OGE Options History — February 2014

In February 2014, OGE traded between $33.18 and $36.37. ATM implied volatility averaged 24.7%, placing in the 16.2% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 8.9% (HV 20d: 15.8%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 0.07.

Notable Days

2014-02-07: Highest Volume — 793 contracts
2014-02-13: Largest IV spike — 15.4% change
2014-02-03: Highest IV Rank — 18.8%
2014-02-03: Largest Expected Move — 7.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$35.10	$33.18	$36.37	$33.30	$36.00
Max Pain	$35.00	$35.00	$35.00	$35.00	$35.00
ATM IV	24.7%	20.8%	27.3%	27.3%	23.2%
Expected Move	7.2%	6.7%	7.8%	7.8%	6.7%
HV 20d	15.8%	14.8%	17.1%	15.7%	15.8%
HV 60d	19.3%	14.0%	21.1%	20.8%	14.0%
IV Rank	16.2%	12.4%	18.8%	18.8%	14.6%
IV Percentile	68.4%	42.5%	86.5%	86.5%	54.4%
Term Structure	0.0%	-1.2%	1.1%	-0.7%	1.1%
VWIV	25.1%	23.2%	27.5%	27.5%	23.2%
Skew 25d	2.1%	-5.8%	6.9%	-4.3%	5.9%
Skew 10d	4.7%	-9.3%	12.3%	2.5%	12.3%
Call IV 25d	22.3%	18.3%	27.5%	27.5%	19.0%
Put IV 25d	24.3%	20.1%	27.6%	23.2%	25.0%
Bid-Ask Spread %	93.00	87.85	97.29	96.88	90.12
Gamma HHI	0.80	0.73	0.85	0.80	0.81
Net GEX	608.2K	385.6K	724.5K	385.6K	724.5K
Net DEX	-7.1M	-10.3M	-2.9M	-3.5M	-9.1M
Net VEX	-20.5K	-23.3K	-16.2K	-17.1K	-19.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.07	0.00	0.33	0.00	0.05
Total Volume	223.632	11	793	76	199
Total OI	5,210.105	4,504	5,568	4,504	5,360

Daily Data (19 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
2014-02-03	$33.30	$35.00	27.3%	7.8%	15.7%	18.8%	27.5%	-4.3%	-0.7%	385.6K	-3.5M	-17.1K	0.00	96.88	76	0	4,274	230
2014-02-04	$33.18	$35.00	27.0%	7.7%	15.5%	18.5%	25.9%	-3.9%	-0.9%	401.3K	-2.9M	-16.2K	0.02	97.29	492	10	4,345	230
2014-02-05	$33.32	$35.00	26.2%	7.5%	15.4%	17.7%	0.0%	-3.3%	-0.1%	420.4K	-3.3M	-17.4K	0.00	97.17	209	0	4,392	235
2014-02-06	$33.72	$35.00	26.6%	7.6%	15.6%	18.1%	26.6%	-0.9%	0.1%	432.7K	-4.1M	-19.0K	0.33	95.49	114	38	4,418	235
2014-02-07	$34.22	$35.00	22.7%	6.9%	16.2%	14.2%	23.9%	5.9%	1.0%	525.8K	-4.7M	-20.0K	0.18	89.73	673	120	4,506	268
2014-02-10	$34.36	$35.00	22.8%	7.2%	15.6%	14.4%	25.0%	-2.3%	-0.0%	575.7K	-5.2M	-21.6K	0.10	95.10	99	10	4,860	384
2014-02-11	$34.76	$35.00	21.9%	7.1%	14.9%	13.4%	24.6%	0.2%	0.0%	631.9K	-6.2M	-22.8K	0.00	94.05	268	0	4,947	384
2014-02-12	$34.87	$35.00	20.8%	6.8%	14.8%	12.4%	23.8%	-5.8%	0.9%	668.6K	-6.2M	-22.4K	0.02	89.05	150	3	4,956	384
2014-02-13	$35.17	$35.00	24.1%	6.9%	15.0%	15.6%	24.1%	1.8%	0.7%	698.3K	-7.0M	-23.3K	0.24	93.91	17	4	5,077	387
2014-02-14	$35.69	$35.00	25.0%	7.2%	15.7%	16.5%	25.0%	4.3%	-1.1%	689.5K	-8.3M	-23.2K	0.08	93.93	88	7	5,087	383
2014-02-18	$35.97	$35.00	24.8%	7.1%	15.7%	16.3%	24.8%	5.1%	-0.1%	699.5K	-9.2M	-22.3K	0.00	94.12	87	0	5,153	390
2014-02-19	$35.58	$35.00	26.1%	7.5%	16.3%	17.6%	26.1%	4.3%	-0.5%	716.9K	-8.4M	-22.1K	0.03	94.62	297	10	5,139	390
2014-02-20	$36.17	$35.00	26.5%	7.6%	17.1%	18.0%	26.5%	6.6%	-1.2%	640.0K	-9.7M	-21.5K	0.04	94.23	119	5	5,153	381
2014-02-21	$36.37	$35.00	25.5%	7.3%	16.9%	17.0%	25.6%	-0.1%	-0.1%	625.6K	-10.3M	-20.8K	0.15	90.26	124	19	5,187	381
2014-02-24	$35.97	$35.00	26.1%	7.5%	16.0%	17.6%	26.0%	5.8%	0.5%	660.8K	-9.0M	-21.1K	0.00	94.98	389	0	5,074	298
2014-02-25	$36.22	$35.00	24.6%	7.1%	16.0%	16.2%	24.6%	6.9%	0.8%	667.4K	-9.5M	-20.0K	0.03	87.85	379	12	5,082	298
2014-02-26	$36.04	$35.00	24.3%	7.0%	16.3%	15.8%	24.3%	6.3%	0.1%	687.4K	-9.1M	-20.2K	0.02	88.60	216	4	5,054	310
2014-02-27	$36.00	$35.00	24.1%	6.9%	16.1%	15.6%	24.1%	6.6%	0.3%	704.5K	-8.9M	-19.6K	0.00	89.69	11	0	5,046	314
2014-02-28	$36.00	$35.00	23.2%	6.7%	15.8%	14.6%	23.2%	5.9%	1.1%	724.5K	-9.1M	-19.2K	0.05	90.12	189	10	5,046	314