OGE Options History — October 2020

In October 2020, OGE traded between $30.03 and $33.23. ATM implied volatility averaged 38.1%, placing in the 35.4% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded above realized volatility by 12.4% (HV 20d: 25.7%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 15 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 4.84.

Notable Days

  • 2020-10-22: Highest Volume — 559 contracts
  • 2020-10-09: Largest IV spike — 127.3% change
  • 2020-10-12: Highest IV Rank — 91.9%
  • 2020-10-30: Largest Expected Move — 14.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.79$30.03$33.23$30.03$30.76
Max Pain$29.32$25.00$30.00$30.00$30.00
ATM IV38.1%20.8%89.5%24.3%51.5%
Expected Move9.7%6.0%14.8%7.0%14.8%
HV 20d25.7%19.6%33.1%19.6%31.5%
HV 60d24.8%24.0%26.4%24.3%25.9%
IV Rank35.4%16.4%91.9%20.1%50.0%
IV Percentile60.7%38.9%99.2%42.9%82.1%
Term Structure-5.0%-26.2%18.4%9.2%-12.3%
VWIV27.8%17.4%52.2%17.4%38.0%
Skew 25d5.0%-26.6%32.1%24.5%1.8%
Skew 10d0.0%-57.0%71.5%28.3%11.1%
Call IV 25d32.3%23.0%57.8%24.9%52.6%
Put IV 25d37.4%18.5%59.1%49.4%54.4%
Bid-Ask Spread %122.7686.40136.04124.23108.39
Gamma HHI0.430.320.620.380.57
Net GEX-6.1K-93.9K22.7K-15.4K-87.1K
Net DEX-88.2K-716.9K1.5M374.5K1.5M
Net VEX-5.7K-9.8K-3.6K-3.6K-9.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.840.0038.930.000.19
Total Volume118.59115592019
Total OI1,830.2271,3092,9681,3192,968

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-10-01$30.03$30.0024.3%7.0%19.6%20.1%17.4%24.5%9.2%-15.4K374.5K-3.6K0.00124.23200686633
2020-10-02$30.94$30.0020.8%6.0%21.4%16.4%19.0%0.6%18.4%-7.6K-5.2K-4.1K0.0086.40420694633
2020-10-05$32.03$25.0030.0%7.2%24.9%26.4%0.0%-7.4%1.9%6.9K-322.1K-4.0K1.32130.4578103676633
2020-10-06$32.52$25.0025.6%8.6%24.3%21.6%22.4%30.9%-3.8%22.7K-681.3K-4.4K2.40126.5955132734695
2020-10-07$32.16$25.0055.7%7.8%24.7%54.7%26.6%2.7%9.8%4.0K-312.9K-4.9K1.43126.74710761818
2020-10-08$32.72$30.0027.2%9.6%23.4%23.3%31.1%-5.1%-15.2%14.6K-492.1K-4.8K0.02130.34621763827
2020-10-09$32.10$30.0061.8%7.3%24.3%61.4%20.5%-26.6%-3.3%12.4K-317.1K-5.9K0.63136.0485835829
2020-10-12$32.15$30.0089.5%13.6%24.3%91.9%24.1%32.1%4.3%15.4K-354.6K-4.8K1.14128.3478810785
2020-10-13$31.14$30.0022.4%8.9%25.5%18.1%0.0%9.1%9.2%4.1K-148.1K-5.5K0.20123.4251813785
2020-10-14$31.01$30.0040.0%11.5%25.5%37.4%21.2%14.6%-13.5%-8.5K-136.3K-5.1K26.00127.874104818770
2020-10-15$31.48$30.0036.2%10.4%25.2%33.2%0.0%2.7%-16.3%2.5K-195.5K-4.9K0.00127.7801821874
2020-10-16$31.55$30.0029.4%8.4%24.5%25.8%0.0%1.7%-7.4%7.7K-227.0K-4.8K1.00133.3411821874
2020-10-19$31.62$30.0035.1%10.1%24.1%32.0%29.8%6.8%-18.6%6.4K-224.5K-4.6K1.00129.1511758773
2020-10-20$32.19$30.0032.3%9.2%24.5%28.9%30.3%-0.5%-2.8%17.0K-404.1K-4.6K1.88133.22142267759774
2020-10-21$31.78$30.0024.8%7.1%25.3%20.8%27.3%-1.8%2.3%3.7K-299.4K-6.1K0.08128.45121881995
2020-10-22$32.42$30.0034.5%9.9%25.7%31.4%0.0%6.3%-3.8%17.4K-612.2K-5.8K38.93118.8514545876996
2020-10-23$33.23$30.0032.1%9.2%26.6%28.7%0.0%14.7%-5.1%11.5K-716.9K-6.2K0.14120.014468811,345
2020-10-26$32.79$30.0029.8%8.5%27.3%26.2%30.0%5.5%-17.2%7.8K-602.7K-7.1K12.13110.71151829231,347
2020-10-27$32.62$30.0047.8%13.7%27.5%46.0%0.0%-1.1%-26.2%-30.6K68.8K-7.7K3.13117.998259231,529
2020-10-28$31.12$30.0050.4%14.4%33.1%48.8%52.2%-4.9%-11.1%-46.1K826.5K-7.7K6.00118.94513069281,512
2020-10-29$30.95$30.0037.9%10.9%33.1%35.1%38.0%4.2%-9.6%-93.9K1.3M-8.0K4.08113.38622539511,758
2020-10-30$30.76$30.0051.5%14.8%31.5%50.0%0.0%1.8%-12.3%-87.1K1.5M-9.8K0.19108.391631,0031,965