OGE Options History — June 2020

In June 2020, OGE traded between $29.40 and $34.67. ATM implied volatility averaged 38.6%, placing in the 35.9% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded below realized volatility by 7.5% (HV 20d: 46.1%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 2.76.

Notable Days

  • 2020-06-04: Highest Volume — 861 contracts
  • 2020-06-04: Largest IV spike — 104.2% change
  • 2020-06-11: Highest IV Rank — 59.1%
  • 2020-06-11: Largest Expected Move — 17.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.50$29.40$34.67$32.19$30.39
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV38.6%22.3%59.8%38.3%41.5%
Expected Move10.7%6.4%17.1%11.0%11.9%
HV 20d46.1%38.2%54.7%51.4%40.0%
HV 60d65.9%49.8%77.4%77.4%49.8%
IV Rank35.9%18.0%59.1%35.6%39.1%
IV Percentile75.8%67.9%92.1%77.0%76.6%
Term Structure1.3%-29.6%31.5%21.2%3.1%
VWIV39.9%29.9%52.4%42.4%41.6%
Skew 25d12.3%-15.2%47.3%11.3%4.4%
Skew 10d21.3%-27.3%106.4%0.5%6.7%
Call IV 25d34.4%17.6%62.8%30.5%37.2%
Put IV 25d46.7%31.9%75.9%41.7%41.6%
Bid-Ask Spread %106.1576.07130.8896.29115.77
Gamma HHI0.400.340.500.420.50
Net GEX42.8K31.5K58.8K52.6K58.8K
Net DEX-1.0M-2.5M-115.1K-1.2M-432.6K
Net VEX-9.9K-11.0K-8.1K-8.4K-9.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.760.0020.001.2020.00
Total Volume114.591118616221
Total OI2,629.0912,1293,0142,5902,339

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-06-01$32.19$30.0038.3%11.0%51.4%35.6%42.4%11.3%21.2%52.6K-1.2M-8.4K0.0096.290621,5061,084
2020-06-02$32.06$30.0051.5%14.8%51.4%50.1%50.2%11.8%-11.9%36.8K-1.0M-9.8K1.2078.27561,5061,146
2020-06-03$33.14$30.0022.3%6.4%52.3%18.0%0.0%17.6%16.6%49.9K-1.5M-8.1K0.0181.079311,5011,147
2020-06-04$32.51$30.0045.6%6.8%50.9%43.6%31.7%8.3%3.3%44.4K-1.4M-10.1K2.21100.422685931,5841,148
2020-06-05$33.57$30.0028.0%8.5%51.8%24.2%48.7%12.3%8.5%41.1K-2.0M-11.0K0.00112.284901,6201,148
2020-06-08$34.67$30.0038.5%7.1%49.2%35.7%0.0%12.3%11.6%42.1K-2.5M-9.3K2.08106.7012251,6161,148
2020-06-09$33.59$30.0031.1%11.4%50.5%27.6%41.4%-15.2%-2.2%40.7K-1.8M-10.7K0.08104.192421,6171,155
2020-06-10$32.84$30.0054.5%15.6%50.7%53.4%49.2%-3.2%-24.4%40.3K-1.7M-10.3K0.07118.205441,6301,156
2020-06-11$30.55$30.0059.8%17.1%54.7%59.1%32.1%23.1%-29.6%40.7K-699.1K-9.9K0.96125.8827261,6391,160
2020-06-12$30.86$30.0031.4%9.0%54.2%27.9%0.0%35.5%11.0%47.1K-711.2K-9.5K0.63109.92130821,6401,185
2020-06-15$31.12$30.0041.5%11.9%52.7%39.1%48.8%2.0%1.0%39.6K-792.8K-10.0K0.82103.541251021,7681,244
2020-06-16$31.19$30.0028.0%8.0%43.1%24.2%38.3%31.6%2.5%49.8K-1.0M-9.6K0.00130.880261,7401,209
2020-06-17$30.94$30.0054.3%15.6%42.6%53.1%52.4%-6.7%-18.1%36.2K-869.2K-9.4K15.7595.574631,7401,198
2020-06-18$30.95$30.0034.1%9.8%41.7%30.9%29.9%38.2%-4.0%31.5K-1.1M-10.8K1.35113.9623311,7401,232
2020-06-19$30.78$30.0030.6%8.8%41.3%27.1%30.0%47.3%0.3%52.3K-894.8K-9.9K3.55119.69331171,7511,263
2020-06-22$30.88$30.0039.0%11.2%41.3%36.3%33.4%9.0%2.4%37.1K-809.7K-10.5K2.00102.4514281,356773
2020-06-23$30.73$30.0038.7%11.1%38.9%36.0%48.5%3.8%-0.2%35.0K-651.6K-10.5K1.3076.071421851,370800
2020-06-24$30.38$30.0039.6%11.3%38.6%37.0%0.0%10.6%-4.6%32.7K-634.2K-11.0K1.2995.01791,375817
2020-06-25$29.99$30.0031.9%9.2%38.2%28.5%31.9%2.2%5.8%46.7K-213.0K-9.3K0.31109.5651161,377831
2020-06-26$29.40$30.0034.1%9.8%38.7%30.9%31.3%6.9%31.5%37.4K-115.1K-9.9K1.33123.239121,427847
2020-06-29$30.31$30.0035.8%10.3%40.0%32.8%35.7%8.1%5.0%49.3K-492.5K-9.8K0.25116.263281,448859
2020-06-30$30.39$30.0041.5%11.9%40.0%39.1%41.6%4.4%3.1%58.8K-432.6K-9.2K20.00115.771201,472867