OGE Options History — February 2016

In February 2016, OGE traded between $24.95 and $27.25. ATM implied volatility averaged 32.2%, placing in the 14.6% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded above realized volatility by 2.5% (HV 20d: 29.7%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 5.65.

Notable Days

2016-02-04: Highest Volume — 452 contracts
2016-02-25: Largest IV spike — 162.7% change
2016-02-25: Highest IV Rank — 58.3%
2016-02-25: Largest Expected Move — 24.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$26.41	$24.95	$27.25	$26.69	$24.95
Max Pain	$29.25	$25.00	$30.00	$25.00	$30.00
ATM IV	32.2%	19.6%	86.7%	22.6%	22.5%
Expected Move	9.4%	5.6%	24.8%	6.5%	6.5%
HV 20d	29.7%	24.3%	35.9%	31.1%	32.6%
HV 60d	25.6%	24.1%	28.9%	27.6%	28.9%
IV Rank	14.6%	4.6%	58.3%	7.0%	6.9%
IV Percentile	51.6%	18.7%	95.6%	36.9%	29.4%
Term Structure	0.7%	-50.6%	44.9%	0.6%	10.5%
VWIV	29.2%	17.4%	39.9%	19.8%	22.6%
Skew 25d	2.0%	-33.3%	13.8%	-0.9%	-5.1%
Skew 10d	4.2%	-33.3%	30.6%	-4.0%	-8.3%
Call IV 25d	27.9%	20.4%	34.5%	24.2%	32.4%
Put IV 25d	29.9%	0.7%	41.0%	23.4%	27.3%
Bid-Ask Spread %	111.11	95.85	133.56	96.40	131.85
Gamma HHI	0.40	0.33	0.48	0.48	0.47
Net GEX	-9.2K	-24.4K	171	-5.0K	-24.4K
Net DEX	102.2K	-60.5K	400.4K	12.4K	400.4K
Net VEX	-2.8K	-3.2K	-1.8K	-1.8K	-2.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	5.65	2.19	17.50	2.35	3.50
Total Volume	345.8	225	452	318	252
Total OI	755.4	565	851	565	820

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
2016-02-01	$26.69	$25.00	22.6%	6.5%	31.1%	7.0%	19.8%	-0.9%	0.6%	-5.0K	12.4K	-1.8K	2.35	96.40	95	223	253	312
2016-02-02	$26.61	$25.00	19.6%	5.6%	31.1%	4.6%	19.8%	1.0%	7.9%	-5.0K	21.5K	-1.8K	2.25	112.43	99	223	257	312
2016-02-03	$27.25	$25.00	28.1%	8.1%	32.1%	11.4%	23.1%	0.3%	-10.9%	-3.9K	-33.5K	-2.0K	2.19	115.08	121	265	261	317
2016-02-04	$27.23	$30.00	27.0%	7.6%	31.0%	10.5%	26.4%	2.4%	1.8%	-1.7K	-60.5K	-2.3K	2.74	97.51	121	331	306	338
2016-02-05	$27.04	$30.00	34.1%	8.6%	30.3%	16.2%	32.5%	4.9%	2.8%	-6.1K	2.1K	-3.0K	3.77	106.23	83	313	306	450
2016-02-08	$26.50	$30.00	22.8%	11.7%	31.3%	7.1%	39.9%	6.5%	-12.3%	-7.5K	30.4K	-3.1K	4.06	95.85	77	313	314	450
2016-02-09	$26.29	$30.00	41.7%	11.5%	31.5%	22.3%	39.6%	6.5%	-4.2%	-9.9K	80.9K	-3.1K	3.89	99.06	80	311	315	450
2016-02-10	$26.24	$30.00	33.3%	9.5%	30.9%	15.5%	33.0%	-1.8%	-3.9%	-11.3K	89.6K	-3.0K	3.81	96.98	80	305	324	450
2016-02-11	$25.77	$30.00	33.0%	9.5%	30.9%	15.3%	32.7%	5.1%	-5.8%	-15.1K	169.3K	-2.9K	4.39	97.82	80	351	324	462
2016-02-12	$25.91	$30.00	32.4%	9.3%	29.8%	14.8%	32.5%	9.2%	-5.0%	-17.5K	256.1K	-3.2K	4.45	110.94	80	356	324	518
2016-02-16	$26.17	$30.00	32.3%	9.3%	29.8%	14.8%	32.1%	5.1%	-5.1%	-13.7K	178.9K	-3.1K	4.45	107.28	80	356	324	523
2016-02-17	$26.24	$30.00	32.8%	9.4%	29.6%	15.1%	32.7%	8.3%	-4.7%	-13.2K	172.2K	-3.0K	17.50	115.82	20	350	324	523
2016-02-18	$26.83	$30.00	28.5%	8.2%	27.2%	11.7%	33.3%	13.8%	3.8%	-7.8K	79.9K	-3.1K	13.46	119.39	26	350	324	515
2016-02-19	$26.42	$30.00	26.3%	7.5%	28.0%	9.9%	29.7%	8.7%	2.9%	-6.7K	94.7K	-3.0K	10.61	107.31	33	350	336	515
2016-02-22	$26.81	$30.00	29.1%	8.3%	25.8%	12.1%	32.1%	5.8%	44.9%	-7.2K	89.0K	-2.9K	6.50	122.21	30	195	325	445
2016-02-23	$26.58	$30.00	33.3%	9.5%	25.7%	15.5%	30.4%	-2.1%	15.0%	-8.5K	100.4K	-2.9K	6.50	124.99	30	195	325	445
2016-02-24	$26.74	$30.00	33.0%	9.5%	24.8%	15.3%	31.3%	2.6%	16.6%	-6.4K	95.1K	-2.9K	6.50	122.13	30	195	325	445
2016-02-25	$26.94	$30.00	86.7%	24.8%	24.3%	58.3%	17.4%	-33.3%	-50.6%	171	4.2K	-2.7K	4.53	133.56	43	195	325	445
2016-02-26	$25.08	$30.00	23.9%	6.9%	35.9%	8.0%	24.1%	3.9%	8.8%	-13.9K	260.3K	-2.8K	5.49	109.33	43	236	336	445
2016-02-29	$24.95	$30.00	22.5%	6.5%	32.6%	6.9%	22.6%	-5.1%	10.5%	-24.4K	400.4K	-2.8K	3.50	131.85	56	196	337	483