OGE Options History — June 2021

In June 2021, OGE traded between $33.64 and $35.35. ATM implied volatility averaged 19.0%, placing in the 12.1% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 1.2% (HV 20d: 17.9%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 0.75.

Notable Days

  • 2021-06-30: Highest Volume — 461 contracts
  • 2021-06-25: Largest IV drop — 34.0% change
  • 2021-06-21: Highest IV Rank — 21.2%
  • 2021-06-21: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.35$33.64$35.35$34.14$33.68
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV19.0%11.8%26.3%18.8%11.8%
Expected Move5.4%3.4%7.5%5.4%3.4%
HV 20d17.9%13.4%20.7%20.6%18.5%
HV 60d17.7%16.7%18.4%18.4%18.1%
IV Rank12.1%3.1%21.2%11.9%3.1%
IV Percentile12.9%0.4%35.7%8.7%0.4%
Term Structure1.6%-2.9%8.8%1.1%8.0%
VWIV18.7%10.5%26.5%18.8%10.5%
Skew 25d34.4%-11.9%97.1%88.7%54.3%
Skew 10d49.7%-4.0%143.9%115.2%65.0%
Call IV 25d20.0%10.5%28.8%19.0%10.5%
Put IV 25d54.4%15.5%115.9%107.7%64.8%
Bid-Ask Spread %84.8523.92109.2088.8369.93
Gamma HHI0.760.520.950.880.52
Net GEX498.0K68.2K1.3M461.0K74.1K
Net DEX-2.5M-6.2M-463.8K-2.4M-463.8K
Net VEX-11.2K-13.3K-8.5K-13.0K-8.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.750.002.890.020.02
Total Volume131.7273446155461
Total OI3,709.5452,3854,6554,0482,769

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-06-01$34.14$35.0018.8%5.4%20.6%11.9%18.8%88.7%1.1%461.0K-2.4M-13.0K0.0288.835412,6301,418
2021-06-02$34.03$35.0018.7%5.4%20.6%11.7%18.7%-0.3%-0.4%463.2K-2.2M-12.5K0.1641.363252,6481,419
2021-06-03$34.27$35.0019.3%4.3%20.7%12.4%15.3%36.2%1.8%526.7K-2.8M-12.8K0.01103.6114612,6631,430
2021-06-04$34.27$35.0022.6%5.8%19.9%16.6%20.1%97.1%2.7%433.1K-2.4M-13.0K0.9599.7520192,5921,431
2021-06-07$34.17$35.0020.1%5.6%19.9%13.4%19.4%32.3%0.6%495.9K-2.3M-11.4K0.1097.107272,6001,432
2021-06-08$34.03$35.0017.6%5.6%19.8%10.3%19.5%85.2%-1.1%620.0K-2.5M-11.9K0.0296.6227152,6531,437
2021-06-09$34.48$35.0022.2%6.4%17.2%16.1%22.6%31.5%-1.7%969.8K-3.9M-13.0K0.0292.7812022,8711,442
2021-06-10$34.92$35.0020.9%6.0%17.3%14.4%20.9%94.5%4.3%918.0K-4.1M-13.3K0.0096.514802,9621,443
2021-06-11$35.35$35.0019.3%5.5%15.9%12.4%19.3%66.4%-1.4%731.1K-6.2M-12.7K0.0996.988882,9781,516
2021-06-14$35.27$35.0019.6%5.6%14.9%12.8%19.7%15.1%0.0%985.0K-5.5M-11.9K1.5523.9240623,0411,521
2021-06-15$35.26$35.0019.4%5.6%13.4%12.6%17.4%22.1%-2.6%1.1M-5.3M-10.9K0.0271.789923,0401,529
2021-06-16$34.80$35.0019.8%5.7%13.8%13.0%19.8%1.2%3.2%1.3M-4.1M-12.4K1.04108.5055573,0561,529
2021-06-17$34.67$35.0019.9%5.7%14.0%13.2%19.9%0.9%-0.4%1.2M-2.9M-10.8K0.17102.632953,0761,565
2021-06-18$33.66$35.0019.8%5.7%17.8%13.1%19.8%-8.8%3.8%68.2K-742.4K-10.2K2.1599.7213283,0881,567
2021-06-21$34.32$35.0026.3%7.5%19.1%21.2%26.5%3.1%3.7%80.8K-1.3M-10.0K0.41109.20159651,3851,000
2021-06-22$34.23$35.0017.9%5.1%18.7%10.7%17.9%96.0%-0.1%77.9K-1.1M-11.0K1.98100.44841661,4611,020
2021-06-23$34.02$35.0017.0%4.9%18.6%9.6%16.9%-11.9%3.3%95.0K-825.9K-9.6K2.1590.041122411,4951,125
2021-06-24$33.84$35.0020.5%5.9%17.4%14.0%20.6%30.0%-2.9%68.9K-507.1K-9.2K0.8444.9532271,5161,168
2021-06-25$34.35$35.0013.6%3.9%18.3%5.3%14.1%33.9%8.8%98.2K-913.6K-10.3K0.5943.4422131,5371,169
2021-06-28$34.20$35.0016.4%4.7%18.2%8.8%16.5%-7.4%2.2%98.0K-921.8K-9.2K2.8993.829261,5401,160
2021-06-29$33.64$35.0017.2%4.9%18.5%9.9%16.7%-3.4%3.4%76.7K-607.0K-9.8K1.4394.68791131,5461,142
2021-06-30$33.68$35.0011.8%3.4%18.5%3.1%10.5%54.3%8.0%74.1K-463.8K-8.5K0.0269.9345471,5731,196