OGE Options History — April 2014

In April 2014, OGE traded between $35.45 and $37.33. ATM implied volatility averaged 23.1%, placing in the 14.4% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 9.6% (HV 20d: 13.5%). 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 5 of 21 days. Put/call ratio averaged 0.29.

Notable Days

2014-04-17: Highest Volume — 1,109 contracts
2014-04-25: Largest IV spike — 28.9% change
2014-04-28: Highest IV Rank — 17.7%
2014-04-28: Largest Expected Move — 7.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$36.58	$35.45	$37.33	$36.71	$37.33
Max Pain	$35.00	$35.00	$35.00	$35.00	$35.00
ATM IV	23.1%	18.4%	26.4%	23.3%	23.9%
Expected Move	6.7%	5.3%	7.6%	6.7%	6.8%
HV 20d	13.5%	10.7%	14.9%	10.8%	14.7%
HV 60d	13.9%	13.1%	14.4%	13.6%	13.1%
IV Rank	14.4%	9.9%	17.7%	14.6%	15.2%
IV Percentile	47.6%	15.5%	82.5%	48.4%	51.2%
Term Structure	-0.6%	-5.8%	7.7%	0.9%	-0.6%
VWIV	23.3%	13.7%	28.5%	23.4%	23.8%
Skew 25d	-0.4%	-4.8%	6.2%	2.7%	-3.5%
Skew 10d	2.2%	-3.2%	8.1%	4.4%	0.6%
Call IV 25d	23.5%	17.8%	27.2%	20.4%	25.8%
Put IV 25d	23.1%	21.6%	24.4%	23.1%	22.4%
Bid-Ask Spread %	92.08	82.05	101.82	91.73	87.61
Gamma HHI	0.58	0.49	0.77	0.58	0.50
Net GEX	287.8K	139.2K	543.0K	325.0K	209.3K
Net DEX	-4.3M	-6.7M	-1.5M	-5.1M	-3.1M
Net VEX	-10.4K	-12.6K	-8.7K	-12.0K	-9.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.29	0.00	1.01	0.08	0.09
Total Volume	179.095	3	1,109	95	86
Total OI	2,842	1,852	3,629	3,023	2,258

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
2014-04-01	$36.71	$35.00	23.3%	6.7%	10.8%	14.6%	23.4%	2.7%	0.9%	325.0K	-5.1M	-12.0K	0.08	91.73	88	7	2,672	351
2014-04-02	$36.49	$35.00	23.7%	6.8%	10.7%	15.1%	23.7%	2.0%	0.6%	359.4K	-5.0M	-12.6K	0.24	90.84	67	16	2,754	356
2014-04-03	$36.43	$35.00	21.6%	6.2%	10.7%	13.0%	21.7%	0.0%	2.0%	390.6K	-5.4M	-12.5K	0.00	97.83	82	0	2,797	372
2014-04-04	$36.28	$35.00	20.8%	6.7%	10.9%	12.2%	23.4%	-1.7%	-0.7%	428.7K	-5.3M	-11.6K	0.00	88.43	163	0	2,875	372
2014-04-07	$35.45	$35.00	21.2%	6.9%	13.9%	12.6%	23.7%	2.4%	-1.0%	543.0K	-3.9M	-12.1K	0.72	93.40	108	78	2,875	372
2014-04-08	$35.98	$35.00	21.4%	6.9%	14.8%	12.8%	23.3%	-0.4%	-0.9%	454.5K	-4.9M	-11.1K	0.45	88.92	49	22	2,831	450
2014-04-09	$36.33	$35.00	24.4%	7.1%	14.9%	15.8%	24.2%	0.7%	-1.8%	408.5K	-5.5M	-11.8K	0.71	89.70	14	10	2,879	472
2014-04-10	$36.13	$35.00	24.0%	6.9%	14.5%	15.4%	0.0%	6.2%	-1.0%	440.7K	-5.2M	-11.5K	0.04	93.89	187	7	2,893	482
2014-04-11	$36.32	$35.00	23.2%	6.6%	14.5%	14.6%	22.7%	-0.2%	-0.3%	420.0K	-5.7M	-11.5K	0.27	90.89	217	58	2,905	489
2014-04-14	$36.24	$35.00	23.9%	6.8%	13.9%	15.3%	23.9%	-1.1%	-0.9%	282.4K	-5.7M	-8.9K	1.01	82.05	211	214	2,829	545
2014-04-15	$36.63	$35.00	23.8%	6.8%	14.5%	15.2%	23.8%	0.4%	-1.4%	207.6K	-6.7M	-9.6K	1.01	90.69	191	193	2,985	644
2014-04-16	$36.76	$35.00	24.2%	6.9%	13.5%	15.5%	24.1%	0.4%	-1.5%	153.3K	-6.6M	-9.1K	0.02	90.13	112	2	2,893	671
2014-04-17	$36.45	$35.00	22.2%	6.4%	13.7%	13.6%	22.2%	-2.3%	0.5%	210.9K	-6.4M	-9.6K	0.00	91.86	1,107	2	2,900	661
2014-04-21	$36.47	$35.00	23.6%	6.8%	13.7%	15.0%	23.6%	-2.2%	-0.9%	139.2K	-1.5M	-8.7K	0.00	93.36	0	3	1,539	313
2014-04-22	$36.90	$35.00	24.4%	7.0%	14.3%	15.8%	24.6%	-0.5%	-2.0%	148.5K	-1.7M	-8.8K	0.01	92.85	110	1	1,539	316
2014-04-23	$36.93	$35.00	23.1%	6.6%	14.1%	14.5%	23.0%	-1.4%	-0.5%	163.4K	-2.1M	-9.0K	0.00	93.92	115	0	1,623	317
2014-04-24	$37.13	$35.00	18.4%	5.3%	13.9%	9.9%	13.7%	1.2%	7.7%	182.9K	-2.4M	-9.6K	0.40	94.20	43	17	1,733	317
2014-04-25	$37.12	$35.00	23.8%	6.8%	13.9%	15.1%	24.6%	-2.6%	-2.2%	187.7K	-2.6M	-9.6K	0.85	101.82	20	17	1,765	331
2014-04-28	$37.20	$35.00	26.4%	7.6%	13.7%	17.7%	28.5%	-3.5%	-5.8%	188.4K	-2.6M	-9.4K	0.00	95.94	78	0	1,768	346
2014-04-29	$36.82	$35.00	23.1%	6.6%	13.9%	14.4%	24.1%	-4.8%	-2.2%	199.3K	-2.6M	-9.2K	0.00	93.59	66	0	1,846	346
2014-04-30	$37.33	$35.00	23.9%	6.8%	14.7%	15.2%	23.8%	-3.5%	-0.6%	209.3K	-3.1M	-9.3K	0.09	87.61	79	7	1,912	346