OGE Options History — March 2021

In March 2021, OGE traded between $29.64 and $32.95. ATM implied volatility averaged 23.9%, placing in the 10.4% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded below realized volatility by 3.1% (HV 20d: 26.9%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 9 of 23 trading days. Term structure was in contango for 9 of 23 days. Put/call ratio averaged 4.25.

Notable Days

  • 2021-03-19: Highest Volume — 520 contracts
  • 2021-03-31: Largest IV spike — 96.6% change
  • 2021-03-26: Highest IV Rank — 29.7%
  • 2021-03-04: Largest Expected Move — 10.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.85$29.64$32.95$29.64$32.33
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV23.9%15.2%37.2%21.8%34.3%
Expected Move7.0%5.0%10.8%6.3%9.8%
HV 20d26.9%21.5%30.4%26.0%22.9%
HV 60d23.4%21.9%24.4%22.0%23.7%
IV Rank10.4%0.0%29.7%4.1%25.7%
IV Percentile13.4%0.0%58.3%4.0%53.6%
Term Structure-5.6%-44.0%10.6%5.8%-44.0%
VWIV23.8%17.6%37.4%20.9%17.6%
Skew 25d7.8%-8.7%45.3%5.0%-8.4%
Skew 10d16.7%-29.6%68.7%9.6%-2.0%
Call IV 25d19.8%11.4%25.2%22.6%22.3%
Put IV 25d27.6%13.9%56.7%27.6%13.9%
Bid-Ask Spread %105.2562.42124.95111.5498.26
Gamma HHI0.520.410.680.550.54
Net GEX-18.2K-101.9K78.8K-86.0K-72.9K
Net DEX-959.5K-2.2M792.8K792.8K-1.7M
Net VEX-9.6K-11.0K-7.5K-8.2K-11.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.250.0561.830.221.47
Total Volume166.8261352013989
Total OI3,558.7832,8044,0543,2624,054

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-03-01$29.64$30.0021.8%6.3%26.0%4.1%20.9%5.0%5.8%-86.0K792.8K-8.2K0.22111.54114251,7421,520
2021-03-02$29.80$30.0025.1%7.2%25.3%8.2%25.1%7.0%0.7%-81.1K642.5K-8.8K2.21106.7043951,7751,540
2021-03-03$30.06$30.0019.1%5.5%25.0%0.6%21.8%4.9%4.0%-101.9K577.4K-7.5K0.85122.0768581,7891,624
2021-03-04$30.66$30.0024.4%10.8%25.6%7.4%37.4%16.6%-23.3%-83.6K-83.1K-11.0K2.35113.78511201,8031,679
2021-03-05$31.70$30.0015.2%8.3%27.7%0.0%24.6%5.2%-12.0%8.1K-1.1M-8.8K2.78124.95551531,8261,719
2021-03-08$32.14$30.0029.1%7.6%28.1%17.0%26.3%4.7%4.1%18.4K-1.0M-10.1K0.27108.9564171,8411,746
2021-03-09$31.91$30.0032.7%7.2%28.0%21.4%0.0%-7.1%-8.2%-693-951.6K-10.1K0.09118.525351,8511,744
2021-03-10$32.09$30.0018.2%5.2%28.0%3.8%0.0%-5.9%-0.7%15.8K-1.1M-10.0K2.25116.00491,8921,749
2021-03-11$31.52$30.0024.6%7.1%27.6%11.7%25.0%3.6%-0.0%-32.2K-708.5K-9.1K0.08110.493931,8911,747
2021-03-12$31.76$30.0022.5%6.5%27.7%9.1%22.9%-8.7%0.6%-6.5K-891.0K-10.0K0.05114.694021,9211,749
2021-03-15$32.81$30.0019.1%5.5%29.9%4.9%20.3%5.9%3.1%75.7K-1.7M-9.7K3.44109.94702411,9481,749
2021-03-16$32.95$30.0021.6%6.2%29.9%8.0%21.6%4.5%-3.3%78.8K-1.4M-9.5K0.39113.841871,9721,587
2021-03-17$32.50$30.0029.4%8.4%30.4%17.6%28.1%8.8%-14.0%59.8K-1.6M-9.3K0.23103.23158371,9871,584
2021-03-18$32.49$30.0028.5%8.2%30.4%16.6%25.0%9.5%-1.7%42.0K-1.6M-9.4K61.83103.1463712,0011,600
2021-03-19$32.51$30.0023.5%6.7%30.4%11.2%25.6%13.4%8.1%-8.8K-1.3M-10.4K5.58105.66794412,0011,969
2021-03-22$32.02$30.0026.5%7.6%29.5%15.2%26.5%6.8%-17.4%-51.7K-277.0K-10.0K0.0788.258661,2341,570
2021-03-23$31.86$30.0017.8%5.1%29.4%3.5%18.0%11.9%7.6%-82.4K-274.5K-8.2K0.96106.451531471,2811,574
2021-03-24$32.06$30.0020.0%5.7%29.3%6.5%20.0%12.6%-4.1%-66.8K-918.8K-9.4K1.77102.621733061,4701,746
2021-03-25$32.30$30.0021.7%6.2%21.7%8.8%21.2%6.0%-3.8%-47.0K-1.6M-8.8K0.89102.101161031,6171,988
2021-03-26$32.27$30.0037.2%10.7%21.5%29.7%0.0%-0.1%-31.1%-56.3K-1.8M-10.7K0.00104.320381,7152,089
2021-03-29$32.81$30.0018.9%5.4%22.0%5.0%0.0%45.3%10.6%38.5K-2.2M-9.7K1.7562.4251891,7152,209
2021-03-30$32.38$30.0017.4%5.0%22.9%3.1%17.6%38.0%-8.8%22.5K-1.8M-10.1K3.8672.787271,7552,289
2021-03-31$32.33$30.0034.3%9.8%22.9%25.7%0.0%-8.4%-44.0%-72.9K-1.7M-11.0K1.4798.2636531,7632,291