OGE Options History — November 2021

In November 2021, OGE traded between $33.95 and $35.47. ATM implied volatility averaged 21.7%, placing in the 19.1% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 6.7% (HV 20d: 15.0%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.60.

Notable Days

  • 2021-11-22: Highest Volume — 352 contracts
  • 2021-11-08: Largest IV spike — 141.5% change
  • 2021-11-08: Highest IV Rank — 52.6%
  • 2021-11-19: Largest Expected Move — 11.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.70$33.95$35.47$34.74$34.54
Max Pain$34.29$30.00$35.00$35.00$35.00
ATM IV21.7%16.6%43.5%18.6%22.2%
Expected Move5.9%4.9%11.0%5.3%6.4%
HV 20d15.0%13.5%17.6%15.0%17.6%
HV 60d15.4%14.9%16.7%14.9%16.7%
IV Rank19.1%11.2%52.6%14.3%19.8%
IV Percentile35.6%11.1%95.6%21.0%52.4%
Term Structure-0.2%-14.9%29.5%-0.6%-1.3%
VWIV20.9%17.0%33.4%18.6%22.9%
Skew 25d33.5%0.9%155.2%30.7%11.5%
Skew 10d53.1%0.3%222.5%45.3%16.5%
Call IV 25d19.2%14.8%26.3%18.5%22.2%
Put IV 25d52.7%18.7%174.8%49.2%33.7%
Bid-Ask Spread %96.1384.85106.2185.4693.70
Gamma HHI0.750.620.920.740.63
Net GEX266.8K169.5K838.9K214.0K169.5K
Net DEX-1.8M-2.6M-1.0M-1.8M-1.7M
Net VEX-8.6K-11.2K-6.2K-9.2K-11.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.600.112.450.270.49
Total Volume175.9527935223479
Total OI3,790.1432,7414,2033,8623,180

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-11-01$34.74$35.0018.6%5.3%15.0%14.3%18.6%30.7%-0.6%214.0K-1.8M-9.2K0.2785.46184501,7872,075
2021-11-02$34.53$35.0019.9%5.7%14.5%16.3%19.9%1.7%-1.6%210.2K-1.7M-9.4K0.4996.64114561,8782,075
2021-11-03$34.63$35.0019.5%5.6%14.5%15.7%19.5%155.2%-1.1%222.9K-1.8M-9.2K0.5496.89104561,8782,073
2021-11-04$34.17$30.0018.5%5.9%15.5%14.1%19.6%2.9%-3.2%192.0K-1.3M-8.3K0.78100.4672561,8962,073
2021-11-05$34.56$30.0018.0%5.0%15.0%13.4%21.3%2.2%0.8%245.2K-1.8M-8.6K0.7584.8575561,9022,073
2021-11-08$33.95$30.0043.5%5.1%16.1%52.6%17.9%8.7%1.7%183.5K-1.1M-8.3K1.1588.421421641,9072,073
2021-11-09$34.10$35.0016.6%5.4%15.8%11.2%19.0%7.8%-1.7%191.2K-1.0M-8.1K2.4595.86671641,9702,200
2021-11-10$34.21$35.0019.2%5.5%15.3%15.3%20.6%7.7%0.3%213.4K-1.3M-9.4K0.5196.8694481,9702,201
2021-11-11$34.35$35.0018.4%5.3%13.9%13.9%20.6%8.5%0.8%248.9K-1.3M-8.9K0.6896.7671481,9662,197
2021-11-12$34.45$35.0018.7%5.4%13.9%14.5%20.0%8.7%0.3%231.9K-1.5M-8.8K0.2889.89174491,9732,197
2021-11-15$34.83$35.0020.3%5.8%13.7%16.9%20.5%101.5%-3.1%310.0K-1.9M-8.1K0.5397.0586461,9972,197
2021-11-16$35.02$35.0033.1%9.5%13.7%36.6%31.5%105.4%-11.7%379.3K-2.1M-8.1K0.4790.6877362,0052,196
2021-11-17$34.83$35.0017.1%4.9%13.5%12.0%17.2%7.3%1.9%450.8K-1.9M-8.4K0.40102.5791362,0062,197
2021-11-18$34.50$35.0018.5%5.3%13.9%14.1%18.8%1.5%29.5%302.7K-1.4M-8.0K0.5392.0385451,9972,197
2021-11-19$35.14$35.0038.4%11.0%14.5%44.7%33.4%34.2%-14.9%838.9K-2.6M-7.4K0.2096.80150301,9902,207
2021-11-22$35.46$35.0017.0%4.9%14.8%11.8%17.0%4.1%-3.6%204.3K-2.2M-6.2K0.11100.19316361,6491,092
2021-11-23$35.47$35.0017.3%5.0%14.7%12.3%17.7%76.2%2.2%207.3K-2.4M-9.0K0.18106.21165291,8791,092
2021-11-24$35.42$35.0017.7%5.1%14.7%12.9%17.7%4.4%0.8%208.4K-2.4M-8.4K0.36102.38183651,9891,083
2021-11-26$34.69$35.0021.0%6.0%16.7%18.0%21.1%0.9%2.6%183.1K-1.6M-8.7K0.20102.66152312,0221,114
2021-11-29$35.16$35.0023.1%6.6%17.3%21.2%23.3%122.4%-1.8%195.9K-2.0M-8.3K1.17102.4252612,0211,119
2021-11-30$34.54$35.0022.2%6.4%17.6%19.8%22.9%11.5%-1.3%169.5K-1.7M-11.2K0.4993.7053262,0251,155