OGE Options History — January 2014

In January 2014, OGE traded between $33.36 and $34.38. ATM implied volatility averaged 23.6%, placing in the 15.2% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 10.4% (HV 20d: 13.2%). 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 21 of 21 days. Put/call ratio averaged 0.03.

Notable Days

2014-01-14: Highest Volume — 526 contracts
2014-01-10: Largest IV spike — 50.4% change
2014-01-15: Highest IV Rank — 22.0%
2014-01-07: Largest Expected Move — 8.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$33.81	$33.36	$34.38	$33.41	$34.07
Max Pain	$34.05	$30.00	$35.00	$30.00	$35.00
ATM IV	23.6%	16.5%	30.6%	24.5%	24.4%
Expected Move	7.3%	5.6%	8.5%	7.0%	7.0%
HV 20d	13.2%	12.2%	14.3%	13.0%	13.2%
HV 60d	20.4%	20.2%	20.6%	20.6%	20.4%
IV Rank	15.2%	8.1%	22.0%	16.0%	15.9%
IV Percentile	60.0%	28.2%	88.5%	61.9%	64.3%
Term Structure	1.6%	0.0%	10.0%	1.5%	1.1%
VWIV	26.7%	24.0%	34.0%	34.0%	24.5%
Skew 25d	-0.4%	-5.5%	6.4%	-4.7%	-1.0%
Skew 10d	3.7%	-3.1%	10.4%	0.7%	-1.9%
Call IV 25d	24.7%	21.0%	28.5%	28.5%	25.0%
Put IV 25d	24.3%	16.7%	32.8%	23.7%	24.0%
Bid-Ask Spread %	94.12	70.13	103.77	103.77	95.94
Gamma HHI	0.67	0.55	0.82	0.55	0.75
Net GEX	317.9K	193.1K	454.4K	197.6K	454.4K
Net DEX	-3.5M	-4.5M	-2.5M	-2.6M	-4.5M
Net VEX	-17.8K	-20.1K	-15.1K	-15.4K	-20.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.03	0.00	0.28	0.00	0.00
Total Volume	201.667	36	526	78	49
Total OI	4,223.619	3,724	4,727	3,724	4,481

Daily Data (21 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
2014-01-02	$33.41	$30.00	24.5%	7.0%	13.0%	16.0%	34.0%	-4.7%	1.5%	197.6K	-2.6M	-15.4K	0.00	103.77	78	0	3,584	140
2014-01-03	$33.36	$30.00	19.5%	5.6%	12.9%	11.1%	0.0%	-4.3%	10.0%	193.1K	-2.5M	-15.1K	0.00	99.95	151	0	3,628	140
2014-01-06	$33.59	$35.00	25.9%	8.1%	13.0%	17.4%	29.0%	6.4%	1.8%	210.2K	-2.7M	-15.4K	0.00	93.43	83	0	3,743	140
2014-01-07	$33.78	$35.00	21.4%	8.5%	13.0%	12.9%	0.0%	-5.5%	2.1%	223.7K	-2.7M	-15.1K	0.00	99.19	61	0	3,785	140
2014-01-08	$33.42	$35.00	17.4%	7.9%	13.3%	8.9%	30.0%	3.7%	1.1%	223.6K	-2.6M	-15.3K	0.14	89.28	433	60	3,779	140
2014-01-09	$33.67	$30.00	16.5%	7.8%	13.7%	8.1%	0.0%	4.3%	0.8%	234.8K	-2.8M	-16.2K	0.00	89.96	516	0	3,840	200
2014-01-10	$34.11	$30.00	24.8%	7.4%	12.5%	16.3%	25.9%	4.9%	1.9%	301.2K	-3.9M	-19.1K	0.28	90.79	54	15	4,264	200
2014-01-13	$33.58	$35.00	19.9%	7.7%	13.8%	11.5%	27.0%	2.1%	1.5%	262.4K	-3.0M	-17.0K	0.01	92.96	169	2	4,101	215
2014-01-14	$33.80	$35.00	21.7%	7.5%	13.9%	13.2%	0.0%	3.6%	2.0%	277.7K	-3.2M	-17.5K	0.00	91.98	526	0	4,151	217
2014-01-15	$33.84	$35.00	30.6%	7.6%	13.5%	22.0%	0.0%	3.4%	1.7%	299.3K	-3.5M	-18.4K	0.00	91.70	41	0	4,316	217
2014-01-16	$33.87	$35.00	26.5%	7.6%	13.2%	18.0%	26.5%	4.3%	0.8%	307.2K	-3.5M	-18.3K	0.06	70.13	148	9	4,356	217
2014-01-17	$34.11	$35.00	25.8%	7.4%	13.3%	17.3%	25.8%	-3.7%	1.2%	340.2K	-4.0M	-19.2K	0.04	95.46	285	11	4,501	226
2014-01-21	$34.36	$35.00	25.7%	7.4%	12.9%	17.2%	25.7%	-2.0%	1.5%	341.1K	-4.2M	-19.2K	0.00	94.91	433	0	3,622	223
2014-01-22	$34.38	$35.00	25.0%	7.2%	12.2%	16.5%	25.0%	-1.3%	1.1%	374.9K	-4.4M	-19.5K	0.03	96.82	218	7	3,755	223
2014-01-23	$34.22	$35.00	24.3%	7.0%	12.3%	15.8%	0.0%	-1.9%	0.0%	397.6K	-4.3M	-19.6K	0.00	94.87	73	0	3,967	230
2014-01-24	$33.63	$35.00	24.3%	7.0%	13.6%	15.8%	0.0%	-4.1%	0.4%	361.5K	-3.5M	-17.8K	0.00	95.89	317	0	3,926	230
2014-01-27	$33.67	$35.00	24.4%	7.0%	13.4%	15.9%	24.4%	-3.3%	1.0%	418.1K	-3.7M	-18.3K	0.00	96.97	78	0	4,138	230
2014-01-28	$33.69	$35.00	24.8%	7.1%	13.4%	16.3%	24.7%	-3.5%	1.0%	403.4K	-3.9M	-19.3K	0.00	97.61	202	0	4,213	230
2014-01-29	$33.55	$35.00	25.1%	7.2%	13.5%	16.6%	0.0%	-3.7%	0.5%	420.4K	-3.5M	-18.4K	0.00	97.82	180	0	4,276	230
2014-01-30	$33.99	$35.00	24.0%	6.9%	14.3%	15.5%	24.0%	-1.4%	1.4%	434.2K	-4.3M	-19.2K	0.00	97.11	36	0	4,252	230
2014-01-31	$34.07	$35.00	24.4%	7.0%	13.2%	15.9%	24.5%	-1.0%	1.1%	454.4K	-4.5M	-20.1K	0.00	95.94	49	0	4,251	230