OGE Options History — September 2021

In September 2021, OGE traded between $33.07 and $35.91. ATM implied volatility averaged 21.4%, placing in the 15.0% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 7.5% (HV 20d: 13.9%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 1.93.

Notable Days

  • 2021-09-28: Highest Volume — 1,027 contracts
  • 2021-09-28: Largest IV spike — 78.8% change
  • 2021-09-28: Highest IV Rank — 34.1%
  • 2021-09-28: Largest Expected Move — 10.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.41$33.07$35.91$35.66$33.11
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV21.4%13.1%36.6%20.0%13.6%
Expected Move5.9%3.8%10.5%5.7%3.9%
HV 20d13.9%11.1%15.7%12.8%15.3%
HV 60d16.4%15.7%17.0%16.9%16.2%
IV Rank15.0%4.7%34.1%13.3%5.4%
IV Percentile32.5%3.2%85.7%27.0%4.4%
Term Structure1.2%-8.6%11.9%7.1%11.9%
VWIV21.1%12.5%49.5%19.9%13.7%
Skew 25d46.7%-14.5%138.2%5.7%138.2%
Skew 10d74.0%-4.4%195.6%15.2%195.6%
Call IV 25d23.9%13.1%49.4%17.5%49.4%
Put IV 25d70.5%14.9%187.6%23.2%187.6%
Bid-Ask Spread %89.0839.07111.0488.0377.68
Gamma HHI0.620.450.800.690.50
Net GEX147.4K29.7K304.2K195.0K56.8K
Net DEX-1.7M-4.8M1.8M-4.2M-231.4K
Net VEX-8.7K-11.7K-6.6K-11.7K-7.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.930.0016.600.781.19
Total Volume129.42981,0275792
Total OI3,7711,9524,8134,6293,776

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-09-01$35.66$35.0020.0%5.7%12.8%13.3%19.9%5.7%7.1%195.0K-4.2M-11.7K0.7888.0332252,6461,983
2021-09-02$35.91$35.0019.3%4.6%12.9%12.5%0.0%-0.7%-1.5%304.2K-4.8M-10.1K0.33110.12622,6671,983
2021-09-03$35.72$35.0021.5%5.0%11.1%15.2%0.0%41.9%2.4%214.6K-4.6M-11.3K3.6096.515182,6702,004
2021-09-07$35.24$35.0028.0%6.3%12.2%23.3%21.9%18.0%0.2%200.3K-3.8M-10.3K2.3896.3313312,6672,005
2021-09-08$35.83$35.0022.7%6.5%13.5%16.7%22.0%10.1%-4.0%213.8K-4.7M-10.5K0.81103.2526212,6682,019
2021-09-09$35.66$35.0022.3%6.4%12.9%16.2%0.0%15.7%-0.5%201.0K-4.6M-10.7K16.6071.775832,6692,019
2021-09-10$35.20$35.0022.4%6.4%13.0%16.3%22.4%73.5%-2.8%252.9K-3.3M-10.4K0.1290.224962,6792,030
2021-09-13$35.16$35.0021.6%6.2%12.7%15.3%21.6%48.0%-1.5%221.0K-2.7M-9.3K0.4090.9730122,6792,109
2021-09-14$34.61$35.0019.4%5.6%13.5%12.6%19.4%91.8%0.5%243.5K-927.1K-8.8K0.4391.12116502,6722,120
2021-09-15$34.76$35.0020.0%5.7%13.6%13.3%20.0%91.8%-0.2%303.7K-1.1M-8.1K0.0891.572522,6892,124
2021-09-16$34.18$35.0020.5%5.9%14.6%14.0%23.6%42.9%-3.0%96.6K1.7M-7.7K0.0180.1514012,6372,149
2021-09-17$33.75$35.0021.3%6.1%15.1%14.9%21.3%105.8%-1.6%51.1K1.8M-6.6K0.0593.7013572,6492,149
2021-09-20$33.52$35.0013.1%3.8%14.4%4.7%12.5%108.6%8.0%51.5K-297.5K-6.9K0.45111.0469311,250702
2021-09-21$33.31$35.0018.9%5.4%14.4%11.9%21.4%110.9%1.9%69.5K-396.2K-6.9K0.0092.629001,356704
2021-09-22$33.62$35.0020.6%5.9%15.0%14.1%20.9%-11.3%-1.4%94.1K-577.3K-6.9K10.1892.12333361,406731
2021-09-23$33.69$35.0016.8%4.8%14.4%9.3%16.8%-14.5%1.3%109.0K-716.3K-8.1K0.3691.432281,486731
2021-09-24$33.75$35.0018.9%5.4%14.5%11.9%18.6%60.8%-8.6%77.9K-573.8K-8.5K0.8573.7413111,4961,067
2021-09-27$33.44$35.0020.5%5.9%14.5%13.9%20.7%16.2%0.4%55.4K-441.2K-7.1K0.5039.0726131,5081,075
2021-09-28$33.07$35.0036.6%10.5%14.8%34.1%12.8%12.0%9.4%29.7K-301.1K-8.6K1.42104.394256021,5211,076
2021-09-29$33.44$35.0030.6%8.8%15.7%26.5%49.5%14.7%8.1%53.2K-569.1K-7.8K0.0284.9210521,5431,077
2021-09-30$33.11$35.0013.6%3.9%15.3%5.4%13.7%138.2%11.9%56.8K-231.4K-7.2K1.1977.6842501,9151,861