OGE Options History — July 2014

In July 2014, OGE traded between $35.95 and $39.08. ATM implied volatility averaged 17.3%, placing in the 7.5% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 4.1% (HV 20d: 13.2%). Max pain ranged from $35.00 to $45.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.33.

Notable Days

2014-07-07: Highest Volume — 1,121 contracts
2014-07-18: Largest IV drop — 42.9% change
2014-07-09: Highest IV Rank — 12.1%
2014-07-14: Largest Expected Move — 5.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$37.52	$35.95	$39.08	$39.08	$35.95
Max Pain	$37.25	$35.00	$45.00	$35.00	$40.00
ATM IV	17.3%	11.7%	21.8%	14.4%	20.2%
Expected Move	5.1%	3.4%	5.9%	4.1%	5.2%
HV 20d	13.2%	10.6%	14.3%	10.6%	14.3%
HV 60d	13.1%	12.7%	13.7%	13.6%	13.7%
IV Rank	7.5%	1.9%	12.1%	4.6%	10.4%
IV Percentile	12.0%	0.8%	31.7%	2.0%	23.4%
Term Structure	0.3%	-9.2%	6.6%	2.7%	-1.7%
VWIV	20.5%	17.6%	31.1%	31.1%	18.1%
Skew 25d	0.6%	-4.9%	7.9%	3.6%	-0.7%
Skew 10d	3.2%	-0.8%	12.2%	-0.8%	6.6%
Call IV 25d	16.5%	11.9%	20.9%	15.7%	20.9%
Put IV 25d	17.1%	13.2%	21.0%	19.3%	20.2%
Bid-Ask Spread %	88.21	70.53	105.46	100.58	70.53
Gamma HHI	0.75	0.49	0.88	0.88	0.62
Net GEX	67.7K	30.7K	125.5K	79.8K	30.7K
Net DEX	-1.2M	-3.5M	-252.0K	-3.5M	-252.0K
Net VEX	-5.6K	-7.3K	-4.9K	-6.1K	-4.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.33	0.00	1.10	0.00	1.10
Total Volume	69.909	0	1,121	10	128
Total OI	1,245.227	1,089	1,679	1,672	1,269

Daily Data (22 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
2014-07-01	$39.08	$35.00	14.4%	4.1%	10.6%	4.6%	0.0%	3.6%	2.7%	79.8K	-3.5M	-6.1K	0.00	100.58	10	0	1,303	369
2014-07-02	$38.31	$35.00	13.2%	3.8%	13.4%	3.4%	31.1%	-0.8%	4.2%	125.5K	-2.9M	-7.3K	0.30	99.14	10	3	1,310	369
2014-07-03	$38.06	$35.00	15.9%	4.5%	13.6%	6.0%	0.0%	1.9%	2.5%	110.6K	-3.0M	-6.7K	0.00	105.46	10	0	1,310	369
2014-07-07	$37.99	$40.00	18.4%	5.3%	13.6%	8.6%	19.1%	0.4%	-0.6%	97.3K	-3.0M	-5.8K	0.00	96.96	1,120	1	1,303	369
2014-07-08	$37.65	$35.00	19.7%	5.3%	13.9%	9.9%	18.5%	0.4%	-0.4%	56.6K	-818.5K	-5.8K	0.20	95.76	5	1	721	370
2014-07-09	$37.46	$35.00	21.8%	5.6%	13.9%	12.1%	0.0%	-0.8%	-1.7%	53.1K	-747.5K	-5.6K	0.00	98.52	1	0	721	371
2014-07-10	$37.67	$35.00	17.9%	5.1%	13.5%	8.1%	21.1%	5.1%	1.3%	56.4K	-799.0K	-5.7K	1.00	95.80	8	8	722	371
2014-07-11	$37.42	$35.00	19.8%	5.7%	13.8%	10.0%	0.0%	-1.1%	-2.4%	52.4K	-734.0K	-5.7K	0.00	98.19	10	0	727	379
2014-07-14	$37.31	$35.00	20.6%	5.9%	13.9%	10.8%	0.0%	-1.4%	-3.2%	53.4K	-740.5K	-5.7K	0.00	96.40	0	2	737	379
2014-07-15	$37.47	$35.00	16.5%	4.7%	13.3%	6.7%	0.0%	7.9%	6.6%	56.0K	-743.6K	-5.6K	0.00	101.47	1	0	737	379
2014-07-16	$37.37	$35.00	20.1%	5.8%	13.1%	10.3%	0.0%	4.5%	-0.8%	54.9K	-719.0K	-5.4K	0.00	100.72	5	0	738	379
2014-07-17	$37.15	$35.00	20.5%	5.9%	12.5%	10.7%	0.0%	2.6%	-3.3%	52.9K	-696.0K	-5.3K	0.00	101.13	0	0	734	364
2014-07-18	$37.73	$35.00	11.7%	3.4%	13.0%	1.9%	0.0%	1.5%	5.2%	64.7K	-803.4K	-5.2K	0.00	105.28	0	23	734	364
2014-07-21	$37.64	$0.00	12.3%	5.0%	13.1%	2.5%	0.0%	0.9%	4.9%	60.6K	-742.4K	-5.3K	0.00	70.60	0	0	732	357
2014-07-22	$37.65	$0.00	12.2%	5.0%	13.0%	2.3%	17.9%	-0.1%	4.5%	62.7K	-781.7K	-5.2K	0.00	71.20	4	0	732	357
2014-07-23	$37.51	$45.00	14.0%	5.1%	12.8%	4.1%	17.6%	-0.8%	3.9%	60.3K	-720.3K	-5.1K	0.00	71.13	145	0	736	357
2014-07-24	$37.42	$40.00	18.3%	5.2%	12.6%	8.5%	0.0%	-1.3%	-3.9%	77.1K	-774.4K	-5.7K	0.00	73.81	0	0	877	357
2014-07-25	$36.97	$40.00	16.3%	5.2%	12.7%	6.5%	0.0%	-3.7%	-1.8%	64.6K	-645.0K	-5.4K	1.00	71.01	10	10	877	357
2014-07-28	$37.51	$40.00	18.5%	5.1%	13.5%	8.7%	0.0%	1.7%	2.8%	79.6K	-776.2K	-5.6K	0.00	71.06	1	0	884	366
2014-07-29	$37.37	$40.00	20.9%	5.2%	12.8%	11.1%	0.0%	-1.8%	-9.2%	79.3K	-802.1K	-5.6K	1.00	72.86	5	5	883	366
2014-07-30	$36.85	$40.00	18.0%	5.2%	13.4%	8.2%	0.0%	-4.9%	-3.6%	60.8K	-595.8K	-5.4K	1.00	72.97	6	6	888	371
2014-07-31	$35.95	$40.00	20.2%	5.2%	14.3%	10.4%	18.1%	-0.7%	-1.7%	30.7K	-252.0K	-4.9K	1.10	70.53	61	67	892	377