OGE Options History — October 2017

In October 2017, OGE traded between $35.60 and $37.24. ATM implied volatility averaged 20.9%, placing in the 11.8% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 9.8% (HV 20d: 11.2%). 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 6 of 22 days. Put/call ratio averaged 0.33.

Notable Days

  • 2017-10-02: Highest Volume — 207 contracts
  • 2017-10-23: Largest IV spike — 69.2% change
  • 2017-10-23: Highest IV Rank — 25.4%
  • 2017-10-23: Largest Expected Move — 9.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.62$35.60$37.24$36.14$36.85
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV20.9%15.2%34.2%16.9%22.3%
Expected Move6.1%4.4%9.8%4.9%6.4%
HV 20d11.2%9.9%12.2%10.5%11.4%
HV 60d9.7%8.5%10.1%9.0%10.0%
IV Rank11.8%5.9%25.4%7.6%13.2%
IV Percentile55.7%23.8%86.5%38.1%69.0%
Term Structure-4.1%-26.8%5.1%4.4%-9.6%
VWIV21.1%14.1%27.2%15.7%23.6%
Skew 25d-0.5%-52.2%14.4%2.5%-52.2%
Skew 10d18.0%-45.9%85.4%11.4%-9.9%
Call IV 25d22.9%9.7%77.9%16.3%77.9%
Put IV 25d22.4%18.5%28.1%18.8%25.7%
Bid-Ask Spread %103.1340.66134.2166.59130.07
Gamma HHI0.640.490.750.550.74
Net GEX41.3K26.6K65.6K59.7K26.6K
Net DEX-464.2K-627.1K-332.5K-627.1K-382.2K
Net VEX-1.6K-2.0K-1.3K-1.7K-1.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.330.130.610.180.61
Total Volume131.3646120720761
Total OI431.5348508498348

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-10-02$36.14$35.0016.9%4.9%10.5%7.6%15.7%2.5%4.4%59.7K-627.1K-1.7K0.1866.591753245543
2017-10-03$36.14$35.0015.2%4.4%10.3%5.9%14.1%1.4%5.1%57.9K-539.7K-1.6K0.13107.911712344353
2017-10-04$36.16$35.0023.0%6.6%10.2%13.8%26.1%-3.0%-8.1%53.8K-529.8K-1.6K0.13116.331712344353
2017-10-05$36.32$35.0020.5%5.6%9.9%11.3%19.7%6.6%-0.7%53.6K-615.7K-1.8K0.1340.661712344353
2017-10-06$35.60$35.0017.4%5.1%12.2%8.1%17.9%14.4%-1.7%65.6K-531.8K-1.5K0.2889.601173345553
2017-10-09$35.75$35.0016.4%5.8%11.3%7.2%20.2%5.8%-2.7%45.5K-417.5K-1.5K0.2868.511193340163
2017-10-10$36.19$35.0017.6%5.2%11.3%8.4%18.3%2.6%-1.4%43.1K-512.4K-1.5K0.2587.301313340363
2017-10-11$36.48$35.0027.8%8.0%11.5%18.8%23.9%-28.5%-6.6%35.8K-469.5K-2.0K0.21123.141252637263
2017-10-12$36.82$35.0017.8%5.1%11.5%8.6%18.0%6.9%-0.5%36.2K-498.1K-1.7K0.21107.531252637366
2017-10-13$36.83$35.0016.6%4.8%11.5%7.3%18.4%9.7%2.0%38.7K-485.5K-1.6K0.21105.351252637366
2017-10-16$36.72$35.0017.6%5.0%11.5%8.4%18.9%10.8%2.0%35.4K-470.3K-1.5K0.21106.781252637366
2017-10-17$36.96$35.0020.6%5.9%11.7%11.5%21.2%8.9%-5.5%35.9K-458.6K-1.5K0.21127.771252637366
2017-10-18$36.89$35.0031.6%9.1%11.6%22.7%27.2%5.2%-21.1%38.1K-477.5K-1.6K0.21128.501252637366
2017-10-19$36.92$35.0019.4%5.6%11.3%10.3%20.2%6.7%-1.0%37.0K-509.7K-1.6K0.21120.981252637366
2017-10-20$37.05$35.0020.2%5.8%11.3%11.0%20.0%7.6%-8.0%36.8K-536.2K-1.5K0.2198.531252637366
2017-10-23$37.24$35.0034.2%9.8%10.7%25.4%26.3%-45.6%-26.8%38.1K-389.5K-1.6K0.61134.21382333142
2017-10-24$37.02$35.0021.1%6.1%11.0%12.0%21.9%7.0%-5.2%35.6K-371.5K-1.5K0.61117.62382333142
2017-10-25$36.73$35.0017.9%5.1%11.2%8.7%19.8%5.9%3.2%33.9K-332.5K-1.4K0.61102.73382333142
2017-10-26$36.85$35.0023.9%6.8%11.1%14.8%26.9%7.3%-2.3%34.7K-345.5K-1.4K0.61108.77382333142
2017-10-27$37.05$35.0018.2%5.2%11.1%9.0%20.8%3.1%3.0%36.2K-361.9K-1.4K0.61106.47382333142
2017-10-30$36.88$35.0024.2%6.9%11.3%15.1%25.2%6.4%-9.3%31.4K-350.6K-1.3K0.6173.45382330642
2017-10-31$36.85$35.0022.3%6.4%11.4%13.2%23.6%-52.2%-9.6%26.6K-382.2K-1.6K0.61130.07382330642