OGE Options History — May 2014

In May 2014, OGE traded between $35.22 and $36.95. ATM implied volatility averaged 18.8%, placing in the 8.4% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 3.9% (HV 20d: 14.9%). 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 19 of 21 days. Put/call ratio averaged 0.74.

Notable Days

2014-05-20: Highest Volume — 1,271 contracts
2014-05-12: Largest IV spike — 59.3% change
2014-05-13: Highest IV Rank — 15.3%
2014-05-02: Largest Expected Move — 6.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$36.11	$35.22	$36.95	$36.95	$36.73
Max Pain	$35.00	$35.00	$35.00	$35.00	$35.00
ATM IV	18.8%	14.5%	23.9%	14.5%	19.4%
Expected Move	5.5%	4.2%	6.2%	4.2%	5.6%
HV 20d	14.9%	13.7%	16.5%	15.0%	14.8%
HV 60d	13.6%	13.0%	14.0%	13.3%	13.5%
IV Rank	8.4%	4.9%	15.3%	6.0%	7.4%
IV Percentile	17.1%	4.0%	52.4%	6.0%	15.9%
Term Structure	1.0%	-2.9%	7.0%	7.0%	-1.6%
VWIV	18.9%	13.9%	23.7%	13.9%	19.5%
Skew 25d	0.1%	-8.1%	14.4%	0.9%	1.8%
Skew 10d	3.1%	-12.6%	29.9%	-0.4%	29.5%
Call IV 25d	19.6%	15.3%	25.9%	15.5%	17.7%
Put IV 25d	19.7%	16.4%	32.0%	16.4%	19.5%
Bid-Ask Spread %	89.28	80.72	99.55	91.24	99.55
Gamma HHI	0.61	0.47	0.80	0.49	0.72
Net GEX	254.6K	89.6K	327.9K	203.0K	277.2K
Net DEX	-3.1M	-4.9M	-501.8K	-3.0M	-4.9M
Net VEX	-9.8K	-14.0K	-6.2K	-8.3K	-12.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.74	0.00	7.29	0.00	0.00
Total Volume	198.857	6	1,271	178	6
Total OI	2,855.667	2,054	3,507	2,285	3,507

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
2014-05-01	$36.95	$35.00	14.5%	4.2%	15.0%	6.0%	13.9%	0.9%	7.0%	203.0K	-3.0M	-8.3K	0.00	91.24	178	0	1,932	353
2014-05-02	$36.30	$35.00	21.6%	6.2%	16.3%	13.0%	23.7%	-3.0%	-2.9%	258.7K	-2.9M	-8.7K	0.00	93.21	316	0	2,078	353
2014-05-05	$36.56	$35.00	18.5%	6.0%	16.5%	9.9%	21.0%	0.9%	0.8%	253.7K	-3.2M	-8.3K	1.18	88.65	85	100	2,108	353
2014-05-06	$36.18	$35.00	20.5%	5.8%	14.6%	11.9%	20.3%	-0.7%	1.5%	276.7K	-3.1M	-8.7K	2.08	90.60	36	75	2,193	448
2014-05-07	$36.53	$35.00	18.7%	6.2%	14.0%	10.2%	21.5%	3.9%	0.3%	249.9K	-3.4M	-9.1K	7.29	88.60	7	51	2,229	523
2014-05-08	$36.70	$35.00	17.1%	5.9%	13.7%	8.5%	20.5%	0.7%	1.1%	199.8K	-3.7M	-8.7K	0.08	90.86	303	25	2,230	569
2014-05-09	$36.15	$35.00	14.5%	5.8%	14.7%	5.9%	0.0%	5.2%	1.2%	213.0K	-2.8M	-8.5K	0.05	93.83	198	10	2,095	592
2014-05-12	$35.90	$35.00	23.0%	5.8%	14.7%	14.4%	0.0%	-2.4%	1.4%	251.5K	-2.2M	-8.2K	0.19	89.71	113	21	2,072	597
2014-05-13	$35.91	$35.00	23.9%	5.7%	14.7%	15.3%	0.0%	-4.3%	1.2%	263.5K	-2.4M	-8.2K	0.00	81.77	13	0	2,110	618
2014-05-14	$36.05	$35.00	22.5%	5.7%	14.2%	13.9%	0.0%	-2.5%	1.3%	208.9K	-2.7M	-7.7K	0.00	90.87	89	0	2,112	613
2014-05-15	$35.73	$35.00	19.8%	5.7%	14.4%	7.9%	19.8%	-5.6%	1.3%	284.1K	-2.2M	-7.6K	0.04	81.61	271	10	2,076	610
2014-05-16	$35.64	$35.00	19.8%	5.7%	14.2%	7.9%	19.7%	14.4%	1.5%	327.9K	-2.7M	-7.6K	0.02	85.22	529	10	2,226	620
2014-05-19	$35.22	$35.00	19.8%	5.7%	14.6%	7.8%	19.8%	-8.1%	0.9%	89.6K	-501.8K	-6.8K	0.29	80.72	34	10	1,543	511
2014-05-20	$35.26	$35.00	16.9%	4.9%	13.8%	4.9%	16.9%	-1.3%	0.8%	95.9K	-504.7K	-6.2K	0.03	85.57	1,240	31	1,569	511
2014-05-21	$35.35	$35.00	17.0%	4.9%	13.9%	5.0%	17.0%	-1.1%	0.8%	314.9K	-2.9M	-13.8K	0.12	84.94	168	20	2,767	542
2014-05-22	$36.00	$35.00	17.1%	4.9%	15.5%	5.1%	17.1%	0.4%	0.7%	320.9K	-3.8M	-14.0K	0.16	86.83	129	21	2,837	562
2014-05-23	$35.87	$35.00	17.1%	4.9%	15.5%	5.0%	17.1%	1.1%	0.7%	325.3K	-3.8M	-13.9K	3.80	94.98	5	19	2,871	582
2014-05-27	$36.17	$35.00	17.6%	5.0%	15.8%	5.6%	17.6%	0.1%	0.4%	318.7K	-4.3M	-13.2K	0.17	89.15	6	1	2,876	601
2014-05-28	$36.56	$35.00	17.6%	5.0%	16.0%	5.5%	17.7%	0.9%	0.9%	305.7K	-4.7M	-12.6K	0.00	93.13	22	0	2,881	602
2014-05-29	$36.57	$35.00	17.9%	5.1%	15.1%	5.9%	18.1%	0.9%	0.7%	307.0K	-4.8M	-12.6K	0.00	93.95	24	0	2,895	602
2014-05-30	$36.73	$35.00	19.4%	5.6%	14.8%	7.4%	19.5%	1.8%	-1.6%	277.2K	-4.9M	-12.2K	0.00	99.55	6	0	2,905	602