OGE Options History — August 2017

In August 2017, OGE traded between $35.44 and $36.35. ATM implied volatility averaged 14.3%, placing in the 4.7% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 6.5% (HV 20d: 7.8%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 17 of 23 days. Put/call ratio averaged 0.23.

Notable Days

  • 2017-08-15: Highest Volume — 334 contracts
  • 2017-08-04: Largest IV drop — 55.5% change
  • 2017-08-03: Highest IV Rank — 10.8%
  • 2017-08-02: Largest Expected Move — 5.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.91$35.44$36.35$35.93$35.71
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV14.3%9.4%21.2%19.0%14.2%
Expected Move4.1%2.8%5.5%5.4%4.1%
HV 20d7.8%6.6%9.0%9.0%8.7%
HV 60d10.5%10.0%11.2%11.2%10.3%
IV Rank4.7%0.0%10.8%8.6%4.8%
IV Percentile14.9%0.0%50.4%35.7%14.7%
Term Structure1.9%-4.7%7.0%-2.1%-4.7%
VWIV14.0%10.2%18.8%18.3%13.3%
Skew 25d0.2%-22.2%20.6%-0.1%-7.5%
Skew 10d9.2%-41.3%42.9%3.6%3.8%
Call IV 25d18.9%10.7%42.9%19.9%19.7%
Put IV 25d19.1%12.1%35.7%19.8%12.1%
Bid-Ask Spread %68.0526.00119.9339.6256.77
Gamma HHI0.700.580.870.700.67
Net GEX97.1K66.6K181.1K81.6K84.9K
Net DEX-940.8K-1.2M-751.0K-889.6K-751.0K
Net VEX-2.0K-2.4K-1.7K-2.1K-2.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.230.040.470.390.47
Total Volume117.652633349263
Total OI603.261572706572610

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-08-01$35.93$35.0019.0%5.4%9.0%8.6%18.3%-0.1%-2.1%81.6K-889.6K-2.1K0.3939.62662652349
2017-08-02$35.78$35.0019.1%5.5%8.9%8.7%18.8%7.3%-2.8%96.6K-856.8K-2.4K0.3972.40662655449
2017-08-03$35.96$35.0021.2%4.1%7.5%10.8%13.6%12.8%6.3%121.5K-926.0K-2.4K0.26113.13992655449
2017-08-04$35.92$35.009.4%3.8%7.6%0.0%13.1%2.9%2.6%93.7K-999.5K-2.1K0.2679.33992654349
2017-08-07$36.16$35.0013.5%4.2%7.6%4.0%14.6%3.7%0.5%81.5K-1.0M-2.0K0.3975.11672654349
2017-08-08$36.26$35.0016.2%4.2%7.1%6.7%14.6%3.9%1.3%79.7K-1.1M-2.0K0.3947.28662654349
2017-08-09$36.01$35.0016.4%4.7%6.6%6.9%16.4%11.4%-0.2%87.1K-993.5K-2.1K0.1894.91661254349
2017-08-10$35.79$35.0015.2%4.3%6.7%5.6%15.2%3.6%0.9%99.5K-910.8K-2.1K0.1862.48661254351
2017-08-11$35.44$35.0016.2%4.6%7.8%6.7%15.5%17.9%0.9%114.2K-758.3K-2.0K0.1837.64661254351
2017-08-14$35.46$35.0017.2%4.9%7.8%7.6%17.3%-1.6%-2.7%128.9K-771.7K-1.8K0.18119.93661254351
2017-08-15$35.53$35.0016.0%4.6%7.7%6.5%16.0%20.6%-0.0%137.5K-817.4K-1.7K0.0485.273221254349
2017-08-16$35.63$35.0015.5%4.4%7.6%5.9%15.5%-0.7%0.5%145.3K-1.1M-2.1K0.0483.263221263749
2017-08-17$35.44$35.0013.8%4.0%7.6%4.3%13.8%1.6%2.2%181.1K-1.1M-1.9K0.0667.981941263749
2017-08-18$35.58$35.0014.7%4.2%7.5%5.2%14.7%1.4%1.3%88.2K-1.2M-1.9K0.1566.57781265749
2017-08-21$35.78$35.0014.0%4.0%7.4%4.5%13.8%0.2%3.9%88.2K-810.9K-2.0K0.1640.07771252549
2017-08-22$36.09$35.0012.0%3.4%7.9%2.6%10.9%1.5%7.0%82.9K-898.5K-1.9K0.1657.17771252549
2017-08-23$36.26$35.0013.2%3.8%8.1%3.7%12.0%2.8%3.8%79.0K-934.3K-2.0K0.1658.39771252549
2017-08-24$36.28$35.0012.3%3.5%7.9%2.8%11.3%0.4%4.8%74.0K-916.9K-1.9K0.2763.73732052549
2017-08-25$36.26$35.009.7%2.8%7.9%0.3%10.3%-14.5%4.1%70.0K-969.0K-1.7K0.2748.09732052057
2017-08-28$36.35$35.0010.5%3.0%7.8%1.1%11.0%-17.9%4.7%66.6K-987.8K-1.7K0.2426.00832052057
2017-08-29$36.16$35.009.8%2.8%8.1%0.4%10.2%-21.8%6.5%74.1K-983.0K-1.8K0.2676.62762055057
2017-08-30$36.09$35.0010.0%2.9%8.0%0.5%10.5%-22.2%4.1%77.6K-977.1K-1.8K0.2693.34762055357
2017-08-31$35.71$35.0014.2%4.1%8.7%4.8%13.3%-7.5%-4.7%84.9K-751.0K-2.0K0.4756.77432055357