OGE Options History — August 2014

In August 2014, OGE traded between $34.99 and $37.52. ATM implied volatility averaged 18.0%, placing in the 16.0% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 2.8% (HV 20d: 15.2%). 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 0.22.

Notable Days

2014-08-01: Highest Volume — 110 contracts
2014-08-29: Largest IV spike — 38.9% change
2014-08-11: Highest IV Rank — 26.1%
2014-08-08: Largest Expected Move — 5.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$36.17	$34.99	$37.52	$36.07	$37.52
Max Pain	$35.00	$35.00	$35.00	$35.00	$35.00
ATM IV	18.0%	11.9%	23.9%	21.4%	17.2%
Expected Move	5.3%	5.0%	5.6%	5.3%	5.0%
HV 20d	15.2%	12.2%	16.6%	14.4%	12.4%
HV 60d	13.6%	13.2%	13.8%	13.6%	13.7%
IV Rank	16.0%	5.2%	26.1%	11.6%	18.4%
IV Percentile	17.8%	1.2%	53.6%	31.3%	12.3%
Term Structure	1.4%	-2.5%	7.5%	-2.5%	1.2%
VWIV	18.4%	17.7%	19.1%	19.1%	17.7%
Skew 25d	1.1%	-5.3%	14.7%	-1.1%	2.3%
Skew 10d	7.3%	-7.1%	38.1%	0.7%	1.3%
Call IV 25d	17.7%	13.8%	23.5%	22.7%	13.8%
Put IV 25d	18.7%	11.1%	30.9%	21.5%	16.1%
Bid-Ask Spread %	73.96	71.25	77.51	73.51	76.59
Gamma HHI	0.58	0.40	0.85	0.61	0.85
Net GEX	22.8K	3.2K	44.8K	35.1K	42.2K
Net DEX	-294.2K	-679.2K	89.3K	-292.0K	-679.2K
Net VEX	-4.6K	-5.7K	-3.5K	-5.6K	-3.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.22	0.00	1.00	0.67	0.00
Total Volume	13.952	0	110	110	11
Total OI	1,452.19	1,386	1,470	1,386	1,470

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
2014-08-01	$36.07	$35.00	21.4%	5.3%	14.4%	11.6%	0.0%	-1.1%	-2.5%	35.1K	-292.0K	-5.6K	0.67	73.51	66	44	942	444
2014-08-04	$36.07	$35.00	23.9%	5.3%	14.4%	14.2%	0.0%	9.5%	-0.6%	34.3K	-266.2K	-5.7K	0.17	72.67	12	2	973	488
2014-08-05	$35.65	$35.00	23.1%	5.3%	14.6%	13.3%	0.0%	-2.7%	-0.9%	22.4K	-138.8K	-5.5K	1.00	72.05	1	1	971	490
2014-08-06	$35.13	$35.00	22.9%	5.3%	15.2%	13.2%	0.0%	-4.1%	-0.2%	9.0K	31.6K	-5.1K	0.00	71.88	7	0	972	491
2014-08-07	$34.99	$35.00	18.8%	5.6%	14.9%	9.0%	0.0%	-4.6%	0.7%	3.2K	89.3K	-5.0K	0.67	72.26	18	12	972	491
2014-08-08	$35.30	$35.00	18.7%	5.6%	15.5%	22.2%	0.0%	0.5%	0.9%	9.6K	-14.0K	-5.0K	0.00	71.25	4	0	972	485
2014-08-11	$35.48	$35.00	20.3%	5.5%	15.7%	26.1%	19.1%	0.3%	0.8%	10.9K	-73.4K	-5.0K	0.00	71.77	6	0	972	485
2014-08-12	$35.53	$35.00	14.3%	5.4%	15.6%	11.2%	0.0%	0.9%	0.6%	8.5K	-63.9K	-4.8K	0.00	71.90	2	0	973	485
2014-08-13	$35.81	$35.00	18.0%	5.4%	16.0%	20.3%	0.0%	14.7%	1.3%	13.0K	-146.4K	-4.8K	0.00	72.91	0	5	975	485
2014-08-14	$35.81	$35.00	17.8%	5.3%	16.0%	19.9%	0.0%	2.4%	0.6%	14.7K	-165.3K	-4.6K	0.00	74.88	0	0	955	481
2014-08-15	$36.08	$35.00	17.4%	5.4%	15.0%	18.9%	0.0%	2.3%	1.3%	20.9K	-262.8K	-4.6K	0.00	74.52	15	0	955	481
2014-08-18	$35.91	$35.00	17.1%	5.3%	15.1%	18.0%	0.0%	1.0%	1.3%	16.3K	-240.2K	-4.3K	0.00	74.80	5	0	963	475
2014-08-19	$36.46	$35.00	17.5%	5.3%	16.3%	19.1%	0.0%	1.9%	1.4%	30.8K	-387.9K	-4.4K	1.00	72.94	1	1	968	475
2014-08-20	$36.72	$35.00	18.0%	5.3%	16.6%	20.2%	0.0%	2.4%	0.9%	43.5K	-510.8K	-4.4K	0.00	73.31	0	10	967	476
2014-08-21	$36.75	$35.00	17.6%	5.2%	16.6%	19.4%	0.0%	2.3%	1.2%	42.6K	-485.3K	-4.4K	0.00	75.84	7	0	967	486
2014-08-22	$36.72	$35.00	18.0%	5.2%	16.0%	20.3%	0.0%	2.5%	2.8%	44.8K	-522.4K	-4.4K	0.00	75.42	0	0	972	486
2014-08-25	$36.88	$35.00	17.8%	5.2%	15.2%	19.7%	0.0%	-3.6%	2.3%	15.4K	-444.1K	-3.8K	0.00	77.51	6	0	972	486
2014-08-26	$36.56	$35.00	13.6%	5.2%	15.4%	9.2%	0.0%	-5.3%	1.7%	27.3K	-470.7K	-3.8K	0.17	74.50	6	1	977	486
2014-08-27	$37.02	$35.00	11.9%	5.3%	15.3%	5.2%	0.0%	-0.1%	7.4%	14.9K	-549.1K	-3.5K	0.00	75.50	38	0	981	486
2014-08-28	$37.21	$35.00	12.4%	5.2%	12.2%	6.3%	17.7%	0.9%	7.5%	20.0K	-587.3K	-3.5K	0.09	77.20	11	1	979	486
2014-08-29	$37.52	$35.00	17.2%	5.0%	12.4%	18.4%	0.0%	2.3%	1.2%	42.2K	-679.2K	-3.6K	0.00	76.59	11	0	985	485