OGE Options History — June 2018

In June 2018, OGE traded between $33.28 and $35.32. ATM implied volatility averaged 29.6%, placing in the 18.4% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 13.5% (HV 20d: 16.1%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.62.

Notable Days

  • 2018-06-19: Highest Volume — 216 contracts
  • 2018-06-12: Largest IV spike — 394.9% change
  • 2018-06-12: Highest IV Rank — 83.7%
  • 2018-06-13: Largest Expected Move — 12.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.42$33.28$35.32$34.42$35.27
Max Pain$34.76$30.00$35.00$30.00$35.00
ATM IV29.6%12.8%101.2%15.8%25.4%
Expected Move6.6%3.3%12.4%4.5%7.3%
HV 20d16.1%13.9%16.8%16.7%13.9%
HV 60d16.1%14.8%16.8%15.6%14.8%
IV Rank18.4%3.1%83.7%5.8%14.5%
IV Percentile57.6%8.3%98.8%28.2%59.5%
Term Structure-2.5%-21.9%30.0%5.4%6.6%
VWIV23.5%11.3%46.3%15.5%28.0%
Skew 25d7.6%-28.1%95.0%84.6%70.1%
Skew 10d0.1%-51.7%95.8%62.2%90.4%
Call IV 25d33.6%12.7%60.3%22.1%41.6%
Put IV 25d41.2%11.2%132.2%106.7%111.7%
Bid-Ask Spread %113.0748.43134.19116.20121.69
Gamma HHI0.670.500.880.880.55
Net GEX39.0K5.8K99.7K99.7K17.9K
Net DEX-342.8K-571.9K-104.4K-503.9K-386.4K
Net VEX-2.9K-3.3K-2.4K-3.0K-3.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.620.480.930.480.79
Total Volume183.048144216179193
Total OI761.429494926877659

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-06-01$34.42$30.0015.8%4.5%16.7%5.8%15.5%84.6%5.4%99.7K-503.9K-3.0K0.48116.2012158497380
2018-06-04$34.42$35.0032.9%9.8%15.9%21.4%32.6%-18.9%-21.9%97.7K-465.7K-3.2K0.48125.7512158506390
2018-06-05$34.32$35.0026.8%7.6%15.7%15.8%26.5%-22.9%-10.9%88.0K-478.1K-3.1K0.56119.6012268506390
2018-06-06$33.60$35.0020.4%3.9%16.6%10.1%12.6%-5.8%-3.7%56.4K-233.9K-2.7K0.5685.4612268506410
2018-06-07$33.76$35.0018.0%3.3%16.3%7.9%11.3%-0.8%0.9%59.5K-200.6K-2.7K0.48106.5012258506420
2018-06-08$33.73$35.0047.4%3.8%14.9%34.6%12.3%-4.8%-1.6%42.4K-354.4K-3.0K0.48108.5812258506400
2018-06-11$33.28$35.0020.4%3.8%15.6%10.1%12.9%-6.0%-1.2%25.4K-104.4K-2.4K0.48107.9312258506400
2018-06-12$33.72$35.00101.2%5.8%16.3%83.7%20.0%-1.9%-0.6%26.3K-361.9K-3.1K0.48125.5712258505398
2018-06-13$34.02$35.0043.2%12.4%16.0%30.8%46.3%13.4%-20.2%49.1K-259.6K-2.6K0.49134.1911958505398
2018-06-14$34.52$35.0020.9%6.0%16.8%10.4%22.4%-3.4%-3.4%51.5K-571.9K-2.4K0.58131.7110058505398
2018-06-15$34.22$35.0034.5%9.9%16.7%22.9%39.6%95.0%-6.9%5.8K-220.4K-2.5K0.67131.068658495398
2018-06-18$34.27$35.0013.8%4.0%16.7%4.0%14.9%-18.4%30.0%7.9K-106.7K-2.5K0.48122.7512862262232
2018-06-19$34.42$35.0031.9%9.2%16.6%20.5%33.8%-22.8%-8.7%24.1K-307.4K-2.6K0.59122.9913680307242
2018-06-20$34.48$35.0019.7%5.6%16.6%9.4%19.6%-1.4%-4.2%23.0K-279.4K-3.0K0.6967.9511680338262
2018-06-21$34.73$35.0029.5%8.5%16.1%18.3%30.3%48.1%10.9%15.3K-265.5K-3.0K0.93121.988680339262
2018-06-22$34.99$35.0012.8%3.7%16.1%3.1%12.8%-0.2%0.3%28.3K-394.7K-2.9K0.8048.4310080342262
2018-06-25$35.32$35.0022.4%6.4%16.4%11.9%22.5%2.7%-0.7%29.2K-498.1K-3.0K0.79120.8310885352272
2018-06-26$35.07$35.0028.3%8.1%16.7%17.2%28.5%-28.1%-3.3%28.4K-404.9K-3.1K0.72116.8511180359277
2018-06-27$35.06$35.0037.0%10.6%15.5%25.1%33.4%-2.9%-19.0%23.6K-407.3K-3.2K0.82124.5610485362282
2018-06-28$35.17$35.0018.1%5.2%15.5%7.9%18.1%-16.6%-0.9%19.0K-394.1K-3.2K0.79113.8110885362292
2018-06-29$35.27$35.0025.4%7.3%13.9%14.5%28.0%70.1%6.6%17.9K-386.4K-3.3K0.79121.6910885367292