OGE Options History — December 2020

In December 2020, OGE traded between $30.43 and $32.98. ATM implied volatility averaged 35.6%, placing in the 32.3% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded above realized volatility by 9.6% (HV 20d: 25.9%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 13 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 2.83.

Notable Days

  • 2020-12-09: Highest Volume — 241 contracts
  • 2020-12-31: Largest IV spike — 61.5% change
  • 2020-12-03: Highest IV Rank — 48.5%
  • 2020-12-31: Largest Expected Move — 14.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.92$30.43$32.98$32.81$31.86
Max Pain$33.18$30.00$35.00$35.00$35.00
ATM IV35.6%27.6%50.4%30.0%50.4%
Expected Move9.7%7.9%14.5%8.6%14.5%
HV 20d25.9%16.9%37.2%37.2%18.3%
HV 60d30.1%29.2%30.8%30.8%29.2%
IV Rank32.3%23.8%48.5%26.5%48.2%
IV Percentile51.7%32.1%81.3%41.7%81.3%
Term Structure-5.6%-43.0%11.4%2.8%-43.0%
VWIV34.4%29.1%52.9%36.2%33.2%
Skew 25d4.6%-9.1%38.4%11.7%0.0%
Skew 10d20.1%-36.8%106.5%16.3%2.8%
Call IV 25d31.9%21.2%47.3%27.2%32.1%
Put IV 25d36.6%17.0%67.9%38.9%32.1%
Bid-Ask Spread %117.14101.82128.55109.72126.80
Gamma HHI0.440.400.570.430.44
Net GEX273-68.4K23.5K23.3K23.0K
Net DEX-220.3K-580.5K146.1K-580.5K-337.2K
Net VEX-4.7K-6.6K-3.8K-5.2K-4.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.830.0042.001.000.71
Total Volume40.77332411012
Total OI2,345.5451,0703,1732,7971,286

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-12-01$32.81$35.0030.0%8.6%37.2%26.5%36.2%11.7%2.8%23.3K-580.5K-5.2K1.00109.72551,1991,598
2020-12-02$32.98$35.0039.6%11.4%36.0%37.0%36.3%6.3%-4.3%1.4K-400.3K-5.6K1.14101.8221241,2001,602
2020-12-03$32.53$30.0050.1%9.8%36.2%48.5%34.1%0.1%-10.4%-3.6K-228.7K-5.3K0.85118.4734291,1951,625
2020-12-04$32.76$30.0035.1%8.0%36.0%32.0%0.0%3.0%-5.2%-41.1K-270.8K-5.0K0.00121.73301,2201,653
2020-12-07$32.91$30.0035.6%10.2%36.0%32.5%34.9%0.0%-3.3%21.9K-486.0K-4.6K2.63118.848211,2221,653
2020-12-08$32.59$30.0042.6%8.9%33.3%40.2%31.8%-3.9%-8.3%-19.2K-168.9K-5.1K0.00117.942801,2271,673
2020-12-09$32.80$30.0039.8%11.4%31.3%37.2%0.0%4.3%-4.7%-6.0K-235.5K-4.6K0.01127.0723831,2291,673
2020-12-10$32.36$30.0039.8%11.4%31.5%37.2%34.1%3.7%0.9%-20.7K-239.1K-6.6K0.00114.85601,4331,673
2020-12-11$32.34$30.0032.1%9.2%28.0%28.7%35.7%3.0%-2.7%-18.2K-156.9K-5.6K1.88112.188151,4391,673
2020-12-14$32.07$30.0039.3%11.3%21.8%36.7%32.5%-0.3%-6.2%-4.3K-284.3K-4.5K0.53109.0258311,4321,694
2020-12-15$32.43$35.0032.3%9.3%21.5%29.0%0.0%4.2%-5.7%18.2K-279.0K-4.5K0.00111.531001,4451,706
2020-12-16$31.93$35.0027.6%7.9%21.8%23.8%52.9%-9.1%10.0%-40.0K574-4.4K1.28118.3918231,4451,706
2020-12-17$31.64$35.0033.1%9.5%20.9%29.8%31.2%10.1%0.6%-68.4K146.1K-4.2K0.32122.882271,4471,718
2020-12-18$31.16$35.0028.9%8.3%21.3%25.2%29.1%-1.2%-5.8%23.5K-27.0K-3.8K0.00116.420281,4491,724
2020-12-21$30.43$35.0029.4%8.4%21.6%25.7%29.5%-3.0%-6.0%15.0K-147.2K-4.1K2.43111.552356740330
2020-12-22$30.69$35.0032.7%9.4%21.5%29.4%0.0%14.3%0.5%18.7K-192.5K-4.5K0.06125.35171763386
2020-12-23$31.02$35.0029.0%8.3%20.6%24.4%0.0%-7.3%-15.4%16.7K-189.0K-4.4K42.00128.55142780387
2020-12-24$31.00$35.0030.3%8.7%20.7%25.9%0.0%38.4%11.4%13.5K-135.2K-4.3K0.18116.87224781429
2020-12-28$31.30$35.0035.9%10.3%20.3%32.1%30.2%4.1%-15.0%16.5K-173.2K-4.1K1.44115.14913803433
2020-12-29$31.05$35.0037.9%10.9%16.9%34.3%33.2%20.8%-15.2%19.2K-176.7K-4.3K0.71114.072115810446
2020-12-30$31.51$35.0031.2%8.9%17.8%26.9%0.0%2.4%2.6%16.7K-284.7K-4.5K2.20117.92511818457
2020-12-31$31.86$35.0050.4%14.5%18.3%48.2%0.0%0.0%-43.0%23.0K-337.2K-4.5K0.71126.8075823463