OGE Options History — May 2016

In May 2016, OGE traded between $29.39 and $30.99. ATM implied volatility averaged 24.5%, placing in the 8.2% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 3.4% (HV 20d: 21.1%). 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 14 of 21 days. Put/call ratio averaged 1.39.

Notable Days

2016-05-02: Highest Volume — 127 contracts
2016-05-27: Largest IV spike — 355.0% change
2016-05-27: Highest IV Rank — 57.9%
2016-05-27: Largest Expected Move — 24.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$30.31	$29.39	$30.99	$29.80	$30.19
Max Pain	$29.29	$25.00	$30.00	$25.00	$30.00
ATM IV	24.5%	19.0%	86.6%	24.8%	19.0%
Expected Move	7.0%	5.5%	24.8%	7.1%	5.5%
HV 20d	21.1%	18.5%	23.7%	22.8%	18.5%
HV 60d	22.7%	18.7%	24.5%	24.4%	18.7%
IV Rank	8.2%	3.2%	57.9%	8.8%	3.2%
IV Percentile	24.3%	7.1%	95.6%	34.5%	7.1%
Term Structure	-3.3%	-64.5%	1.6%	-3.7%	0.7%
VWIV	25.4%	19.0%	102.8%	24.9%	19.0%
Skew 25d	6.2%	-63.7%	43.1%	0.2%	1.6%
Skew 10d	23.1%	-0.4%	57.6%	-0.4%	4.9%
Call IV 25d	26.8%	17.9%	114.1%	29.7%	23.8%
Put IV 25d	32.9%	21.1%	69.6%	29.9%	25.5%
Bid-Ask Spread %	103.93	93.95	136.82	105.19	113.95
Gamma HHI	0.94	0.79	0.96	0.94	0.96
Net GEX	61.0K	36.7K	70.0K	61.3K	68.4K
Net DEX	-1000.0K	-1.2M	-744.4K	-914.9K	-905.6K
Net VEX	-4.2K	-4.5K	-3.7K	-4.2K	-3.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.39	0.81	1.88	0.81	1.88
Total Volume	89.857	75	127	127	75
Total OI	1,033.905	991	1,068	991	1,012

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
2016-05-02	$29.80	$25.00	24.8%	7.1%	22.8%	8.8%	24.9%	0.2%	-3.7%	61.3K	-914.9K	-4.2K	0.81	105.19	70	57	655	336
2016-05-03	$29.39	$25.00	25.0%	7.2%	22.5%	8.9%	25.4%	43.1%	-5.2%	57.3K	-744.4K	-4.3K	0.88	99.56	52	46	658	355
2016-05-04	$30.00	$25.00	25.3%	7.3%	22.3%	9.2%	25.3%	33.2%	-3.7%	59.7K	-906.0K	-4.5K	0.92	104.63	50	46	661	363
2016-05-05	$30.24	$30.00	20.7%	6.7%	22.2%	5.4%	23.4%	3.0%	-1.4%	64.9K	-971.7K	-4.5K	0.92	101.18	51	47	662	363
2016-05-06	$29.92	$30.00	21.3%	6.0%	22.2%	5.9%	21.0%	1.6%	0.3%	64.0K	-923.4K	-4.5K	1.30	101.79	46	60	670	364
2016-05-09	$30.12	$30.00	22.1%	6.0%	21.5%	6.5%	21.1%	3.9%	0.3%	63.0K	-954.9K	-4.5K	1.30	93.95	46	60	666	379
2016-05-10	$30.50	$30.00	21.9%	5.8%	21.7%	6.4%	20.5%	3.1%	0.8%	62.9K	-1.1M	-4.4K	1.09	97.77	46	50	666	379
2016-05-11	$30.79	$30.00	21.5%	6.2%	21.6%	6.1%	21.5%	-13.0%	0.1%	59.9K	-1.2M	-4.3K	1.40	95.27	43	60	663	385
2016-05-12	$30.99	$30.00	20.8%	6.0%	21.5%	5.5%	22.2%	12.3%	0.9%	58.9K	-1.2M	-4.2K	1.09	109.80	43	47	665	385
2016-05-13	$30.78	$30.00	20.8%	6.0%	21.7%	5.5%	21.0%	18.6%	0.4%	59.5K	-1.2M	-4.2K	1.47	102.44	32	47	665	385
2016-05-16	$30.74	$30.00	19.9%	5.7%	21.8%	4.8%	19.9%	17.3%	1.6%	65.6K	-1.2M	-4.2K	1.47	101.63	32	47	670	385
2016-05-17	$30.70	$30.00	20.6%	5.9%	21.8%	5.3%	20.7%	16.7%	0.7%	66.3K	-1.2M	-4.1K	1.47	108.31	32	47	670	385
2016-05-18	$29.84	$30.00	21.4%	6.1%	23.7%	6.0%	21.5%	0.0%	-0.1%	70.0K	-877.1K	-4.2K	1.15	104.08	41	47	681	386
2016-05-19	$30.32	$30.00	21.4%	6.1%	20.1%	5.3%	21.9%	5.1%	0.4%	69.9K	-1.0M	-4.2K	1.57	105.63	30	47	681	386
2016-05-20	$30.55	$30.00	21.1%	6.0%	19.8%	5.1%	21.4%	19.3%	0.3%	54.1K	-1.2M	-4.1K	1.58	103.20	33	52	682	386
2016-05-23	$30.19	$30.00	20.4%	5.8%	20.7%	4.5%	20.5%	2.2%	0.9%	58.2K	-913.4K	-4.0K	1.79	95.73	29	52	624	391
2016-05-24	$30.43	$30.00	20.7%	5.9%	20.3%	4.8%	20.8%	21.6%	-0.6%	57.7K	-943.9K	-4.1K	1.79	102.91	29	52	621	391
2016-05-25	$30.31	$30.00	19.8%	5.7%	18.7%	4.0%	19.8%	2.0%	0.6%	59.9K	-925.8K	-4.0K	1.79	94.21	29	52	621	391
2016-05-26	$30.48	$30.00	19.0%	5.5%	18.7%	3.4%	19.0%	1.2%	1.0%	62.5K	-997.8K	-3.9K	1.79	104.52	29	52	621	391
2016-05-27	$30.29	$30.00	86.6%	24.8%	18.6%	57.9%	102.8%	-63.7%	-64.5%	36.7K	-812.0K	-4.2K	1.79	136.82	29	52	621	391
2016-05-31	$30.19	$30.00	19.0%	5.5%	18.5%	3.2%	19.0%	1.6%	0.7%	68.4K	-905.6K	-3.7K	1.88	113.95	26	49	621	391