OGE Options History — June 2016

In June 2016, OGE traded between $30.44 and $32.71. ATM implied volatility averaged 23.4%, placing in the 6.5% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 7.8% (HV 20d: 15.6%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 1.34.

Notable Days

2016-06-29: Highest Volume — 128 contracts
2016-06-30: Largest IV spike — 62.5% change
2016-06-30: Highest IV Rank — 20.9%
2016-06-30: Largest Expected Move — 12.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$31.16	$30.44	$32.71	$30.44	$32.71
Max Pain	$30.00	$30.00	$30.00	$30.00	$30.00
ATM IV	23.4%	17.9%	41.8%	20.5%	41.8%
Expected Move	6.7%	5.1%	12.0%	5.9%	12.0%
HV 20d	15.6%	12.5%	17.9%	17.9%	17.1%
HV 60d	18.5%	18.3%	18.8%	18.7%	18.6%
IV Rank	6.5%	1.8%	20.9%	4.4%	20.9%
IV Percentile	27.0%	2.4%	73.4%	15.5%	73.4%
Term Structure	0.4%	-8.0%	11.3%	-0.1%	11.3%
VWIV	23.7%	18.3%	28.8%	20.6%	26.3%
Skew 25d	10.0%	2.2%	37.0%	3.5%	3.9%
Skew 10d	33.8%	5.8%	83.9%	9.8%	61.5%
Call IV 25d	18.1%	15.4%	22.9%	21.9%	22.9%
Put IV 25d	28.1%	18.6%	56.3%	25.4%	26.8%
Bid-Ask Spread %	110.61	92.66	131.78	96.37	131.78
Gamma HHI	0.92	0.84	0.98	0.96	0.86
Net GEX	53.1K	35.9K	76.2K	65.2K	58.2K
Net DEX	-1.1M	-1.4M	-804.2K	-972.5K	-1.2M
Net VEX	-3.0K	-3.7K	-1.7K	-3.7K	-1.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.34	0.90	2.03	1.92	0.91
Total Volume	92.091	64	128	76	128
Total OI	872.182	625	1,053	1,017	686

Daily Data (22 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
2016-06-01	$30.44	$30.00	20.5%	5.9%	17.9%	4.4%	20.6%	3.5%	-0.1%	65.2K	-972.5K	-3.7K	1.92	96.37	26	50	623	394
2016-06-02	$30.63	$0.00	18.4%	5.8%	16.5%	2.7%	0.0%	3.7%	0.0%	66.4K	-1.1M	-3.6K	1.92	92.93	26	50	623	399
2016-06-03	$30.95	$0.00	21.3%	5.6%	16.7%	5.0%	0.0%	7.1%	2.2%	57.7K	-1.2M	-3.4K	1.92	116.43	26	50	622	399
2016-06-06	$31.29	$0.00	22.6%	5.1%	16.4%	6.1%	0.0%	4.5%	5.6%	53.4K	-1.3M	-3.3K	1.35	109.63	37	50	622	399
2016-06-07	$31.18	$0.00	19.4%	5.9%	16.5%	3.5%	0.0%	3.7%	0.2%	56.2K	-1.3M	-3.3K	1.35	104.81	37	50	635	399
2016-06-08	$31.14	$0.00	21.5%	6.2%	16.0%	5.2%	0.0%	3.7%	-0.9%	56.0K	-1.3M	-3.2K	1.35	105.65	37	50	635	399
2016-06-09	$31.51	$0.00	17.9%	5.1%	16.2%	2.3%	0.0%	4.9%	4.7%	49.1K	-1.4M	-3.0K	1.35	106.62	37	50	635	399
2016-06-10	$30.94	$0.00	20.7%	5.9%	17.4%	4.5%	0.0%	4.0%	1.9%	51.0K	-1.3M	-3.4K	1.54	120.88	37	57	635	399
2016-06-13	$31.03	$0.00	24.1%	6.9%	17.3%	7.3%	0.0%	7.0%	-2.1%	59.7K	-1.3M	-3.1K	1.04	103.48	55	57	635	391
2016-06-14	$30.79	$0.00	22.9%	6.6%	17.5%	6.3%	0.0%	9.3%	-1.0%	76.2K	-1.2M	-3.2K	1.00	107.10	57	57	655	391
2016-06-15	$30.62	$0.00	27.7%	7.9%	17.6%	10.2%	0.0%	37.0%	-7.9%	72.0K	-1.2M	-3.3K	1.00	122.76	57	57	662	391
2016-06-16	$30.93	$0.00	19.4%	5.6%	14.4%	3.5%	0.0%	28.4%	2.8%	70.8K	-1.3M	-3.0K	0.98	117.67	57	56	662	391
2016-06-17	$30.99	$0.00	23.0%	6.6%	13.4%	6.4%	23.0%	21.9%	-2.4%	42.4K	-1.4M	-3.0K	1.02	92.66	57	58	662	387
2016-06-20	$30.99	$30.00	33.4%	9.6%	13.2%	14.8%	26.5%	4.9%	2.8%	41.7K	-836.7K	-3.0K	1.27	114.80	30	38	476	151
2016-06-21	$31.18	$30.00	18.6%	5.3%	12.5%	2.9%	20.0%	5.8%	4.0%	42.2K	-889.2K	-2.9K	0.90	116.89	42	38	478	151
2016-06-22	$30.84	$30.00	22.6%	6.5%	13.0%	5.2%	23.2%	27.5%	-0.6%	41.7K	-804.2K	-3.0K	0.98	112.47	42	41	474	151
2016-06-23	$31.21	$30.00	18.4%	5.3%	13.4%	1.8%	18.3%	2.2%	3.2%	41.0K	-862.2K	-2.8K	1.78	112.80	23	41	474	157
2016-06-24	$31.55	$30.00	23.2%	6.6%	13.8%	5.7%	23.9%	7.6%	-2.6%	53.4K	-907.8K	-2.6K	1.41	118.46	29	41	476	157
2016-06-27	$31.10	$30.00	28.0%	8.0%	14.7%	9.6%	27.9%	9.1%	-3.6%	35.9K	-810.0K	-2.9K	1.53	119.12	30	46	468	157
2016-06-28	$31.55	$30.00	23.4%	6.7%	15.3%	5.9%	22.3%	7.9%	-8.0%	40.2K	-861.8K	-2.7K	2.03	111.98	30	61	469	167
2016-06-29	$32.01	$30.00	25.7%	7.4%	15.8%	7.8%	28.8%	12.5%	-0.3%	37.8K	-988.6K	-2.6K	0.91	98.21	67	61	469	183
2016-06-30	$32.71	$30.00	41.8%	12.0%	17.1%	20.9%	26.3%	3.9%	11.3%	58.2K	-1.2M	-1.7K	0.91	131.78	67	61	503	183