OGE Options History — June 2014

In June 2014, OGE traded between $36.24 and $39.08. ATM implied volatility averaged 17.1%, placing in the 4.2% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 5.7% (HV 20d: 11.5%). 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 17 of 21 days. Put/call ratio averaged 0.29.

Notable Days

2014-06-19: Highest Volume — 1,055 contracts
2014-06-30: Largest IV spike — 38.7% change
2014-06-06: Highest IV Rank — 9.8%
2014-06-02: Largest Expected Move — 6.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$37.17	$36.24	$39.08	$36.63	$39.08
Max Pain	$35.00	$35.00	$35.00	$35.00	$35.00
ATM IV	17.1%	9.8%	21.7%	21.3%	13.7%
Expected Move	4.8%	2.8%	6.1%	6.1%	3.9%
HV 20d	11.5%	10.1%	13.4%	13.4%	10.7%
HV 60d	13.4%	12.9%	13.7%	13.5%	13.7%
IV Rank	4.2%	0.0%	9.8%	9.4%	3.8%
IV Percentile	9.5%	0.0%	31.3%	27.4%	1.2%
Term Structure	1.8%	-8.4%	7.6%	-2.9%	3.4%
VWIV	18.8%	11.2%	34.7%	20.4%	34.7%
Skew 25d	4.5%	-4.5%	42.4%	1.8%	42.4%
Skew 10d	10.8%	0.4%	58.8%	26.3%	58.8%
Call IV 25d	15.3%	11.3%	21.5%	19.4%	21.5%
Put IV 25d	19.8%	12.0%	63.9%	21.1%	63.9%
Bid-Ask Spread %	98.20	82.24	107.07	95.81	99.62
Gamma HHI	0.66	0.49	0.89	0.63	0.89
Net GEX	220.7K	79.9K	322.9K	321.5K	79.9K
Net DEX	-4.3M	-5.5M	-2.7M	-4.9M	-3.5M
Net VEX	-9.0K	-12.2K	-6.0K	-12.2K	-6.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.29	0.00	2.50	0.41	2.50
Total Volume	82.714	0	1,055	31	21
Total OI	2,901	1,516	3,537	3,507	1,655

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
2014-06-02	$36.63	$35.00	21.3%	6.1%	13.4%	9.4%	20.4%	1.8%	-2.9%	321.5K	-4.9M	-12.2K	0.41	95.81	22	9	2,905	602
2014-06-03	$36.55	$35.00	21.1%	6.1%	13.2%	9.2%	21.0%	6.2%	-2.7%	322.9K	-4.9M	-12.1K	0.08	82.24	126	10	2,926	611
2014-06-04	$36.58	$35.00	16.8%	4.8%	12.6%	4.8%	11.2%	5.2%	7.6%	310.1K	-4.6M	-12.1K	0.00	89.93	28	0	2,855	620
2014-06-05	$36.90	$35.00	19.8%	5.7%	12.5%	7.8%	13.7%	8.3%	5.4%	270.4K	-4.8M	-11.3K	0.00	98.73	15	0	2,857	620
2014-06-06	$36.93	$35.00	21.7%	4.9%	12.4%	9.8%	17.2%	3.9%	2.0%	266.0K	-5.0M	-10.7K	0.40	96.14	10	4	2,859	620
2014-06-09	$36.74	$35.00	20.7%	5.2%	11.2%	8.8%	18.1%	4.0%	1.2%	270.1K	-4.9M	-10.4K	0.00	94.50	72	0	2,857	616
2014-06-10	$36.54	$35.00	17.2%	5.1%	11.1%	2.8%	17.8%	3.0%	1.5%	286.4K	-4.6M	-10.6K	0.00	95.03	31	0	2,846	616
2014-06-11	$36.24	$35.00	17.3%	5.0%	11.6%	3.0%	0.0%	2.5%	1.3%	317.3K	-4.4M	-10.5K	0.00	93.97	55	0	2,840	616
2014-06-12	$36.27	$35.00	18.7%	5.4%	11.5%	4.5%	0.0%	3.4%	0.0%	291.6K	-4.4M	-10.2K	0.00	93.96	0	0	2,823	616
2014-06-13	$36.31	$35.00	17.7%	5.1%	11.0%	3.5%	17.7%	2.6%	0.9%	297.6K	-4.6M	-9.8K	0.00	93.49	10	0	2,823	616
2014-06-16	$36.80	$35.00	18.3%	5.3%	11.8%	4.1%	0.0%	3.3%	0.9%	237.8K	-5.1M	-8.8K	0.00	96.43	30	0	2,823	616
2014-06-17	$36.58	$35.00	17.9%	5.1%	11.0%	3.7%	17.9%	2.2%	0.9%	255.6K	-5.0M	-8.8K	0.00	97.22	1	0	2,808	616
2014-06-18	$37.05	$35.00	18.3%	5.2%	11.7%	4.0%	18.5%	3.3%	0.0%	209.8K	-5.3M	-8.2K	0.00	100.32	7	0	2,809	616
2014-06-19	$37.49	$35.00	17.1%	4.9%	12.1%	2.7%	22.1%	-1.3%	-3.3%	192.7K	-5.5M	-8.0K	0.00	104.66	1,055	0	2,800	616
2014-06-20	$37.42	$35.00	19.6%	5.6%	10.8%	5.4%	13.2%	-4.5%	-8.4%	125.9K	-3.9M	-7.3K	0.03	104.14	31	1	2,347	616
2014-06-23	$37.56	$35.00	14.2%	4.1%	10.6%	0.0%	0.0%	-2.3%	4.2%	125.6K	-2.7M	-6.7K	0.25	103.96	40	10	1,216	300
2014-06-24	$37.83	$35.00	15.2%	4.4%	10.5%	1.0%	0.0%	1.6%	5.9%	120.2K	-2.9M	-6.4K	0.00	106.22	8	0	1,250	310
2014-06-25	$38.01	$35.00	13.1%	3.7%	10.1%	0.0%	0.0%	2.1%	6.0%	111.5K	-3.0M	-6.2K	1.33	107.07	15	20	1,251	310
2014-06-26	$38.36	$35.00	10.7%	3.1%	10.4%	0.0%	19.2%	2.1%	6.5%	95.6K	-3.2M	-6.2K	0.21	104.42	48	10	1,266	325
2014-06-27	$38.67	$35.00	9.8%	2.8%	10.6%	0.0%	34.7%	4.2%	7.0%	125.9K	-3.1M	-7.2K	0.66	104.32	29	19	1,292	335
2014-06-30	$39.08	$35.00	13.7%	3.9%	10.7%	3.8%	0.0%	42.4%	3.4%	79.9K	-3.5M	-6.0K	2.50	99.62	6	15	1,301	354