OGE Options History — April 2016

In April 2016, OGE traded between $27.29 and $29.60. ATM implied volatility averaged 28.6%, placing in the 11.8% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 10.3% (HV 20d: 18.3%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 1.61.

Notable Days

2016-04-20: Highest Volume — 234 contracts
2016-04-15: Largest IV spike — 94.0% change
2016-04-12: Highest IV Rank — 32.2%
2016-04-15: Largest Expected Move — 10.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$28.28	$27.29	$29.60	$28.88	$29.60
Max Pain	$25.24	$25.00	$30.00	$30.00	$25.00
ATM IV	28.6%	18.3%	54.1%	25.4%	23.1%
Expected Move	7.0%	5.1%	10.7%	7.3%	6.6%
HV 20d	18.3%	14.2%	23.0%	14.2%	23.0%
HV 60d	26.1%	24.3%	27.5%	27.5%	24.3%
IV Rank	11.8%	3.5%	32.2%	9.2%	7.3%
IV Percentile	40.2%	7.5%	83.3%	38.1%	30.6%
Term Structure	-1.4%	-25.6%	12.6%	2.7%	-1.6%
VWIV	22.7%	14.5%	31.9%	22.5%	23.1%
Skew 25d	8.5%	-12.8%	45.2%	10.8%	35.0%
Skew 10d	9.1%	-7.1%	58.6%	2.4%	48.2%
Call IV 25d	23.6%	15.9%	34.8%	23.5%	26.0%
Put IV 25d	32.1%	14.8%	78.1%	34.3%	61.0%
Bid-Ask Spread %	116.08	103.89	131.25	121.43	112.58
Gamma HHI	0.76	0.56	0.93	0.84	0.93
Net GEX	26.6K	12.7K	58.4K	17.8K	58.4K
Net DEX	-346.6K	-849.9K	-125.6K	-433.1K	-849.9K
Net VEX	-3.1K	-4.2K	-2.5K	-2.5K	-4.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.61	0.68	2.35	1.51	0.68
Total Volume	166.048	105	234	181	133
Total OI	812.476	726	978	726	978

Daily Data (21 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
2016-04-01	$28.88	$30.00	25.4%	7.3%	14.2%	9.2%	22.5%	10.8%	2.7%	17.8K	-433.1K	-2.5K	1.51	121.43	72	109	392	334
2016-04-04	$28.67	$25.00	28.0%	6.9%	14.3%	11.3%	24.8%	-6.3%	-2.2%	19.2K	-387.2K	-3.4K	1.70	114.23	64	109	449	335
2016-04-05	$28.19	$25.00	25.1%	5.1%	15.9%	8.9%	21.8%	-6.5%	2.6%	17.1K	-338.6K	-3.4K	1.98	104.75	55	109	464	336
2016-04-06	$27.73	$25.00	32.2%	9.9%	16.9%	14.6%	21.1%	8.0%	-2.5%	13.7K	-152.7K	-2.8K	2.35	124.31	46	108	395	336
2016-04-07	$27.67	$25.00	38.4%	6.4%	16.9%	19.6%	23.9%	3.7%	-3.5%	12.7K	-125.6K	-2.9K	2.35	113.69	46	108	395	336
2016-04-08	$28.17	$25.00	34.8%	6.5%	17.7%	16.7%	20.1%	10.3%	0.8%	18.0K	-259.0K	-2.6K	1.46	109.86	80	117	395	336
2016-04-11	$27.83	$25.00	41.1%	6.2%	17.2%	21.8%	22.6%	-5.9%	-5.1%	19.0K	-215.1K	-2.9K	1.46	103.89	80	117	425	341
2016-04-12	$28.09	$25.00	54.1%	6.1%	17.4%	32.2%	25.4%	-4.4%	-3.0%	19.4K	-223.1K	-2.8K	1.46	115.57	80	117	425	341
2016-04-13	$28.05	$25.00	21.8%	6.2%	17.2%	6.3%	20.5%	-0.3%	-1.4%	19.3K	-230.4K	-2.8K	1.95	126.13	60	117	425	341
2016-04-14	$27.98	$25.00	19.2%	5.5%	17.0%	4.2%	24.4%	-3.1%	-1.9%	20.4K	-224.2K	-2.8K	1.95	109.98	60	117	435	341
2016-04-15	$28.30	$25.00	37.2%	10.7%	16.4%	18.7%	31.9%	43.3%	12.6%	17.8K	-352.9K	-2.8K	1.72	125.42	68	117	435	341
2016-04-18	$28.41	$25.00	31.7%	9.1%	16.4%	14.3%	25.7%	-2.5%	-10.0%	30.8K	-321.6K	-2.9K	1.93	119.59	55	106	431	323
2016-04-19	$28.64	$25.00	18.6%	5.3%	16.6%	3.8%	19.6%	35.1%	-0.6%	29.3K	-349.1K	-2.9K	1.63	108.67	65	106	449	323
2016-04-20	$28.19	$25.00	18.3%	5.2%	17.2%	3.5%	18.7%	0.6%	-0.7%	30.8K	-322.7K	-2.9K	0.81	112.24	129	105	452	323
2016-04-21	$27.29	$25.00	35.4%	10.2%	20.5%	17.3%	30.7%	-12.8%	-25.6%	28.5K	-247.9K	-3.3K	2.04	105.47	53	108	539	322
2016-04-22	$27.69	$25.00	22.2%	6.4%	21.3%	6.7%	16.9%	7.5%	4.1%	22.8K	-222.7K	-3.3K	1.89	122.27	57	108	556	326
2016-04-25	$27.90	$25.00	18.6%	5.3%	21.5%	3.7%	16.5%	8.6%	9.0%	29.2K	-277.4K	-3.5K	2.00	131.25	54	108	576	326
2016-04-26	$28.34	$25.00	21.1%	6.1%	20.9%	5.8%	14.5%	8.8%	7.6%	35.0K	-410.0K	-3.2K	1.14	124.36	49	56	593	326
2016-04-27	$29.06	$25.00	32.1%	9.2%	22.7%	14.6%	28.7%	3.5%	-8.2%	46.7K	-616.6K	-4.0K	0.90	121.26	62	56	593	326
2016-04-28	$29.28	$25.00	22.2%	6.4%	22.8%	6.6%	23.0%	45.2%	-2.3%	52.9K	-719.6K	-4.0K	0.86	110.70	65	56	621	326
2016-04-29	$29.60	$25.00	23.1%	6.6%	23.0%	7.3%	23.1%	35.0%	-1.6%	58.4K	-849.9K	-4.2K	0.68	112.58	79	54	652	326