OGE Options History — March 2014

In March 2014, OGE traded between $35.41 and $36.76. ATM implied volatility averaged 23.9%, placing in the 15.2% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 11.1% (HV 20d: 12.8%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.07.

Notable Days

2014-03-20: Highest Volume — 678 contracts
2014-03-13: Largest IV spike — 8.3% change
2014-03-24: Highest IV Rank — 16.2%
2014-03-12: Largest Expected Move — 7.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$35.99	$35.41	$36.76	$35.56	$36.76
Max Pain	$35.00	$35.00	$35.00	$35.00	$35.00
ATM IV	23.9%	22.7%	24.8%	24.0%	23.8%
Expected Move	6.9%	6.5%	7.2%	6.9%	6.8%
HV 20d	12.8%	10.9%	16.7%	16.7%	10.9%
HV 60d	13.9%	13.6%	14.3%	14.3%	13.6%
IV Rank	15.2%	14.1%	16.2%	15.4%	15.1%
IV Percentile	58.3%	48.4%	69.4%	59.5%	53.2%
Term Structure	0.3%	-1.1%	2.0%	0.9%	2.0%
VWIV	24.2%	22.7%	25.1%	24.0%	23.7%
Skew 25d	4.7%	-0.8%	24.7%	5.0%	3.8%
Skew 10d	7.7%	-1.7%	53.3%	9.0%	4.8%
Call IV 25d	20.5%	17.5%	25.0%	21.2%	20.1%
Put IV 25d	25.2%	21.8%	45.5%	26.2%	23.9%
Bid-Ask Spread %	91.76	79.67	98.20	88.87	89.01
Gamma HHI	0.77	0.58	0.90	0.84	0.58
Net GEX	715.2K	273.9K	1.2M	792.3K	319.3K
Net DEX	-8.8M	-14.1M	-3.7M	-8.1M	-5.1M
Net VEX	-14.6K	-18.5K	-11.3K	-18.5K	-12.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.07	0.00	0.51	0.00	0.51
Total Volume	193.286	13	678	83	83
Total OI	4,952.095	2,630	6,388	5,364	2,949

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
2014-03-03	$35.56	$35.00	24.0%	6.9%	16.7%	15.4%	24.0%	5.0%	0.9%	792.3K	-8.1M	-18.5K	0.00	88.87	83	0	5,040	324
2014-03-04	$35.81	$35.00	24.4%	7.0%	13.9%	15.8%	24.5%	6.0%	0.2%	778.9K	-8.7M	-18.1K	0.06	90.05	98	6	5,060	324
2014-03-05	$35.57	$35.00	23.5%	6.7%	14.1%	14.9%	23.5%	1.3%	1.3%	867.9K	-8.1M	-18.0K	0.01	79.67	621	4	5,106	330
2014-03-06	$35.51	$35.00	22.7%	6.5%	14.3%	14.1%	22.7%	24.7%	1.9%	973.2K	-8.3M	-18.1K	0.00	98.20	85	0	5,228	334
2014-03-07	$35.48	$35.00	22.7%	6.8%	13.9%	14.1%	23.9%	2.7%	0.0%	1.0M	-8.3M	-17.8K	0.01	94.64	290	4	5,270	334
2014-03-10	$35.47	$35.00	23.4%	7.0%	13.2%	14.8%	24.5%	2.7%	-0.6%	1.1M	-8.5M	-17.1K	0.03	92.75	263	7	5,324	338
2014-03-11	$35.41	$35.00	22.7%	7.1%	13.2%	14.1%	24.9%	2.2%	-0.8%	1.2M	-8.4M	-17.2K	0.07	93.22	147	10	5,456	345
2014-03-12	$35.69	$35.00	22.9%	7.2%	12.9%	14.2%	25.1%	3.8%	-1.1%	1.2M	-9.8M	-16.6K	0.11	94.62	76	8	5,517	355
2014-03-13	$36.11	$35.00	24.8%	7.1%	13.4%	16.1%	24.7%	-0.8%	-0.2%	984.4K	-11.6M	-15.6K	0.17	88.41	89	15	5,531	363
2014-03-14	$36.29	$35.00	23.4%	6.7%	13.2%	14.8%	23.4%	6.0%	0.6%	967.4K	-11.8M	-15.1K	0.00	94.28	99	0	5,555	375
2014-03-17	$36.70	$35.00	24.8%	7.1%	12.8%	16.2%	24.8%	7.4%	-0.5%	386.5K	-14.1M	-11.3K	0.00	94.48	111	0	5,592	375
2014-03-18	$36.58	$35.00	24.3%	7.0%	12.7%	15.7%	24.4%	0.2%	-0.6%	717.1K	-13.3M	-12.5K	0.00	88.82	135	0	5,647	375
2014-03-19	$36.07	$35.00	23.1%	6.6%	13.1%	14.5%	23.1%	4.8%	0.8%	783.6K	-13.4M	-11.6K	0.00	94.19	333	0	5,693	375
2014-03-20	$35.87	$35.00	24.3%	7.0%	11.9%	15.6%	24.2%	4.3%	-0.1%	858.0K	-13.4M	-11.7K	0.18	93.37	573	105	5,770	375
2014-03-21	$35.98	$35.00	24.1%	6.9%	11.7%	15.5%	24.1%	4.7%	0.5%	573.0K	-13.9M	-12.3K	0.00	94.10	459	0	5,908	480
2014-03-24	$36.06	$35.00	24.8%	7.1%	11.1%	16.2%	24.8%	4.9%	0.3%	273.9K	-3.7M	-12.4K	0.00	94.31	90	0	2,331	299
2014-03-25	$36.29	$35.00	24.7%	7.1%	11.1%	16.1%	24.7%	3.4%	0.4%	284.7K	-4.0M	-12.5K	0.00	86.81	86	0	2,406	299
2014-03-26	$36.03	$35.00	24.6%	7.1%	11.2%	16.0%	24.8%	4.5%	0.2%	303.4K	-4.0M	-12.7K	0.35	94.67	93	33	2,478	299
2014-03-27	$36.14	$35.00	24.0%	6.9%	11.3%	15.4%	24.0%	2.4%	1.2%	325.1K	-4.3M	-13.0K	0.00	87.67	40	0	2,565	332
2014-03-28	$36.39	$35.00	24.0%	6.9%	11.5%	15.4%	24.0%	4.2%	0.9%	330.7K	-4.6M	-12.8K	0.00	94.92	13	0	2,605	332
2014-03-31	$36.76	$35.00	23.8%	6.8%	10.9%	15.1%	23.7%	3.8%	2.0%	319.3K	-5.1M	-12.1K	0.51	89.01	55	28	2,617	332