OGE Options History — January 2016

In January 2016, OGE traded between $23.90 and $26.44. ATM implied volatility averaged 35.1%, placing in the 17.7% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 12.4% (HV 20d: 22.7%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 2.53.

Notable Days

2016-01-27: Highest Volume — 318 contracts
2016-01-08: Largest IV spike — 398.0% change
2016-01-08: Highest IV Rank — 100.0%
2016-01-28: Largest Expected Move — 12.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$25.15	$23.90	$26.44	$26.44	$26.23
Max Pain	$27.37	$25.00	$30.00	$30.00	$25.00
ATM IV	35.1%	21.4%	138.8%	28.1%	26.5%
Expected Move	7.5%	5.3%	12.0%	7.0%	7.6%
HV 20d	22.7%	18.6%	30.9%	18.6%	30.9%
HV 60d	24.0%	22.1%	27.4%	22.6%	27.4%
IV Rank	17.7%	6.0%	100.0%	14.2%	10.1%
IV Percentile	55.9%	31.7%	100.0%	56.3%	48.8%
Term Structure	-1.7%	-20.0%	16.6%	-1.8%	4.8%
VWIV	29.0%	21.4%	57.7%	22.9%	37.1%
Skew 25d	-3.9%	-63.4%	6.6%	2.9%	4.0%
Skew 10d	-5.3%	-82.2%	5.6%	1.4%	-0.2%
Call IV 25d	29.5%	18.5%	100.2%	21.1%	28.6%
Put IV 25d	25.6%	18.5%	36.9%	24.0%	32.7%
Bid-Ask Spread %	113.78	88.59	137.01	103.09	125.49
Gamma HHI	0.77	0.62	0.88	0.77	0.62
Net GEX	-16.5K	-30.3K	-8.9K	-12.7K	-8.9K
Net DEX	344.8K	90.6K	489.7K	247.5K	90.6K
Net VEX	-1.3K	-1.8K	-1.1K	-1.3K	-1.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.53	0.92	4.64	1.12	1.83
Total Volume	203.053	51	318	110	51
Total OI	441.684	379	549	381	549

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
2016-01-04	$26.44	$30.00	28.1%	7.0%	18.6%	14.2%	22.9%	2.9%	-1.8%	-12.7K	247.5K	-1.3K	1.12	103.09	52	58	122	259
2016-01-05	$26.28	$30.00	34.8%	5.3%	18.8%	20.7%	0.0%	3.1%	5.6%	-13.8K	267.4K	-1.2K	0.92	104.38	52	48	122	257
2016-01-06	$25.76	$30.00	31.3%	6.5%	20.5%	17.3%	26.7%	2.3%	-5.4%	-13.9K	290.4K	-1.1K	0.92	118.18	52	48	122	258
2016-01-07	$25.30	$30.00	27.9%	6.6%	21.5%	13.9%	28.3%	-0.9%	-0.5%	-15.5K	309.7K	-1.2K	0.92	103.19	52	48	122	258
2016-01-08	$25.51	$30.00	138.8%	6.5%	21.6%	100.0%	57.7%	3.0%	1.9%	-11.7K	314.7K	-1.1K	0.92	133.65	52	48	122	258
2016-01-11	$25.43	$30.00	38.3%	5.3%	20.5%	19.5%	29.9%	-1.0%	4.1%	-16.9K	292.7K	-1.1K	1.41	110.50	34	48	122	258
2016-01-12	$25.05	$30.00	25.3%	6.5%	19.9%	9.2%	22.8%	-3.1%	-0.1%	-22.0K	329.1K	-1.2K	4.09	109.24	44	180	124	258
2016-01-13	$24.59	$30.00	32.9%	9.4%	20.9%	15.2%	26.7%	-13.1%	-12.9%	-30.3K	489.7K	-1.5K	4.64	124.86	44	204	125	381
2016-01-14	$25.18	$30.00	23.4%	6.7%	22.5%	7.6%	23.4%	-1.1%	0.1%	-26.9K	398.1K	-1.3K	3.35	102.47	63	211	125	319
2016-01-15	$24.99	$25.00	28.6%	8.2%	21.0%	11.8%	28.6%	4.7%	-4.5%	-15.7K	379.6K	-1.4K	3.35	121.56	63	211	146	326
2016-01-19	$24.80	$25.00	31.3%	9.0%	21.0%	13.9%	31.3%	6.6%	-6.6%	-15.1K	383.1K	-1.3K	3.30	123.14	60	198	144	303
2016-01-20	$24.01	$25.00	29.8%	8.6%	23.7%	12.8%	29.3%	-3.5%	-3.3%	-13.6K	457.3K	-1.2K	3.32	106.55	60	199	144	303
2016-01-21	$23.90	$25.00	25.8%	7.4%	22.0%	9.6%	25.2%	-0.4%	-1.3%	-15.5K	489.0K	-1.1K	3.37	98.97	59	199	144	304
2016-01-22	$24.77	$25.00	21.4%	6.1%	25.5%	6.0%	21.4%	3.2%	16.6%	-21.3K	447.0K	-1.1K	3.69	105.50	54	199	140	304
2016-01-25	$24.52	$25.00	21.5%	6.2%	24.2%	6.1%	21.4%	-4.5%	2.1%	-19.1K	419.2K	-1.2K	3.37	88.59	62	209	147	304
2016-01-26	$25.08	$25.00	27.1%	7.8%	26.0%	10.6%	27.2%	-9.7%	-3.1%	-17.4K	362.2K	-1.5K	3.67	114.70	57	209	166	314
2016-01-27	$24.83	$25.00	32.4%	9.3%	26.1%	14.8%	32.4%	-4.0%	-7.2%	-14.2K	354.0K	-1.5K	1.92	130.69	109	209	179	314
2016-01-28	$25.20	$25.00	42.0%	12.0%	26.9%	22.5%	37.1%	-63.4%	-20.0%	-9.2K	229.5K	-1.8K	2.03	137.01	103	209	235	314
2016-01-29	$26.23	$25.00	26.5%	7.6%	30.9%	10.1%	0.0%	4.0%	4.8%	-8.9K	90.6K	-1.8K	1.83	125.49	18	33	235	314