OGE Options History — July 2020

In July 2020, OGE traded between $30.01 and $33.17. ATM implied volatility averaged 37.3%, placing in the 34.5% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded above realized volatility by 9.1% (HV 20d: 28.2%). 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 19 of 22 days. Put/call ratio averaged 7.65.

Notable Days

  • 2020-07-15: Highest Volume — 443 contracts
  • 2020-07-09: Largest IV spike — 74.7% change
  • 2020-07-28: Highest IV Rank — 53.0%
  • 2020-07-28: Largest Expected Move — 15.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.87$30.01$33.17$30.72$32.81
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV37.3%25.1%54.2%27.1%31.5%
Expected Move9.9%6.5%15.5%7.8%9.0%
HV 20d28.2%23.0%38.1%38.1%26.5%
HV 60d42.4%39.3%46.3%46.3%39.3%
IV Rank34.5%21.1%53.0%23.2%28.1%
IV Percentile70.8%59.1%85.7%63.9%61.9%
Term Structure11.5%-14.4%41.0%13.7%0.1%
VWIV34.4%9.7%56.5%33.9%28.4%
Skew 25d6.4%-24.7%42.3%32.2%-2.2%
Skew 10d-5.5%-59.7%102.8%55.9%-41.0%
Call IV 25d34.8%19.8%61.5%23.7%45.0%
Put IV 25d41.2%20.5%73.5%56.0%42.9%
Bid-Ask Spread %111.3194.00125.80100.63119.07
Gamma HHI0.540.340.840.460.73
Net GEX48.1K17.9K77.5K49.9K61.1K
Net DEX-1.1M-1.7M-379.7K-779.6K-1.3M
Net VEX-9.6K-11.9K-7.9K-10.2K-9.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio7.650.0088.250.226.50
Total Volume92.95534431175
Total OI2,648.0912,3602,9162,3602,916

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-07-01$30.72$30.0027.1%7.8%38.1%23.2%33.9%32.2%13.7%49.9K-779.6K-10.2K0.22100.63921,473887
2020-07-02$30.71$30.0033.4%9.6%37.7%30.2%26.3%10.5%15.2%52.4K-546.1K-9.2K0.00120.083401,482889
2020-07-06$30.45$30.0050.1%11.3%35.4%48.6%45.3%18.9%-6.3%55.8K-379.7K-8.7K1.57101.981292021,486889
2020-07-07$30.78$30.0037.6%8.6%33.1%34.8%33.0%21.4%3.1%63.2K-640.5K-8.9K0.33114.8752171,488889
2020-07-08$30.87$30.0026.6%6.5%31.8%22.7%23.6%41.1%10.5%77.5K-744.4K-9.0K0.16115.273861,517903
2020-07-09$30.01$30.0046.5%8.5%32.3%44.5%43.0%18.3%5.0%55.2K-456.3K-9.3K38.0099.512761,541914
2020-07-10$30.94$30.0036.1%7.5%23.0%33.2%9.7%42.3%6.0%67.3K-896.5K-7.9K0.58103.5326151,5411,019
2020-07-13$31.38$30.0041.5%9.5%23.2%39.0%38.4%-2.9%41.0%35.5K-1.3M-10.3K0.4095.2550201,5641,034
2020-07-14$31.90$30.0045.1%11.2%23.7%43.0%0.0%-9.9%36.2%47.1K-1.5M-9.4K3.00104.39131,5931,021
2020-07-15$32.12$30.0039.2%11.2%23.8%36.5%35.2%3.5%33.5%45.2K-1.7M-9.9K2.1094.001433001,5941,019
2020-07-16$31.91$30.0025.1%7.2%23.7%21.1%0.0%-9.4%22.5%58.3K-1.6M-8.4K14.77117.80131921,6341,012
2020-07-17$32.36$30.0032.1%9.2%24.1%28.8%34.4%7.2%34.6%37.3K-1.6M-10.9K10.50110.572211,6341,197
2020-07-20$31.52$30.0027.4%7.8%26.1%23.5%30.3%14.6%18.5%50.2K-920.7K-9.6K88.25118.5543531,3831,042
2020-07-21$32.25$30.0042.3%12.1%27.2%40.0%31.5%-3.5%1.7%18.2K-734.5K-9.8K0.07115.836851,3831,328
2020-07-22$33.17$30.0039.8%11.4%28.5%37.2%37.6%-6.4%-2.1%30.8K-1.3M-9.6K0.07116.807451,4441,329
2020-07-23$33.12$30.0037.2%10.7%28.1%34.4%0.0%6.6%8.4%46.4K-1.5M-9.2K0.00121.93501,4941,331
2020-07-24$32.91$30.0029.2%8.4%27.6%25.5%31.7%0.7%2.5%17.9K-1.2M-11.9K0.0097.914401,4941,331
2020-07-27$32.26$30.0039.3%11.3%27.6%36.6%46.4%-13.1%2.1%42.4K-966.3K-10.2K0.33125.80621,5351,331
2020-07-28$32.81$30.0054.2%15.5%26.3%53.0%56.5%-24.7%-14.4%44.8K-1.1M-10.1K1.53119.2017261,5401,333
2020-07-29$33.06$30.0044.4%12.7%26.4%42.2%0.0%-4.9%1.0%43.3K-1.3M-9.4K0.00113.58501,5541,357
2020-07-30$33.01$30.0035.5%10.2%26.3%32.4%0.0%0.3%20.5%57.7K-1.2M-9.2K0.00122.18301,5561,357
2020-07-31$32.81$30.0031.5%9.0%26.5%28.1%28.4%-2.2%0.1%61.1K-1.3M-9.6K6.50119.0710651,5591,357