OGE Options History — April 2020

In April 2020, OGE traded between $26.43 and $32.94. ATM implied volatility averaged 53.3%, placing in the 52.0% IV rank vs the trailing year. The 30-day expected move averaged 15.0%. IV traded below realized volatility by 41.4% (HV 20d: 94.7%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.53.

Notable Days

  • 2020-04-06: Highest Volume — 658 contracts
  • 2020-04-30: Largest IV spike — 86.6% change
  • 2020-04-03: Highest IV Rank — 71.1%
  • 2020-04-01: Largest Expected Move — 19.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.83$26.43$32.94$28.64$31.54
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV53.3%26.3%70.6%66.9%49.1%
Expected Move15.0%7.5%19.2%19.2%14.1%
HV 20d94.7%65.0%111.4%104.3%65.0%
HV 60d71.7%64.8%74.6%64.8%74.6%
IV Rank52.0%22.3%71.1%67.0%47.4%
IV Percentile89.1%77.8%95.6%94.0%85.7%
Term Structure-6.5%-10.8%0.4%-10.8%-6.5%
VWIV52.7%34.8%61.6%47.3%34.8%
Skew 25d18.2%10.6%31.9%31.9%21.2%
Skew 10d35.9%13.8%60.8%60.8%41.3%
Call IV 25d44.0%30.9%55.6%55.6%30.9%
Put IV 25d62.1%43.3%87.5%87.5%52.1%
Bid-Ask Spread %65.4145.1782.5282.5274.29
Gamma HHI0.270.190.460.250.30
Net GEX-4.2K-32.7K23.7K-24.0K17.7K
Net DEX297.9K-321.4K1.5M1.2M6.9K
Net VEX-6.0K-7.5K-4.0K-4.3K-5.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.530.003.250.300.17
Total Volume98.4763658654
Total OI2,295.7621,8652,7432,1242,068

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-04-01$28.64$30.0066.9%19.2%104.3%67.0%47.3%31.9%-10.8%-24.0K1.2M-4.3K0.3082.5250157171,407
2020-04-02$28.89$30.0056.7%15.1%104.5%55.8%53.0%17.8%-6.4%-27.1K1.1M-4.1K0.0456.09334137191,412
2020-04-03$26.43$30.0070.6%18.1%107.6%71.1%51.9%16.0%-8.9%-21.3K1.5M-4.0K0.0456.9822599641,417
2020-04-06$28.93$30.0050.3%14.0%110.0%48.7%49.2%17.6%-4.9%-18.7K911.1K-5.7K0.5154.894372211,1021,411
2020-04-07$29.97$30.0065.6%15.9%110.5%65.6%55.6%19.7%-7.9%-27.0K831.9K-6.4K0.3851.1378309401,627
2020-04-08$31.13$30.0058.1%16.7%111.4%57.3%0.0%18.2%-8.9%-14.6K348.6K-7.0K0.7154.6917129851,632
2020-04-09$32.53$30.0047.5%13.6%109.3%45.6%58.4%20.3%-5.0%-5.8K-104.2K-7.5K0.1967.2957119981,641
2020-04-13$32.03$30.0059.5%17.0%109.4%58.8%59.8%17.9%-9.5%-8.7K-31.8K-7.0K1.0967.4511121,0381,633
2020-04-14$32.94$30.0044.4%12.7%109.2%42.2%44.6%19.0%-4.6%3.2K-288.9K-6.8K0.3577.9772251,0401,627
2020-04-15$31.39$30.0058.4%16.7%110.2%57.6%58.3%18.4%-9.3%-20.8K101.1K-6.7K0.0461.962411,0901,652
2020-04-16$30.97$30.0056.9%16.3%102.6%56.0%56.2%18.5%-7.0%-32.7K197.1K-6.3K3.2566.424131,0781,652
2020-04-17$31.66$30.0055.4%15.9%102.7%54.4%53.6%18.0%-8.0%6.5K-53.5K-6.4K1.1573.6426301,0821,661
2020-04-20$30.31$30.0055.4%15.9%102.3%54.3%55.4%20.7%-7.8%4.5K369.1K-5.8K0.0461.37281878987
2020-04-21$29.46$30.0058.0%16.6%93.0%57.2%61.6%18.5%-7.8%2.6K486.1K-5.6K0.3945.17239879988
2020-04-22$30.91$30.0056.5%16.2%81.2%55.6%56.9%19.4%-6.4%5.6K234.6K-6.1K0.0470.08492891996
2020-04-23$30.84$30.0055.9%16.0%72.6%54.9%55.9%17.1%-7.6%8.7K180.6K-6.2K0.9773.833736932997
2020-04-24$31.39$30.0050.0%14.3%72.6%48.5%46.7%14.8%-4.2%11.2K75.8K-6.3K0.5059.71219691,033
2020-04-27$32.34$30.0050.0%14.3%70.6%48.4%49.7%13.8%-5.8%14.3K-202.7K-6.2K0.0078.73409681,032
2020-04-28$32.51$30.0027.1%7.8%70.5%23.2%34.8%12.6%0.4%15.2K-268.9K-6.0K0.1758.60107189681,032
2020-04-29$32.67$30.0026.3%7.5%68.8%22.3%0.0%10.6%0.3%23.7K-321.4K-6.0K0.0080.840201,0331,035
2020-04-30$31.54$30.0049.1%14.1%65.0%47.4%0.0%21.2%-6.5%17.7K6.9K-5.7K0.0074.29041,0331,035