OGE Options History — March 2020

In March 2020, OGE traded between $23.40 and $40.09. ATM implied volatility averaged 66.6%, placing in the 72.8% IV rank vs the trailing year. The 30-day expected move averaged 18.1%. IV traded above realized volatility by 0.4% (HV 20d: 66.3%). Max pain ranged from $30.00 to $45.00. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 1 of 22 days. Put/call ratio averaged 14.84.

Notable Days

  • 2020-03-16: Highest Volume — 487 contracts
  • 2020-03-05: Largest IV spike — 103.0% change
  • 2020-03-05: Highest IV Rank — 100.0%
  • 2020-03-18: Largest Expected Move — 27.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.22$23.40$40.09$39.18$30.69
Max Pain$35.68$30.00$45.00$45.00$30.00
ATM IV66.6%23.7%96.9%23.7%65.0%
Expected Move18.1%6.8%27.5%6.8%18.6%
HV 20d66.3%37.7%104.6%37.9%103.4%
HV 60d41.7%24.4%63.5%24.6%63.5%
IV Rank72.8%34.2%100.0%34.2%64.9%
IV Percentile97.4%88.9%100.0%88.9%94.0%
Term Structure-13.9%-26.1%0.2%-12.8%-11.1%
VWIV69.4%21.7%113.7%21.7%73.0%
Skew 25d18.4%-8.5%47.9%-3.2%25.1%
Skew 10d33.2%-6.9%74.0%-3.3%39.8%
Call IV 25d55.1%22.4%86.5%25.2%51.4%
Put IV 25d73.4%21.9%117.3%21.9%76.5%
Bid-Ask Spread %89.1546.39114.91111.7191.55
Gamma HHI0.290.180.490.490.24
Net GEX-19.3K-53.0K4.7K-53.0K-21.1K
Net DEX1.1M261.3K2.0M626.5K764.5K
Net VEX-4.1K-5.3K-2.0K-3.1K-4.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio14.840.05208.000.443.74
Total Volume128.364124872617
Total OI1,736.8181,3352,4291,3472,116

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-03-02$39.18$45.0023.7%6.8%37.9%34.2%21.7%-3.2%-12.8%-53.0K626.5K-3.1K0.44111.71188913434
2020-03-03$39.10$45.0030.9%8.9%37.7%48.0%0.0%9.3%0.2%-23.3K529.3K-3.7K0.00111.36012901434
2020-03-04$40.09$45.0029.5%8.5%39.4%45.3%30.0%47.9%-15.9%-43.4K424.7K-3.7K1.41113.123955901446
2020-03-05$38.76$40.0060.0%11.0%40.4%100.0%0.0%23.7%-10.6%4.7K261.3K-5.1K22.00114.91122938500
2020-03-06$37.48$40.0057.6%18.0%41.2%95.7%75.1%31.0%-26.1%-2.6K488.5K-5.1K9.50106.35219937521
2020-03-09$34.09$40.0096.9%16.1%50.7%100.0%84.3%-6.5%-12.0%-9.5K932.8K-4.3K10.6397.5819202939540
2020-03-10$34.94$40.0066.9%14.5%52.3%67.0%29.0%16.1%-20.5%-26.2K1.1M-3.9K0.7588.615138939568
2020-03-11$34.07$40.0053.4%15.3%52.2%52.2%34.2%-8.5%-15.1%-22.3K1.2M-4.0K0.05110.221256990587
2020-03-12$31.57$40.0077.5%22.2%56.4%78.7%47.7%30.9%-16.4%-2.3K1.0M-4.0K0.0898.236151,115593
2020-03-13$32.03$40.0070.4%20.2%57.2%70.9%55.4%4.3%-22.0%-3.3K1.1M-4.1K208.0087.0012081,111593
2020-03-16$31.07$40.0074.1%21.3%56.8%74.9%75.4%0.9%-13.6%-6.0K1.3M-4.2K12.9191.72354521,112641
2020-03-17$30.22$30.0073.9%21.2%56.3%74.7%76.1%12.4%-9.8%-26.1K1.7M-4.7K0.2798.822671,1811,082
2020-03-18$27.13$30.0095.8%27.5%64.1%98.8%113.4%24.9%-22.0%-20.5K1.9M-4.2K8.9467.34171521,2071,059
2020-03-19$27.53$30.0074.5%21.3%65.4%75.3%113.7%25.8%-12.2%-20.9K1.8M-4.1K9.4567.79111041,2111,126
2020-03-20$26.22$30.0070.1%20.1%65.0%70.6%86.0%20.8%-5.6%-23.4K2.0M-3.1K1.4874.89731081,2121,217
2020-03-23$23.40$30.0084.0%24.1%71.5%85.8%90.4%34.2%-15.0%-18.0K1.6M-2.0K3.1765.9842133513997
2020-03-24$26.90$30.0073.0%20.9%94.0%73.8%110.8%21.6%-15.9%-23.4K1.5M-2.7K2.6246.39421105251,022
2020-03-25$29.87$30.0070.8%20.3%104.6%71.3%59.8%21.4%-11.5%-24.8K1.0M-4.2K1.1881.291301535321,031
2020-03-26$30.41$30.0069.2%19.8%104.4%69.5%69.4%22.2%-11.1%-22.6K897.3K-4.3K0.0674.513326201,179
2020-03-27$32.15$30.0076.6%22.0%104.2%77.6%66.1%26.5%-14.2%-19.4K534.3K-5.3K0.1675.422546471,205
2020-03-30$31.98$30.0071.6%20.5%102.9%72.2%75.6%22.8%-13.0%-17.1K481.0K-4.9K3.7486.49542026711,204
2020-03-31$30.69$30.0065.0%18.6%103.4%64.9%73.0%25.1%-11.1%-21.1K764.5K-4.8K0.0091.550177171,399