OGE Options History — January 2015

In January 2015, OGE traded between $33.81 and $36.20. ATM implied volatility averaged 19.4%, placing in the 37.8% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded below realized volatility by 3.6% (HV 20d: 22.9%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 3 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 1.69.

Notable Days

2015-01-02: Highest Volume — 169 contracts
2015-01-12: Largest IV spike — 45.1% change
2015-01-12: Highest IV Rank — 63.4%
2015-01-13: Largest Expected Move — 6.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$35.14	$33.81	$36.20	$35.65	$35.21
Max Pain	$35.00	$35.00	$35.00	$35.00	$35.00
ATM IV	19.4%	16.0%	25.8%	19.4%	17.7%
Expected Move	5.4%	4.6%	6.0%	5.3%	5.1%
HV 20d	22.9%	17.7%	26.5%	25.4%	19.1%
HV 60d	20.5%	19.4%	22.2%	22.1%	20.2%
IV Rank	37.8%	24.6%	63.4%	37.9%	31.2%
IV Percentile	41.2%	10.7%	94.4%	43.7%	21.8%
Term Structure	0.2%	-1.0%	1.0%	-0.9%	1.0%
VWIV	18.9%	17.8%	20.9%	20.6%	17.8%
Skew 25d	12.3%	-4.5%	33.2%	20.2%	31.4%
Skew 10d	32.2%	-2.2%	68.6%	45.5%	65.3%
Call IV 25d	19.9%	17.2%	24.4%	24.4%	23.9%
Put IV 25d	32.1%	14.4%	55.4%	44.7%	55.4%
Bid-Ask Spread %	103.24	94.94	123.26	102.50	115.11
Gamma HHI	0.65	0.38	0.91	0.84	0.38
Net GEX	-34.0K	-125.8K	2.2K	-51.3K	-690
Net DEX	251.9K	-64.9K	662.0K	247.0K	17.8K
Net VEX	-1.7K	-2.0K	-1.4K	-2.0K	-1.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.69	0.00	4.12	4.12	1.68
Total Volume	77.1	0	169	169	102
Total OI	393.45	280	483	449	333

Daily Data (20 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
2015-01-02	$35.65	$0.00	19.4%	5.3%	25.4%	37.9%	0.0%	20.2%	-0.9%	-51.3K	247.0K	-2.0K	4.12	102.50	33	136	159	290
2015-01-05	$35.20	$0.00	19.6%	5.5%	25.7%	38.8%	0.0%	25.0%	-0.2%	-58.1K	374.7K	-1.9K	0.00	96.90	0	0	153	290
2015-01-06	$34.71	$0.00	20.5%	5.6%	26.1%	42.3%	0.0%	0.0%	0.1%	-53.6K	472.4K	-1.8K	0.00	97.64	10	0	153	290
2015-01-07	$34.95	$0.00	20.0%	5.5%	26.3%	40.4%	0.0%	0.6%	0.1%	-60.8K	360.4K	-1.9K	0.00	97.60	0	0	149	290
2015-01-08	$35.35	$0.00	21.6%	5.7%	26.5%	46.8%	0.0%	2.6%	-0.1%	-56.7K	237.0K	-1.9K	4.12	98.21	33	136	157	290
2015-01-09	$34.49	$0.00	17.8%	5.5%	26.0%	31.5%	0.0%	0.7%	0.5%	-64.0K	429.4K	-1.8K	4.12	97.27	33	136	157	290
2015-01-12	$34.03	$0.00	25.8%	5.9%	26.4%	63.4%	20.6%	-1.2%	-0.9%	-48.0K	550.7K	-1.5K	1.95	97.84	39	76	157	290
2015-01-13	$33.81	$35.00	23.9%	6.0%	26.2%	56.1%	20.9%	-2.0%	-1.0%	-37.7K	662.0K	-1.5K	1.95	98.19	39	76	163	320
2015-01-14	$34.00	$35.00	18.2%	5.2%	22.9%	33.4%	18.2%	33.2%	0.6%	-45.3K	639.0K	-1.5K	1.67	100.29	39	65	163	320
2015-01-15	$34.42	$35.00	18.7%	5.4%	23.2%	35.2%	18.7%	-0.5%	0.5%	-72.4K	600.0K	-1.6K	1.67	97.21	39	65	163	319
2015-01-16	$35.03	$35.00	18.1%	5.2%	21.8%	32.9%	0.0%	24.8%	0.8%	-125.8K	345.6K	-1.6K	0.00	97.88	2	0	155	319
2015-01-20	$35.10	$35.00	18.6%	5.3%	20.9%	35.0%	0.0%	29.3%	0.2%	-5.2K	122.3K	-1.4K	0.00	97.81	25	0	125	155
2015-01-21	$35.48	$35.00	18.4%	5.3%	21.2%	34.1%	0.0%	22.4%	0.3%	-2.3K	56.6K	-1.7K	0.00	99.27	0	0	150	155
2015-01-22	$35.67	$35.00	18.1%	5.2%	21.2%	32.9%	18.1%	17.4%	0.4%	-1.6K	30.8K	-1.7K	1.21	94.94	53	64	155	155
2015-01-23	$35.70	$35.00	18.4%	5.3%	21.2%	33.9%	18.4%	18.9%	0.4%	-1.3K	18.3K	-1.7K	1.21	111.48	53	64	156	155
2015-01-26	$35.86	$35.00	19.0%	5.4%	20.9%	36.5%	0.0%	14.4%	-0.1%	-1.4K	18.6K	-1.6K	0.00	108.35	20	0	151	154
2015-01-27	$36.20	$35.00	16.0%	4.6%	20.7%	24.6%	0.0%	-4.5%	0.3%	2.2K	-64.9K	-1.9K	0.00	123.26	0	0	171	154
2015-01-28	$35.84	$35.00	17.8%	5.1%	19.4%	31.7%	17.9%	6.2%	1.0%	844	-35.6K	-1.8K	1.68	116.53	38	64	176	154
2015-01-29	$36.01	$35.00	19.4%	5.6%	17.7%	38.2%	19.4%	6.1%	0.9%	2.0K	-43.1K	-1.9K	1.68	116.50	38	64	179	154
2015-01-30	$35.21	$35.00	17.7%	5.1%	19.1%	31.2%	17.8%	31.4%	1.0%	-690	17.8K	-1.8K	1.68	115.11	38	64	179	154