OGE Options History — November 2013

In November 2013, OGE traded between $34.42 and $38.35. ATM implied volatility averaged 26.1%, placing in the 16.2% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 9.5% (HV 20d: 16.6%). 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 17 of 20 days. Put/call ratio averaged 0.51.

Notable Days

2013-11-26: Highest Volume — 3,876 contracts
2013-11-05: Largest IV spike — 69.0% change
2013-11-05: Highest IV Rank — 35.4%
2013-11-05: Largest Expected Move — 8.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$37.29	$34.42	$38.35	$37.34	$34.42
Max Pain	$35.00	$35.00	$35.00	$35.00	$35.00
ATM IV	26.1%	19.8%	49.9%	27.7%	26.8%
Expected Move	6.9%	5.9%	8.1%	7.9%	7.7%
HV 20d	16.6%	12.9%	30.6%	14.0%	30.6%
HV 60d	16.3%	14.9%	21.5%	15.4%	21.4%
IV Rank	16.2%	9.7%	35.4%	16.4%	18.3%
IV Percentile	59.8%	38.1%	88.5%	70.2%	73.0%
Term Structure	1.4%	-1.8%	4.6%	2.3%	1.4%
VWIV	25.3%	21.9%	30.8%	29.4%	26.2%
Skew 25d	3.8%	-1.7%	13.3%	13.3%	1.3%
Skew 10d	5.4%	-3.5%	14.9%	12.6%	-3.5%
Call IV 25d	21.9%	16.4%	27.3%	18.4%	27.3%
Put IV 25d	25.7%	19.5%	31.8%	31.8%	28.6%
Bid-Ask Spread %	89.60	72.92	102.62	102.62	75.29
Gamma HHI	0.47	0.41	0.59	0.49	0.48
Net GEX	405.0K	315.6K	553.0K	387.2K	392.0K
Net DEX	-10.1M	-13.1M	-3.1M	-10.3M	-3.1M
Net VEX	-23.5K	-27.7K	-18.3K	-26.7K	-27.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.51	0.00	3.46	0.33	0.00
Total Volume	639.15	1	3,876	4	594
Total OI	6,663.8	5,957	7,738	6,275	7,738

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
2013-11-01	$37.34	$35.00	27.7%	7.9%	14.0%	16.4%	0.0%	13.3%	2.3%	387.2K	-10.3M	-26.7K	0.33	102.62	3	1	4,463	1,812
2013-11-04	$37.37	$35.00	29.5%	7.3%	12.9%	18.0%	29.4%	3.1%	2.0%	393.5K	-10.7M	-25.8K	0.00	86.95	311	0	4,465	1,813
2013-11-05	$36.96	$35.00	49.9%	8.1%	13.0%	35.4%	30.8%	5.4%	0.8%	349.2K	-9.2M	-25.7K	3.25	84.06	333	1,082	4,247	1,813
2013-11-06	$37.97	$35.00	19.8%	6.8%	15.6%	9.7%	24.1%	4.2%	1.4%	350.3K	-11.3M	-21.8K	0.09	90.04	1,374	127	4,283	2,601
2013-11-07	$37.82	$35.00	21.1%	6.9%	15.3%	10.8%	24.9%	3.7%	2.0%	315.6K	-9.7M	-21.3K	0.18	91.04	409	75	3,886	2,476
2013-11-08	$37.79	$35.00	22.8%	6.9%	15.4%	12.3%	24.6%	4.3%	2.1%	372.2K	-10.5M	-22.3K	0.32	88.85	126	40	4,186	2,462
2013-11-11	$37.78	$35.00	27.8%	6.8%	15.4%	16.6%	23.5%	3.9%	1.7%	368.4K	-10.6M	-22.3K	0.00	91.72	152	0	4,236	2,448
2013-11-12	$37.74	$35.00	32.8%	6.6%	14.0%	20.8%	23.6%	4.0%	3.0%	395.6K	-10.8M	-22.3K	3.46	90.39	97	336	4,342	2,448
2013-11-13	$37.81	$35.00	29.6%	6.8%	13.9%	18.1%	25.0%	3.8%	1.8%	385.1K	-11.0M	-22.7K	0.00	92.85	97	0	4,414	2,511
2013-11-14	$38.00	$35.00	24.3%	7.0%	13.0%	13.6%	24.5%	3.8%	1.1%	373.4K	-11.6M	-21.4K	0.00	92.96	366	1	4,398	2,411
2013-11-15	$38.35	$35.00	23.3%	6.7%	13.2%	14.8%	23.0%	3.4%	1.7%	402.0K	-11.9M	-18.3K	0.00	95.02	71	0	4,249	2,412
2013-11-18	$38.05	$35.00	22.2%	6.4%	13.6%	13.8%	21.9%	1.1%	1.3%	388.6K	-11.9M	-18.3K	0.00	93.62	15	0	4,235	1,722
2013-11-19	$37.62	$35.00	22.5%	6.4%	13.9%	14.0%	24.7%	2.6%	-0.2%	428.5K	-11.0M	-19.6K	0.12	92.33	165	20	4,247	1,722
2013-11-20	$37.32	$35.00	23.5%	6.7%	14.1%	15.0%	24.1%	8.4%	4.6%	441.2K	-10.6M	-22.1K	1.14	92.82	624	713	4,396	1,742
2013-11-21	$37.64	$35.00	20.6%	5.9%	14.1%	12.1%	27.9%	3.2%	1.3%	475.3K	-12.3M	-26.2K	0.00	94.18	20	0	5,019	1,837
2013-11-22	$38.15	$35.00	23.3%	6.7%	14.8%	14.8%	25.2%	5.4%	-1.8%	443.5K	-13.1M	-25.4K	0.00	92.38	20	0	5,032	1,837
2013-11-25	$37.92	$35.00	23.4%	6.7%	15.0%	15.0%	0.0%	-1.7%	-1.2%	448.8K	-13.1M	-24.8K	0.00	95.88	0	1	5,046	1,837
2013-11-26	$35.32	$35.00	26.2%	7.5%	29.6%	17.7%	25.6%	1.7%	1.3%	553.0K	-6.7M	-27.7K	0.21	72.92	3,190	686	5,046	1,837
2013-11-27	$34.48	$35.00	25.2%	7.2%	30.6%	16.7%	25.3%	1.6%	1.4%	436.7K	-3.4M	-27.5K	0.51	76.16	1,152	582	5,514	2,093
2013-11-29	$34.42	$35.00	26.8%	7.7%	30.6%	18.3%	26.2%	1.3%	1.4%	392.0K	-3.1M	-27.1K	0.00	75.29	592	2	5,440	2,298