OGE Options History — September 2013

In September 2013, OGE traded between $34.77 and $36.58. ATM implied volatility averaged 23.8%, placing in the 13.2% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 7.7% (HV 20d: 16.1%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 0.02.

Notable Days

2013-09-19: Highest Volume — 1,573 contracts
2013-09-10: Largest IV drop — 18.9% change
2013-09-03: Highest IV Rank — 16.1%
2013-09-03: Largest Expected Move — 7.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$35.57	$34.77	$36.58	$34.77	$36.09
Max Pain	$35.00	$35.00	$35.00	$35.00	$35.00
ATM IV	23.8%	19.8%	27.2%	27.2%	23.4%
Expected Move	6.9%	5.7%	7.8%	7.8%	6.7%
HV 20d	16.1%	14.0%	17.3%	16.0%	16.6%
HV 60d	17.4%	15.9%	18.6%	18.5%	17.0%
IV Rank	13.2%	9.8%	16.1%	16.1%	12.8%
IV Percentile	47.7%	38.1%	55.2%	55.2%	48.8%
Term Structure	1.5%	-1.8%	6.7%	-1.4%	2.9%
VWIV	24.9%	23.2%	26.8%	26.8%	23.2%
Skew 25d	3.3%	-7.2%	9.6%	8.5%	-7.2%
Skew 10d	5.0%	-5.5%	13.3%	5.7%	-5.5%
Call IV 25d	21.1%	16.9%	32.0%	21.6%	32.0%
Put IV 25d	24.4%	21.5%	30.1%	30.1%	24.8%
Bid-Ask Spread %	112.45	104.63	118.47	116.42	117.83
Gamma HHI	0.74	0.52	0.92	0.80	0.52
Net GEX	1.1M	221.1K	2.3M	1.1M	267.1K
Net DEX	-10.5M	-19.1M	-5.1M	-9.6M	-6.1M
Net VEX	-34.0K	-42.8K	-26.7K	-42.8K	-28.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.02	0.00	0.23	0.01	0.00
Total Volume	174.15	0	1,573	212	120
Total OI	8,198.65	4,582	9,985	9,670	5,020

Daily Data (20 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2013-09-03	$34.77	$35.00	27.2%	7.8%	16.0%	16.1%	0.0%	8.5%	-1.4%	1.1M	-9.6M	-42.8K	0.01	116.42	210	2	7,306	2,364
2013-09-04	$35.16	$35.00	26.8%	7.7%	16.8%	15.7%	26.8%	9.6%	-1.2%	1.2M	-11.4M	-42.4K	0.00	113.41	25	0	7,299	2,366
2013-09-05	$34.81	$35.00	26.8%	7.7%	16.9%	15.7%	0.0%	8.6%	-1.2%	1.2M	-10.4M	-41.7K	0.00	116.56	0	0	7,292	2,366
2013-09-06	$34.86	$0.00	24.6%	7.3%	14.2%	13.9%	0.0%	8.3%	1.3%	1.3M	-10.5M	-40.9K	0.00	110.74	5	0	7,292	2,366
2013-09-09	$34.86	$0.00	27.0%	7.2%	14.3%	15.9%	0.0%	0.1%	1.3%	1.3M	-10.0M	-39.0K	0.00	116.50	122	0	7,293	2,366
2013-09-10	$35.33	$0.00	21.9%	7.3%	15.5%	11.5%	25.6%	2.4%	1.7%	1.9M	-12.0M	-38.0K	0.00	109.70	7	0	7,295	2,366
2013-09-11	$34.99	$35.00	24.3%	7.0%	15.7%	13.6%	0.0%	0.6%	2.4%	1.6M	-10.5M	-37.8K	0.00	107.29	45	0	7,302	2,366
2013-09-12	$34.83	$35.00	23.7%	6.8%	15.4%	13.1%	0.0%	0.4%	0.9%	1.7M	-10.1M	-37.3K	0.00	104.74	56	0	7,347	2,366
2013-09-13	$34.99	$35.00	24.4%	7.0%	14.8%	13.7%	0.0%	1.0%	0.7%	1.9M	-10.8M	-37.1K	0.00	105.42	71	0	7,389	2,366
2013-09-16	$34.98	$35.00	24.5%	7.0%	14.0%	13.8%	0.0%	0.5%	1.2%	2.3M	-10.4M	-35.1K	0.00	115.43	90	0	7,452	2,366
2013-09-17	$35.85	$35.00	23.8%	6.8%	15.8%	13.2%	0.0%	4.5%	1.9%	1.7M	-17.1M	-32.3K	0.00	115.09	16	0	7,502	2,366
2013-09-18	$36.50	$35.00	24.3%	7.0%	16.6%	13.6%	23.9%	7.1%	-1.8%	1.1M	-18.4M	-31.4K	0.00	111.59	115	0	7,518	2,366
2013-09-19	$36.43	$35.00	22.5%	6.4%	16.4%	12.0%	0.0%	6.1%	0.8%	1.2M	-19.1M	-30.0K	0.00	104.63	1,573	0	7,619	2,366
2013-09-20	$36.11	$35.00	20.6%	5.9%	16.6%	10.5%	0.0%	3.7%	4.9%	1.0M	-15.7M	-28.3K	0.00	114.90	398	0	6,475	2,366
2013-09-23	$36.58	$35.00	19.8%	5.7%	17.0%	9.8%	0.0%	5.5%	6.7%	228.3K	-5.9M	-27.1K	0.07	115.88	143	10	3,086	1,570
2013-09-24	$36.24	$35.00	22.9%	6.6%	17.3%	12.4%	0.0%	4.8%	2.1%	221.1K	-5.5M	-26.7K	0.23	106.89	44	10	3,002	1,580
2013-09-25	$35.92	$35.00	22.9%	6.6%	17.2%	12.4%	23.2%	3.4%	1.9%	222.0K	-5.1M	-27.2K	0.01	109.06	172	1	3,026	1,590
2013-09-26	$36.15	$35.00	22.4%	6.4%	17.3%	12.0%	0.0%	3.7%	3.2%	243.1K	-5.4M	-28.3K	0.00	118.47	28	0	3,198	1,591
2013-09-27	$35.98	$35.00	22.4%	6.4%	17.2%	11.9%	0.0%	-6.0%	2.4%	243.5K	-5.5M	-28.3K	0.00	118.47	220	0	3,216	1,591
2013-09-30	$36.09	$35.00	23.4%	6.7%	16.6%	12.8%	0.0%	-7.2%	2.9%	267.1K	-6.1M	-28.8K	0.00	117.83	120	0	3,429	1,591