017-05-03: Largest Expected Move — 23.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.46$33.58$35.73$34.55$35.73
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV20.3%11.7%82.7%21.6%13.5%
Expected Move5.5%3.3%23.7%6.2%3.9%
HV 20d10.7%9.0%12.4%9.7%12.4%
HV 60d13.5%12.8%14.0%13.8%13.1%
IV Rank8.6%0.0%71.3%9.9%1.8%
IV Percentile19.7%0.4%97.6%42.5%3.2%
Term Structure-3.2%-59.8%4.4%-4.7%2.8%
VWIV19.0%10.6%82.8%21.6%13.6%
Skew 25d10.2%-2.9%33.4%0.8%-1.5%
Skew 10d17.3%-5.1%53.5%0.8%34.9%
Call IV 25d19.5%13.5%57.8%22.4%15.4%
Put IV 25d29.7%12.4%62.7%23.2%13.9%
Bid-Ask Spread %67.2123.97126.7868.3955.16
Gamma HHI0.890.710.940.930.83
Net GEX62.9K23.2K135.4K48.3K125.1K
Net DEX-282.4K-934.5K80.4K-307.5K-934.5K
Net VEX-1.8K-2.6K-1.2K-2.0K-2.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.550.121.510.280.91
Total Volume202.18298357195126
Total OI481.409366593467593

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-05-01$34.55$35.0021.6%6.2%9.7%9.9%21.6%0.8%-4.7%48.3K-307.5K-2.0K0.2868.3915243345122
2017-05-02$34.52$35.0042.3%12.1%9.5%30.7%40.1%4.9%-23.4%37.9K-308.5K-1.9K0.27126.7816043335126
2017-05-03$34.66$35.0082.7%23.7%9.0%71.3%82.8%-2.9%-59.8%23.2K-408.1K-2.1K0.27125.1516043335126
2017-05-04$34.31$35.0027.6%5.3%9.5%16.0%18.7%27.5%0.1%40.1K-119.6K-1.6K0.36104.3916058335126
2017-05-05$34.25$35.0017.9%4.0%9.2%6.3%14.3%0.4%0.5%42.1K-79.5K-1.7K0.34116.9217358335146
2017-05-08$34.06$35.0015.6%4.1%9.3%4.0%14.3%-1.5%1.5%46.1K-35.4K-1.7K0.3446.9917358348146
2017-05-09$33.58$35.0021.2%3.4%10.2%9.6%11.5%-0.0%0.5%37.4K71.3K-1.4K0.4150.3316468348146
2017-05-10$33.84$35.0012.2%3.5%10.4%0.5%10.9%-2.0%1.7%37.2K80.4K-1.5K0.4126.9816468346156
2017-05-11$33.82$35.0014.9%4.3%10.4%3.2%14.7%21.0%0.6%46.2K-36.4K-1.3K0.4170.2116468333107
2017-05-12$34.17$35.0014.3%4.1%11.1%2.7%14.4%-0.2%1.4%60.8K-109.1K-1.4K0.3831.7015759333107
2017-05-15$34.24$35.0014.8%4.3%11.1%3.2%14.8%33.1%0.9%64.6K-136.8K-1.4K0.3896.4715759341108
2017-05-16$33.91$35.0012.3%3.5%11.1%0.6%10.6%-1.2%0.9%52.4K-71.4K-1.3K1.5182.543959341108
2017-05-17$33.92$35.0014.9%4.3%11.0%3.3%15.0%1.8%1.4%51.8K-68.7K-1.2K1.5188.933959341107
2017-05-18$33.95$35.0014.9%4.3%11.1%3.2%14.7%29.1%1.4%51.9K-106.2K-1.2K1.3129.664559341105
2017-05-19$34.18$35.0016.0%4.6%9.9%4.4%16.0%-1.7%-0.3%29.9K-21.7K-1.2K0.4289.0014059334105
2017-05-22$34.73$35.0015.7%4.5%11.7%4.0%15.7%33.4%-0.5%41.7K-257.6K-1.7K0.1231.783183930462
2017-05-23$34.82$35.0015.3%4.4%11.5%3.6%15.3%-1.1%0.0%93.7K-535.7K-2.2K0.1624.962513944362
2017-05-24$35.06$35.0014.2%4.1%11.8%2.6%14.2%31.9%1.4%106.4K-624.8K-2.4K0.1794.572313947562
2017-05-25$35.31$35.0015.1%4.3%12.1%3.4%15.1%1.6%-0.3%103.1K-741.0K-2.5K0.1729.812343948262
2017-05-26$35.19$35.0011.7%3.3%11.9%0.0%11.7%23.5%4.4%135.4K-735.4K-2.6K0.9663.93504849562
2017-05-30$35.26$35.0017.0%4.9%11.6%5.4%17.0%26.6%-0.5%109.7K-725.5K-2.5K0.9123.97666049562
2017-05-31$35.73$35.0013.5%3.9%12.4%1.8%13.6%-1.5%2.8%125.1K-934.5K-2.5K0.9155.16666051578