OGE Options History — May 2015

In May 2015, OGE traded between $31.17 and $32.60. ATM implied volatility averaged 31.7%, placing in the 35.7% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 16.3% (HV 20d: 15.5%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 6 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 1.53.

Notable Days

2015-05-05: Highest Volume — 340 contracts
2015-05-12: Largest IV spike — 167.4% change
2015-05-06: Highest IV Rank — 100.0%
2015-05-01: Largest Expected Move — 9.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$31.78	$31.17	$32.60	$32.31	$31.53
Max Pain	$30.00	$30.00	$30.00	$30.00	$30.00
ATM IV	31.7%	13.9%	103.0%	34.1%	14.8%
Expected Move	5.0%	3.6%	9.8%	9.8%	4.2%
HV 20d	15.5%	14.0%	16.8%	15.1%	14.0%
HV 60d	18.8%	16.4%	21.2%	21.1%	16.4%
IV Rank	35.7%	4.3%	100.0%	51.5%	5.3%
IV Percentile	54.4%	5.2%	100.0%	96.0%	7.9%
Term Structure	2.6%	-39.9%	8.5%	-39.9%	5.2%
VWIV	20.3%	14.7%	55.3%	55.3%	14.7%
Skew 25d	0.6%	-16.8%	8.5%	-16.8%	2.2%
Skew 10d	19.1%	-3.8%	67.0%	-0.3%	-3.8%
Call IV 25d	19.4%	14.6%	34.5%	34.5%	19.1%
Put IV 25d	20.0%	12.8%	25.8%	17.6%	21.4%
Bid-Ask Spread %	114.05	101.95	122.75	122.75	121.24
Gamma HHI	0.48	0.43	0.54	0.45	0.50
Net GEX	-2.6K	-14.2K	6.4K	6.3K	-7.9K
Net DEX	-170.9K	-327.8K	-34.9K	-245.9K	-125.3K
Net VEX	-3.4K	-3.8K	-3.0K	-3.8K	-3.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.53	0.17	2.09	1.26	1.89
Total Volume	218.9	0	340	325	251
Total OI	1,017.85	959	1,055	965	1,055

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
2015-05-01	$32.31	$30.00	34.1%	9.8%	15.1%	51.5%	55.3%	-16.8%	-39.9%	6.3K	-245.9K	-3.8K	1.26	122.75	144	181	587	378
2015-05-04	$32.60	$30.00	53.0%	4.5%	15.2%	91.6%	0.0%	4.1%	1.6%	6.4K	-286.1K	-3.8K	0.00	106.28	0	0	581	378
2015-05-05	$31.99	$30.00	47.4%	4.8%	16.2%	79.7%	19.6%	-1.3%	8.5%	5.3K	-327.8K	-3.7K	1.21	107.82	154	186	596	378
2015-05-06	$32.01	$30.00	61.2%	4.8%	15.7%	100.0%	19.0%	-0.5%	8.3%	3.6K	-171.2K	-3.8K	1.21	111.10	154	186	606	398
2015-05-07	$32.01	$30.00	58.5%	4.4%	15.7%	94.8%	16.9%	2.4%	7.3%	2.4K	-218.8K	-3.6K	1.17	110.42	150	176	606	409
2015-05-08	$31.96	$30.00	33.7%	3.6%	15.0%	46.4%	0.0%	-2.9%	7.4%	372	-206.9K	-3.2K	2.00	116.92	5	10	592	409
2015-05-11	$31.82	$30.00	38.5%	4.8%	15.1%	55.8%	15.6%	-6.3%	-1.3%	-574	-194.2K	-3.6K	0.00	117.28	0	7	597	409
2015-05-12	$31.24	$30.00	103.0%	4.1%	16.1%	100.0%	15.4%	-1.2%	7.5%	-3.1K	-137.0K	-3.3K	1.18	115.89	154	182	612	409
2015-05-13	$31.17	$30.00	16.8%	4.8%	15.7%	7.4%	16.9%	-0.5%	2.2%	-5.2K	-86.4K	-3.2K	1.10	109.58	154	170	612	409
2015-05-14	$31.72	$30.00	16.9%	4.8%	16.8%	7.6%	19.4%	8.5%	7.2%	-3.0K	-179.7K	-3.4K	1.53	114.10	111	170	612	417
2015-05-15	$32.00	$30.00	18.6%	5.3%	16.2%	9.4%	20.2%	6.1%	5.7%	-2.4K	-234.6K	-3.2K	1.64	101.95	111	182	612	417
2015-05-18	$32.04	$30.00	19.3%	5.5%	16.1%	10.1%	0.0%	6.8%	3.7%	-2.7K	-184.0K	-3.3K	0.00	120.69	0	0	587	424
2015-05-19	$31.81	$30.00	13.9%	4.0%	15.7%	4.3%	0.0%	2.9%	5.8%	-1.3K	-176.3K	-3.2K	0.17	119.11	6	1	587	424
2015-05-20	$31.82	$30.00	18.4%	5.3%	15.6%	9.2%	20.5%	4.1%	4.4%	-3.3K	-176.1K	-3.3K	1.99	118.45	87	173	593	425
2015-05-21	$31.73	$30.00	17.6%	5.1%	15.5%	8.4%	19.3%	5.0%	4.8%	-6.0K	-137.4K	-3.4K	1.89	109.73	87	164	593	444
2015-05-22	$31.59	$30.00	17.7%	5.1%	15.5%	8.4%	17.4%	-2.8%	0.4%	-6.5K	-118.8K	-3.3K	2.09	116.08	87	182	593	444
2015-05-26	$31.25	$30.00	17.3%	5.0%	15.3%	8.0%	18.5%	4.0%	4.0%	-11.6K	-34.9K	-3.2K	1.89	121.98	87	164	593	461
2015-05-27	$31.46	$30.00	19.2%	5.5%	14.9%	10.0%	20.9%	-0.6%	3.3%	-14.2K	-51.4K	-3.2K	1.89	112.98	87	164	593	462
2015-05-28	$31.52	$30.00	15.0%	4.3%	14.0%	5.5%	15.6%	-1.5%	6.5%	-8.6K	-125.7K	-3.0K	1.89	106.64	87	164	593	462
2015-05-29	$31.53	$30.00	14.8%	4.2%	14.0%	5.3%	14.7%	2.2%	5.2%	-7.9K	-125.3K	-3.0K	1.89	121.24	87	164	593	462