OGE Options History — September 2020

In September 2020, OGE traded between $28.73 and $32.42. ATM implied volatility averaged 33.9%, placing in the 30.7% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded above realized volatility by 10.4% (HV 20d: 23.5%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 3.76.

Notable Days

  • 2020-09-04: Highest Volume — 150 contracts
  • 2020-09-30: Largest IV spike — 117.7% change
  • 2020-09-10: Highest IV Rank — 47.5%
  • 2020-09-03: Largest Expected Move — 15.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.10$28.73$32.42$31.42$29.88
Max Pain$32.86$30.00$35.00$30.00$30.00
ATM IV33.9%18.6%49.1%32.1%41.7%
Expected Move9.9%5.3%15.8%9.2%11.9%
HV 20d23.5%22.2%25.2%22.6%23.1%
HV 60d25.2%24.0%28.3%28.1%24.3%
IV Rank30.7%13.9%47.5%28.7%39.3%
IV Percentile60.5%38.9%81.0%61.1%71.4%
Term Structure0.1%-23.0%27.4%19.4%10.6%
VWIV34.8%16.1%59.1%35.4%16.1%
Skew 25d17.3%-39.9%96.0%11.0%40.0%
Skew 10d11.3%-59.6%135.8%13.3%32.5%
Call IV 25d33.7%20.3%76.4%22.7%24.7%
Put IV 25d51.0%26.1%124.6%33.8%64.7%
Bid-Ask Spread %119.8895.78131.9295.78114.12
Gamma HHI0.460.340.620.560.35
Net GEX2.4K-17.3K40.0K22.6K-2.1K
Net DEX346.0K-777.8K1.9M-262.8K242.8K
Net VEX-4.6K-6.5K-3.3K-6.2K-4.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.760.0022.0022.000.00
Total Volume46.1901502316
Total OI2,252.6191,0942,9942,8181,304

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-09-01$31.42$30.0032.1%9.2%22.6%28.7%35.4%11.0%19.4%22.6K-262.8K-6.2K22.0095.781221,5151,303
2020-09-02$32.42$30.0044.6%12.8%24.9%42.5%0.0%4.0%-8.5%40.0K-777.8K-6.4K0.00101.23001,5151,308
2020-09-03$31.64$30.0044.9%15.8%25.2%42.8%59.1%15.0%-21.2%22.3K-412.4K-5.7K0.03128.714011,5151,308
2020-09-04$31.56$30.0046.6%15.1%24.8%44.6%54.2%28.5%-14.6%22.9K-434.4K-6.2K1.63130.8457931,5551,309
2020-09-08$30.98$30.0048.6%12.2%24.3%46.9%46.4%-11.0%-23.0%22.3K-287.5K-6.0K2.90125.7610291,6001,271
2020-09-09$31.19$35.0046.5%13.3%22.8%44.5%55.6%25.3%-11.3%27.7K-263.0K-6.5K4.50125.67291,6001,300
2020-09-10$30.47$35.0049.1%14.1%22.7%47.5%56.9%-29.0%-10.8%821-143.9K-4.6K14.00124.594561,6001,247
2020-09-11$30.16$35.0047.7%13.7%22.2%45.8%37.1%-10.1%-19.3%13.0K292.3K-5.5K0.44128.401671,6001,276
2020-09-14$30.26$35.0022.2%6.4%22.3%17.9%0.0%78.5%7.4%3.2K206.8K-4.4K4.00127.7310401,5861,282
2020-09-15$29.51$35.0032.5%9.3%23.6%29.2%28.9%96.0%0.3%-6271.1M-4.3K0.73127.8937271,5941,302
2020-09-16$29.70$35.0039.8%11.4%23.8%37.2%0.0%-39.9%-22.2%-10.0K780.7K-3.9K0.11131.921921,6311,334
2020-09-17$29.30$35.0031.7%9.1%24.0%28.3%31.8%17.9%27.4%-6.5K1.7M-3.8K18.43102.6071291,6141,334
2020-09-18$28.94$35.0018.6%5.3%24.0%13.9%0.0%-9.3%15.2%-14.1K1.9M-3.6K2.22129.2123511,6141,380
2020-09-21$28.73$35.0019.0%5.5%24.0%14.4%29.6%2.3%13.7%-15.7K700.2K-3.3K0.18122.12509528566
2020-09-22$29.06$35.0021.8%6.2%23.8%17.4%24.1%16.2%8.2%-17.3K631.3K-3.4K0.08119.74383576575
2020-09-23$29.15$35.0032.7%9.4%23.9%29.4%28.3%1.4%2.9%-17.3K614.9K-3.3K3.00129.131030610588
2020-09-24$29.03$35.0019.3%5.5%22.6%14.7%17.9%17.2%24.8%-7.0K391.5K-4.2K0.00130.71440612618
2020-09-25$29.22$30.0033.7%9.7%22.5%30.5%0.0%18.9%-6.9%-5.4K401.4K-4.5K0.1195.9291652618
2020-09-28$29.65$30.0019.8%5.7%23.3%15.2%18.4%26.7%-1.1%-14.0K437.1K-3.9K0.77105.421310652619
2020-09-29$29.80$30.0019.1%5.5%23.3%14.5%16.4%63.6%10.6%-14.3K455.1K-3.4K0.10119.91414665629
2020-09-30$29.88$30.0041.7%11.9%23.1%39.3%16.1%40.0%10.6%-2.1K242.8K-4.4K0.00114.12160671633