OGE Options History — February 2015

In February 2015, OGE traded between $32.52 and $35.53. ATM implied volatility averaged 20.3%, placing in the 41.5% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded below realized volatility by 2.6% (HV 20d: 22.9%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 7 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 1.55.

Notable Days

2015-02-04: Highest Volume — 207 contracts
2015-02-11: Largest IV spike — 41.0% change
2015-02-27: Highest IV Rank — 55.9%
2015-02-27: Largest Expected Move — 6.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$33.90	$32.52	$35.53	$35.43	$32.52
Max Pain	$35.00	$35.00	$35.00	$35.00	$35.00
ATM IV	20.3%	15.7%	23.9%	18.9%	23.9%
Expected Move	5.9%	5.2%	6.8%	5.4%	6.8%
HV 20d	22.9%	18.6%	25.4%	19.2%	25.2%
HV 60d	22.0%	20.1%	23.2%	20.2%	23.0%
IV Rank	41.5%	23.3%	55.9%	35.9%	55.9%
IV Percentile	54.7%	9.5%	88.5%	44.0%	88.5%
Term Structure	-0.8%	-5.1%	6.4%	1.4%	6.4%
VWIV	23.4%	17.4%	74.7%	18.2%	20.5%
Skew 25d	4.1%	-5.3%	35.4%	21.0%	-5.3%
Skew 10d	8.5%	-5.4%	55.2%	49.0%	5.3%
Call IV 25d	21.8%	17.0%	27.0%	26.4%	24.6%
Put IV 25d	26.0%	16.7%	55.0%	47.4%	19.3%
Bid-Ask Spread %	110.02	100.59	120.21	105.17	120.21
Gamma HHI	0.40	0.35	0.50	0.39	0.50
Net GEX	-439	-4.2K	4.7K	-46	-4.2K
Net DEX	88.1K	-21.7K	206.4K	13.3K	206.4K
Net VEX	-2.1K	-2.4K	-1.7K	-1.8K	-2.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.55	0.00	2.30	2.24	1.88
Total Volume	121.684	0	207	0	150
Total OI	451.579	328	518	328	518

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
2015-02-02	$35.43	$35.00	18.9%	5.4%	19.2%	35.9%	0.0%	21.0%	1.4%	-46	13.3K	-1.8K	0.00	105.17	0	0	174	154
2015-02-03	$35.53	$35.00	18.2%	5.2%	18.6%	33.2%	18.2%	21.5%	1.2%	-145	4.7K	-1.8K	2.24	102.91	38	85	179	154
2015-02-04	$34.91	$35.00	18.2%	5.2%	19.1%	33.3%	18.2%	-2.4%	1.1%	-1.7K	42.4K	-1.7K	0.70	105.45	122	85	179	177
2015-02-05	$35.09	$35.00	17.5%	5.5%	19.0%	30.5%	20.0%	1.7%	-0.4%	4.7K	-21.7K	-2.4K	0.70	100.59	122	85	268	177
2015-02-06	$33.53	$35.00	22.1%	6.2%	24.5%	48.6%	17.4%	-4.5%	-2.6%	-770	116.1K	-2.1K	0.70	108.21	122	85	268	177
2015-02-09	$33.31	$35.00	23.8%	6.5%	23.1%	55.5%	20.6%	-3.3%	-3.3%	-1.4K	132.8K	-2.0K	0.70	103.30	122	85	266	177
2015-02-10	$33.77	$35.00	15.7%	6.1%	23.3%	23.3%	19.9%	-2.5%	-2.0%	-901	124.0K	-2.0K	2.30	105.53	37	85	264	177
2015-02-11	$33.24	$35.00	22.1%	6.3%	23.9%	48.9%	18.2%	-4.5%	-2.1%	-2.1K	145.0K	-1.9K	2.30	106.35	37	85	266	177
2015-02-12	$33.77	$35.00	18.6%	5.3%	24.5%	34.9%	20.3%	-1.0%	0.5%	-318	124.7K	-1.9K	2.24	113.17	38	85	266	177
2015-02-13	$33.35	$35.00	22.4%	6.4%	24.4%	50.2%	18.9%	-4.3%	-2.8%	-1.3K	134.6K	-2.0K	2.24	112.04	38	85	274	177
2015-02-17	$33.33	$35.00	22.4%	6.4%	23.3%	49.8%	20.3%	-4.1%	-2.5%	-2.2K	156.4K	-1.8K	2.18	120.13	39	85	274	177
2015-02-18	$33.80	$35.00	19.1%	5.5%	24.0%	36.8%	23.3%	3.5%	-0.2%	154	98.1K	-2.1K	1.85	118.27	40	74	284	177
2015-02-19	$33.92	$35.00	20.2%	5.8%	23.6%	41.1%	74.7%	1.1%	-1.0%	126	77.3K	-2.4K	0.00	114.24	8	0	296	202
2015-02-20	$34.05	$35.00	19.1%	5.5%	23.6%	37.0%	0.0%	35.4%	-0.6%	286	64.2K	-2.3K	0.00	104.06	0	0	304	202
2015-02-23	$33.84	$35.00	20.6%	5.9%	23.6%	43.0%	20.9%	29.9%	-1.2%	354	55.4K	-2.3K	1.95	107.47	38	74	302	196
2015-02-24	$34.05	$35.00	20.4%	5.8%	23.7%	42.0%	22.5%	0.7%	-0.9%	770	25.4K	-2.4K	1.51	114.57	49	74	304	196
2015-02-25	$33.83	$35.00	21.1%	6.1%	23.3%	44.9%	22.2%	-0.5%	-0.9%	2.0K	34.6K	-2.3K	1.51	118.71	49	74	315	195
2015-02-26	$32.74	$35.00	20.8%	5.9%	25.4%	43.4%	22.4%	-3.4%	-5.1%	-1.8K	140.9K	-2.0K	1.39	109.98	49	68	315	195
2015-02-27	$32.52	$35.00	23.9%	6.8%	25.2%	55.9%	20.5%	-5.3%	6.4%	-4.2K	206.4K	-2.0K	1.88	120.21	52	98	313	205