OGE Options History — August 2020

In August 2020, OGE traded between $31.38 and $33.89. ATM implied volatility averaged 31.3%, placing in the 27.8% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 6.4% (HV 20d: 24.9%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 5.70.

Notable Days

  • 2020-08-25: Highest Volume — 170 contracts
  • 2020-08-07: Largest IV spike — 57.7% change
  • 2020-08-07: Highest IV Rank — 50.0%
  • 2020-08-03: Largest Expected Move — 14.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.50$31.38$33.89$32.36$31.87
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV31.3%19.0%51.5%51.5%25.3%
Expected Move8.3%5.5%14.8%14.8%7.3%
HV 20d24.9%21.5%28.0%26.9%23.0%
HV 60d32.9%28.8%39.5%39.5%28.8%
IV Rank27.8%14.4%50.0%50.0%21.2%
IV Percentile59.8%48.4%84.1%84.1%49.6%
Term Structure5.6%-14.5%26.6%-14.0%12.4%
VWIV28.4%16.7%45.4%45.4%19.7%
Skew 25d4.3%-33.3%21.2%-9.6%-0.8%
Skew 10d6.6%-52.5%49.7%-52.5%2.7%
Call IV 25d27.5%14.6%66.5%52.5%21.6%
Put IV 25d31.8%17.9%42.8%42.8%20.8%
Bid-Ask Spread %103.2683.19120.89112.78103.28
Gamma HHI0.690.490.940.490.56
Net GEX42.1K21.6K74.2K27.5K21.6K
Net DEX-991.1K-1.7M-225.7K-1.3M-573.5K
Net VEX-7.9K-11.2K-5.7K-11.2K-5.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.700.0075.0018.500.00
Total Volume32.190170780
Total OI2,985.3332,7403,2152,9782,818

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-08-03$32.36$30.0051.5%14.8%26.9%50.0%45.4%-9.6%-14.0%27.5K-1.3M-11.2K18.50112.784741,5561,422
2020-08-04$32.88$30.0030.0%8.6%27.1%26.4%20.9%11.7%13.8%55.8K-1.1M-8.9K0.00116.38201,5591,486
2020-08-05$32.36$30.0030.8%8.8%28.0%27.3%25.1%14.6%26.6%39.4K-832.9K-9.2K0.00120.89701,5591,486
2020-08-06$33.00$30.0032.6%7.8%26.1%29.3%28.3%6.5%0.6%64.9K-1.4M-8.7K0.03115.233111,5591,486
2020-08-07$33.33$30.0051.5%8.1%24.4%50.0%0.0%21.2%6.1%53.8K-1.5M-9.6K0.04116.532311,5611,487
2020-08-10$33.89$30.0048.9%8.1%24.6%47.3%0.0%11.8%3.1%74.2K-1.7M-8.2K0.00102.63011,5431,487
2020-08-11$32.93$30.0027.3%7.2%26.6%23.5%30.4%8.5%6.3%48.0K-1.3M-8.7K0.33108.862481,5431,488
2020-08-12$33.50$30.0024.5%7.0%27.2%20.4%0.0%5.4%1.1%71.9K-1.4M-7.7K0.00105.433101,5441,489
2020-08-13$32.90$30.0031.4%9.0%27.9%27.9%37.6%6.2%-14.5%51.3K-1.6M-8.5K0.00110.66401,5751,489
2020-08-14$32.62$30.0025.3%7.3%27.8%21.3%22.4%13.8%8.0%54.2K-1.3M-7.9K0.00106.06601,5751,489
2020-08-17$32.41$30.0031.3%9.0%26.1%27.8%29.8%8.6%13.3%45.1K-984.3K-7.7K0.8287.431191,5781,489
2020-08-18$32.49$30.0019.0%5.5%24.8%14.4%0.0%-19.0%16.2%33.5K-911.7K-8.6K0.06107.143321,5881,481
2020-08-19$32.22$30.0026.5%7.6%22.7%22.6%32.8%1.2%3.7%38.2K-933.3K-7.8K75.00101.531751,6121,481
2020-08-20$32.27$30.0035.3%10.1%22.7%32.3%27.8%4.1%7.2%25.4K-745.6K-7.9K0.0084.64901,6121,603
2020-08-21$32.05$30.0032.5%9.3%22.7%29.1%31.8%-33.3%-7.3%33.2K-764.2K-7.5K0.3596.632071,6121,603
2020-08-24$32.49$30.0025.5%7.3%22.2%21.5%28.1%15.4%14.1%37.2K-728.0K-7.0K2.3688.7414331,4281,314
2020-08-25$32.22$30.0021.8%6.2%21.5%17.4%16.7%1.3%3.4%29.1K-617.6K-6.3K1.7099.50631071,4281,314
2020-08-26$31.38$30.0029.5%8.5%23.0%25.9%29.7%6.5%3.5%25.7K-225.7K-6.4K3.4483.1916551,4911,249
2020-08-27$31.61$30.0029.1%8.3%23.3%25.4%0.0%13.7%9.6%28.6K-375.1K-6.9K0.0097.57001,5011,303
2020-08-28$31.76$30.0027.0%7.7%23.4%23.2%19.7%3.0%3.3%25.0K-478.5K-6.0K0.00103.46401,5011,303
2020-08-31$31.87$30.0025.3%7.3%23.0%21.2%0.0%-0.8%12.4%21.6K-573.5K-5.7K0.00103.28001,5151,303