OGE Options History — September 2014

In September 2014, OGE traded between $35.50 and $37.69. ATM implied volatility averaged 18.6%, placing in the 21.7% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 4.3% (HV 20d: 14.3%). 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 8 of 21 days. Put/call ratio averaged 1.86.

Notable Days

2014-09-17: Highest Volume — 128 contracts
2014-09-10: Largest IV spike — 26.6% change
2014-09-10: Highest IV Rank — 36.0%
2014-09-04: Largest Expected Move — 5.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$36.69	$35.50	$37.69	$37.03	$37.11
Max Pain	$35.00	$35.00	$35.00	$35.00	$35.00
ATM IV	18.6%	11.0%	24.3%	11.0%	23.2%
Expected Move	5.2%	5.0%	5.3%	5.2%	5.1%
HV 20d	14.3%	10.8%	17.4%	13.5%	16.4%
HV 60d	14.4%	13.9%	15.4%	14.0%	14.8%
IV Rank	21.7%	3.0%	36.0%	3.0%	33.4%
IV Percentile	25.6%	0.8%	66.7%	0.8%	55.6%
Term Structure	-0.9%	-11.3%	8.0%	8.0%	-11.3%
VWIV	17.8%	17.7%	17.9%	17.7%	17.7%
Skew 25d	0.7%	-5.8%	7.0%	-3.3%	-4.2%
Skew 10d	4.5%	-6.3%	11.0%	-5.6%	2.2%
Call IV 25d	17.2%	13.7%	21.4%	15.8%	21.4%
Put IV 25d	18.0%	11.7%	24.6%	12.5%	17.2%
Bid-Ask Spread %	83.97	73.13	89.61	73.13	87.90
Gamma HHI	0.60	0.44	0.85	0.70	0.51
Net GEX	24.4K	11.4K	45.6K	15.6K	31.7K
Net DEX	-534.6K	-746.3K	-198.2K	-623.9K	-483.5K
Net VEX	-3.0K	-3.5K	-2.6K	-3.3K	-2.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.86	0.00	20.00	0.79	2.50
Total Volume	22	0	128	50	7
Total OI	1,236.857	664	1,548	1,480	690

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
2014-09-02	$37.03	$35.00	11.0%	5.2%	13.5%	3.0%	0.0%	-3.3%	8.0%	15.6K	-623.9K	-3.3K	0.79	73.13	28	22	995	485
2014-09-03	$37.28	$35.00	12.7%	5.2%	12.7%	7.1%	0.0%	-4.5%	2.9%	19.8K	-650.7K	-3.3K	0.00	79.37	6	0	1,000	489
2014-09-04	$37.48	$35.00	15.6%	5.3%	11.1%	14.4%	0.0%	2.9%	5.4%	33.3K	-691.3K	-3.3K	0.00	79.32	4	0	1,000	489
2014-09-05	$37.69	$35.00	17.2%	5.1%	10.8%	18.2%	0.0%	0.8%	1.1%	45.6K	-746.3K	-3.4K	0.00	74.68	5	0	1,000	489
2014-09-08	$37.32	$35.00	21.0%	5.3%	11.6%	27.9%	0.0%	5.8%	-1.8%	31.1K	-633.2K	-3.4K	1.28	86.28	18	23	1,000	489
2014-09-09	$36.93	$35.00	19.2%	5.1%	12.5%	23.2%	0.0%	-4.4%	-6.1%	16.6K	-645.7K	-3.1K	0.00	88.57	28	0	1,013	506
2014-09-10	$36.74	$35.00	24.3%	5.2%	12.7%	36.0%	0.0%	1.8%	-1.2%	18.5K	-562.9K	-3.5K	0.00	85.73	12	0	1,038	499
2014-09-11	$36.99	$35.00	19.9%	5.2%	12.7%	25.2%	0.0%	3.5%	-2.4%	23.1K	-702.8K	-2.9K	20.00	86.58	1	20	1,040	499
2014-09-12	$36.22	$35.00	18.5%	5.2%	15.0%	21.6%	0.0%	3.0%	-1.1%	11.9K	-449.9K	-3.3K	0.52	85.81	31	16	1,040	495
2014-09-15	$36.30	$35.00	18.9%	5.2%	14.8%	22.6%	0.0%	2.9%	-1.4%	18.6K	-619.6K	-3.0K	0.00	83.90	0	0	1,052	496
2014-09-16	$36.47	$35.00	19.3%	5.2%	14.8%	23.6%	0.0%	2.9%	-1.3%	20.2K	-658.2K	-3.1K	0.00	82.83	0	12	1,052	496
2014-09-17	$36.26	$35.00	18.2%	5.2%	13.9%	20.8%	0.0%	1.5%	-1.0%	21.2K	-627.2K	-2.9K	2.20	87.55	40	88	1,052	486
2014-09-18	$35.95	$35.00	17.8%	5.2%	13.9%	20.0%	0.0%	-0.5%	-2.8%	11.4K	-485.7K	-2.9K	0.00	84.89	4	0	1,036	482
2014-09-19	$36.26	$35.00	19.9%	5.2%	14.3%	25.0%	17.7%	2.7%	-2.3%	22.8K	-571.2K	-2.8K	0.19	82.52	21	4	1,037	482
2014-09-22	$35.78	$35.00	17.1%	5.1%	15.0%	18.2%	17.8%	-0.6%	1.2%	27.4K	-254.5K	-2.8K	0.00	84.02	5	0	420	244
2014-09-23	$35.50	$35.00	17.0%	5.1%	15.0%	17.8%	0.0%	-2.8%	0.5%	26.8K	-198.2K	-2.6K	0.00	82.76	0	2	423	244
2014-09-24	$36.36	$35.00	20.6%	5.0%	17.4%	27.0%	0.0%	0.8%	-2.2%	27.9K	-323.2K	-2.8K	6.00	89.61	2	12	423	246
2014-09-25	$36.83	$35.00	18.3%	5.0%	17.4%	21.0%	0.0%	-5.8%	-5.9%	28.4K	-398.6K	-2.8K	0.00	87.18	38	0	421	254
2014-09-26	$36.95	$35.00	19.0%	5.1%	17.3%	22.9%	0.0%	5.7%	2.6%	29.7K	-435.2K	-2.8K	0.00	84.40	11	0	429	254
2014-09-29	$37.10	$35.00	21.0%	5.1%	17.1%	27.9%	17.9%	7.0%	0.9%	32.0K	-463.9K	-2.7K	0.00	86.41	2	0	435	254
2014-09-30	$37.11	$35.00	23.2%	5.1%	16.4%	33.4%	17.7%	-4.2%	-11.3%	31.7K	-483.5K	-2.8K	2.50	87.90	2	5	436	254