OGE Options History — November 2014

In November 2014, OGE traded between $35.69 and $37.83. ATM implied volatility averaged 19.7%, placing in the 36.3% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 1.6% (HV 20d: 18.1%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 2.99.

Notable Days

2014-11-06: Highest Volume — 323 contracts
2014-11-12: Largest IV spike — 52.8% change
2014-11-12: Highest IV Rank — 73.5%
2014-11-04: Largest Expected Move — 5.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$36.95	$35.69	$37.83	$37.35	$35.69
Max Pain	$37.89	$35.00	$40.00	$35.00	$40.00
ATM IV	19.7%	15.6%	28.3%	24.2%	18.2%
Expected Move	5.2%	5.0%	5.5%	5.5%	5.3%
HV 20d	18.1%	14.4%	25.1%	24.8%	14.7%
HV 60d	18.7%	18.2%	19.2%	18.2%	19.0%
IV Rank	36.3%	23.0%	73.5%	35.8%	33.3%
IV Percentile	35.8%	9.1%	97.2%	71.4%	27.0%
Term Structure	0.3%	-3.6%	6.5%	0.3%	1.4%
VWIV	18.0%	14.3%	18.8%	18.7%	18.3%
Skew 25d	3.3%	-3.0%	12.2%	7.6%	1.1%
Skew 10d	12.6%	-2.7%	29.6%	29.6%	7.6%
Call IV 25d	16.9%	14.7%	20.5%	19.3%	19.6%
Put IV 25d	20.2%	13.8%	27.8%	26.9%	20.7%
Bid-Ask Spread %	86.83	84.10	93.90	85.95	93.90
Gamma HHI	0.73	0.53	0.93	0.60	0.53
Net GEX	23.6K	-6.1K	41.8K	41.8K	-6.1K
Net DEX	-663.0K	-1.0M	71.9K	-895.6K	71.9K
Net VEX	-2.3K	-2.9K	-1.6K	-2.9K	-2.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.99	1.95	4.96	2.58	3.14
Total Volume	182.789	0	323	215	4
Total OI	964.737	751	1,060	949	871

Daily Data (19 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
2014-11-03	$37.35	$35.00	24.2%	5.5%	24.8%	35.8%	18.7%	7.6%	0.3%	41.8K	-895.6K	-2.9K	2.58	85.95	60	155	577	372
2014-11-04	$37.06	$35.00	20.9%	5.5%	24.8%	27.5%	18.5%	4.7%	0.5%	40.6K	-836.8K	-2.8K	2.58	84.10	60	155	579	372
2014-11-05	$37.45	$35.00	21.4%	5.3%	25.1%	28.8%	18.8%	12.2%	-3.1%	40.9K	-905.0K	-2.6K	2.58	84.82	60	155	579	372
2014-11-06	$37.33	$35.00	15.8%	5.3%	22.4%	23.6%	18.8%	1.6%	-1.6%	37.6K	-902.0K	-2.6K	4.38	84.28	60	263	579	372
2014-11-07	$37.72	$35.00	21.7%	5.1%	22.4%	47.3%	18.1%	4.9%	0.5%	32.3K	-897.4K	-2.7K	4.38	84.97	60	263	577	460
2014-11-10	$37.83	$35.00	18.9%	5.0%	21.1%	36.1%	17.9%	1.7%	0.0%	34.3K	-1.0M	-2.2K	4.96	86.96	53	263	577	460
2014-11-11	$37.75	$35.00	18.5%	5.0%	21.2%	34.5%	17.9%	4.8%	2.4%	40.4K	-881.9K	-2.3K	2.83	86.32	65	184	572	272
2014-11-12	$37.42	$35.00	28.3%	5.0%	15.7%	73.5%	17.8%	2.5%	4.2%	21.8K	-727.1K	-2.5K	2.17	85.79	84	182	580	480
2014-11-13	$36.39	$40.00	17.6%	5.1%	19.1%	30.8%	14.3%	-3.0%	0.0%	9.7K	-605.0K	-2.3K	2.59	85.50	66	171	560	483
2014-11-14	$36.35	$40.00	18.7%	5.3%	15.5%	35.3%	0.0%	3.9%	-0.5%	12.2K	-577.6K	-2.3K	0.00	91.30	0	0	565	484
2014-11-17	$36.70	$40.00	21.8%	5.3%	14.6%	47.7%	18.5%	5.8%	-3.5%	18.9K	-714.3K	-2.2K	2.59	85.10	66	171	575	484
2014-11-18	$36.94	$40.00	20.7%	5.3%	14.4%	43.1%	18.1%	4.4%	-2.4%	22.1K	-787.9K	-2.2K	2.59	85.16	66	171	575	484
2014-11-19	$37.01	$40.00	16.7%	5.3%	14.4%	27.1%	0.0%	-2.2%	-1.2%	22.6K	-773.0K	-2.1K	0.00	89.42	0	0	565	484
2014-11-20	$36.78	$40.00	21.3%	5.2%	14.4%	45.6%	17.3%	3.2%	-3.6%	20.8K	-724.3K	-2.1K	2.59	89.02	66	171	565	484
2014-11-21	$36.91	$40.00	17.8%	5.2%	14.5%	31.7%	18.7%	4.9%	3.9%	21.4K	-746.0K	-2.0K	1.95	85.90	66	129	565	484
2014-11-24	$36.60	$40.00	17.7%	5.1%	14.7%	31.2%	0.0%	2.2%	1.4%	15.8K	-277.1K	-1.7K	0.00	88.54	0	0	447	304
2014-11-25	$36.56	$40.00	15.6%	5.1%	14.7%	23.0%	18.3%	2.6%	6.5%	15.1K	-271.8K	-1.6K	3.14	88.13	37	116	447	304
2014-11-26	$36.18	$40.00	18.1%	5.2%	14.9%	32.9%	0.0%	0.2%	0.7%	6.7K	-127.4K	-2.4K	0.00	84.59	0	51	451	369
2014-11-28	$35.69	$40.00	18.2%	5.3%	14.7%	33.3%	18.3%	1.1%	1.4%	-6.1K	71.9K	-2.6K	0.00	93.90	0	4	451	420