OGE Options History — December 2021

In December 2021, OGE traded between $34.77 and $38.54. ATM implied volatility averaged 32.7%, placing in the 36.0% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 12.9% (HV 20d: 19.8%). 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 11 of 22 days. Put/call ratio averaged 0.92.

Notable Days

  • 2021-12-17: Highest Volume — 490 contracts
  • 2021-12-09: Largest IV spike — 162.4% change
  • 2021-12-13: Highest IV Rank — 90.5%
  • 2021-12-03: Largest Expected Move — 19.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.75$34.77$38.54$34.77$38.54
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV32.7%15.6%68.1%22.5%18.5%
Expected Move7.5%4.5%19.3%6.4%5.3%
HV 20d19.8%16.7%22.2%17.7%16.7%
HV 60d17.2%16.5%17.8%16.6%16.5%
IV Rank36.0%9.7%90.5%20.3%14.2%
IV Percentile63.1%8.3%99.6%54.8%24.6%
Term Structure-0.8%-32.0%15.4%2.2%7.1%
VWIV28.0%15.6%71.3%23.2%30.0%
Skew 25d29.6%1.9%130.3%13.5%42.8%
Skew 10d67.6%-20.9%217.8%20.7%70.2%
Call IV 25d23.9%11.1%119.4%21.0%29.3%
Put IV 25d53.5%20.5%225.4%34.5%72.1%
Bid-Ask Spread %95.4326.43114.3393.4226.43
Gamma HHI0.560.430.720.610.61
Net GEX144.5K65.8K219.4K187.0K170.4K
Net DEX-2.7M-4.1M-1.5M-1.6M-2.3M
Net VEX-9.1K-11.9K-7.1K-10.2K-7.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.920.431.410.940.73
Total Volume236.955136490136194
Total OI2,767.7271,7513,4193,2271,960

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-12-01$34.77$35.0022.5%6.4%17.7%20.3%23.2%13.5%2.2%187.0K-1.6M-10.2K0.9493.4270662,0221,205
2021-12-02$35.31$35.0029.2%8.4%18.4%30.6%29.2%130.3%-1.3%173.9K-2.3M-11.9K0.50114.33127632,0481,205
2021-12-03$35.74$35.0067.4%19.3%18.0%89.4%71.3%106.1%-32.0%171.3K-4.1M-9.0K0.64110.9199632,0831,205
2021-12-06$36.68$35.0055.3%7.4%19.7%70.7%26.4%4.5%-0.8%196.4K-3.3M-10.3K0.6898.53121822,0891,202
2021-12-07$35.99$35.0028.5%6.3%19.9%29.5%23.4%50.5%2.0%219.4K-3.0M-9.9K1.13112.081061202,0731,252
2021-12-08$36.19$35.0023.6%7.4%19.9%22.0%27.0%13.1%-2.2%175.0K-3.1M-9.6K1.17109.311121312,1061,261
2021-12-09$35.88$35.0061.9%7.8%20.3%80.9%27.8%24.8%-8.5%65.8K-3.7M-8.3K1.33106.36781042,1061,259
2021-12-10$35.87$35.0042.0%7.3%20.3%50.4%30.3%59.1%-2.3%166.8K-3.7M-8.8K1.02107.611021042,1071,260
2021-12-13$36.64$35.0068.1%8.1%21.4%90.5%25.9%11.2%-14.1%166.0K-3.1M-8.9K1.17105.20891042,1561,260
2021-12-14$36.34$35.0047.5%7.2%21.5%58.8%25.1%18.6%4.2%186.4K-3.3M-9.4K1.41109.55741042,1281,261
2021-12-15$37.00$35.0040.4%11.6%22.2%47.8%42.3%66.2%15.4%138.8K-4.0M-10.4K1.09112.701001092,1341,261
2021-12-16$37.07$35.0029.0%8.3%22.0%30.4%29.1%29.2%10.7%179.1K-3.8M-8.2K1.01104.501141152,1131,291
2021-12-17$37.00$35.0032.4%9.3%21.6%35.5%33.0%15.2%-17.2%90.9K-4.1M-8.1K0.60105.293061842,1281,291
2021-12-20$36.84$35.0019.8%5.7%21.0%16.1%23.3%1.9%3.5%113.5K-1.5M-7.6K1.19100.981702021,280471
2021-12-21$36.89$35.0018.3%5.2%20.9%13.8%15.6%9.3%5.5%83.1K-1.6M-9.7K0.98100.011551521,336583
2021-12-22$37.11$35.0020.0%5.7%20.9%16.4%17.9%12.4%4.5%90.7K-1.7M-10.0K0.8186.681611311,343604
2021-12-23$37.15$35.0020.3%5.8%20.9%17.0%20.4%6.5%-1.4%92.5K-1.7M-9.2K0.82102.411601311,348604
2021-12-27$37.37$35.0022.3%6.4%19.0%20.1%22.2%6.6%-2.8%100.2K-1.8M-9.2K0.93102.651411311,354604
2021-12-28$37.78$35.0020.7%5.9%18.9%17.5%36.4%6.6%-0.0%123.8K-2.1M-8.5K1.0343.841271311,363604
2021-12-29$38.10$35.0015.6%4.5%17.2%9.7%17.2%10.7%4.4%144.8K-2.2M-8.1K0.43107.21142611,367605
2021-12-30$38.32$35.0016.7%4.8%17.1%11.3%18.7%13.1%5.5%142.0K-2.1M-7.7K0.5339.48116611,352606
2021-12-31$38.54$35.0018.5%5.3%16.7%14.2%30.0%42.8%7.1%170.4K-2.3M-7.1K0.7326.43112821,354606