OGE Options History — March 2018

In March 2018, OGE traded between $30.86 and $32.79. ATM implied volatility averaged 42.5%, placing in the 30.2% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 16.3% (HV 20d: 26.2%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.94.

Notable Days

  • 2018-03-22: Highest Volume — 435 contracts
  • 2018-03-13: Largest IV spike — 314.8% change
  • 2018-03-13: Highest IV Rank — 87.0%
  • 2018-03-01: Largest Expected Move — 17.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.70$30.86$32.79$31.53$32.79
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV42.5%16.4%104.8%62.1%32.2%
Expected Move9.1%4.9%17.8%17.8%9.2%
HV 20d26.2%17.3%31.0%29.9%17.9%
HV 60d22.8%22.2%23.1%22.2%23.1%
IV Rank30.2%6.4%87.0%48.0%20.8%
IV Percentile77.6%35.7%99.6%92.1%72.6%
Term Structure-11.8%-43.7%26.4%-20.4%9.6%
VWIV28.3%13.5%68.3%48.3%24.2%
Skew 25d2.2%-41.1%77.8%77.8%-12.1%
Skew 10d32.9%-13.8%114.7%114.7%-5.7%
Call IV 25d29.2%13.7%82.6%23.0%28.4%
Put IV 25d31.4%16.3%100.8%100.8%16.3%
Bid-Ask Spread %126.37106.99136.97130.06136.60
Gamma HHI0.510.480.570.570.51
Net GEX-616-18.8K25.1K22.8K13.0K
Net DEX60.1K-282.7K242.2K-123.3K-132.6K
Net VEX-3.8K-4.6K-2.8K-3.5K-4.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.940.161.410.161.10
Total Volume373.81226435339434
Total OI930.1437951,092868909

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-03-01$31.53$30.0062.1%17.8%29.9%48.0%48.3%77.8%-20.4%22.8K-123.3K-3.5K0.16130.0629247632236
2018-03-02$31.20$30.0050.8%14.6%30.0%37.7%46.0%44.7%-32.4%20.1K-69.2K-3.6K0.17130.2527847632236
2018-03-05$31.94$30.00100.7%5.7%30.5%83.2%47.8%-23.7%1.8%25.1K-282.7K-3.9K0.23121.9627864627236
2018-03-06$31.17$30.0016.4%6.5%31.0%6.4%22.1%-0.6%-2.4%1.8K8.3K-3.0K0.40106.9916264627256
2018-03-07$30.86$30.0059.2%7.6%30.7%45.3%22.6%4.0%-0.7%9.1K59.7K-3.3K0.40125.0316264630266
2018-03-08$31.18$30.0032.7%5.3%30.8%21.2%13.5%4.8%2.3%-5.5K56.5K-2.8K1.17116.33162189630266
2018-03-09$31.34$30.0037.2%5.0%29.4%25.3%39.4%-19.4%3.6%-18.8K242.2K-3.7K1.17123.94162189630401
2018-03-12$31.46$30.0025.3%7.1%28.3%14.5%16.3%8.1%-3.7%-5.3K148.2K-4.0K1.17120.44162189630401
2018-03-13$31.53$30.00104.8%4.9%27.8%87.0%16.3%8.6%4.6%-2.9K119.9K-3.7K1.10107.75190209630401
2018-03-14$31.80$30.0019.0%5.4%27.9%8.7%15.5%5.7%-0.4%-15.2K156.1K-3.6K1.15125.16181209656431
2018-03-15$31.65$30.0022.3%6.4%27.8%11.7%16.0%7.7%-1.5%-8.9K137.3K-3.7K1.41113.35148209657431
2018-03-16$32.03$30.0039.3%11.3%27.6%27.3%27.9%20.2%-23.2%-15.3K132.5K-3.6K1.31136.97159209661431
2018-03-19$31.89$30.0019.2%5.5%27.5%9.0%17.4%4.4%26.4%-9.3K128.0K-3.6K1.19130.39174207424371
2018-03-20$31.78$30.0034.4%9.9%27.2%22.8%51.4%-28.5%-11.1%-3.8K154.0K-3.9K1.12131.48194217449386
2018-03-21$31.82$30.0037.9%10.9%26.8%25.9%20.6%1.3%-22.2%-14.3K141.6K-3.7K1.10136.00206227469396
2018-03-22$31.85$30.0038.5%11.0%26.1%26.5%21.1%-13.2%-28.0%-5.3K94.9K-4.2K1.09133.18208227491406
2018-03-23$31.46$30.0034.6%9.9%19.3%23.0%68.3%-41.1%-32.4%-15.0K225.4K-3.9K1.09136.25208227494406
2018-03-26$31.83$30.0041.0%11.8%18.3%28.8%26.0%-3.5%-32.7%5.7K40.4K-4.5K1.09131.30208227494406
2018-03-27$32.28$30.0042.3%12.1%17.6%30.0%16.8%2.9%-40.4%4.4K6.7K-4.5K1.14130.39200227494406
2018-03-28$32.29$30.0042.9%12.3%17.3%30.5%17.4%-1.4%-43.7%4.9K19.1K-4.1K1.10130.05207227499399
2018-03-29$32.79$30.0032.2%9.2%17.9%20.8%24.2%-12.1%9.6%13.0K-132.6K-4.6K1.10136.60207227510399