OGE Options History — July 2016

In July 2016, OGE traded between $31.60 and $32.62. ATM implied volatility averaged 37.6%, placing in the 17.4% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded above realized volatility by 20.7% (HV 20d: 16.9%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 0.46.

Notable Days

2016-07-26: Highest Volume — 149 contracts
2016-07-28: Largest IV spike — 108.0% change
2016-07-07: Highest IV Rank — 42.8%
2016-07-01: Largest Expected Move — 13.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$32.13	$31.60	$32.62	$32.56	$32.23
Max Pain	$30.00	$30.00	$30.00	$30.00	$30.00
ATM IV	37.6%	20.1%	68.7%	45.8%	27.2%
Expected Move	9.2%	5.8%	13.1%	13.1%	7.8%
HV 20d	16.9%	15.4%	18.3%	17.1%	15.4%
HV 60d	17.6%	16.2%	18.8%	18.7%	16.3%
IV Rank	17.4%	3.2%	42.8%	24.1%	8.9%
IV Percentile	60.3%	9.9%	90.9%	78.6%	46.4%
Term Structure	-14.5%	-44.5%	4.4%	-1.8%	-8.9%
VWIV	20.5%	14.2%	27.8%	24.8%	19.5%
Skew 25d	4.2%	-4.1%	13.1%	-1.5%	12.2%
Skew 10d	30.9%	-1.2%	70.0%	58.7%	30.3%
Call IV 25d	23.6%	16.7%	29.9%	29.9%	19.5%
Put IV 25d	27.8%	21.7%	33.9%	28.4%	31.7%
Bid-Ask Spread %	125.22	110.82	136.52	128.29	121.03
Gamma HHI	0.76	0.66	0.82	0.73	0.77
Net GEX	40.5K	32.1K	50.5K	32.8K	50.5K
Net DEX	-1.2M	-1.3M	-1.1M	-1.1M	-1.2M
Net VEX	-2.4K	-2.6K	-2.1K	-2.5K	-2.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.46	0.33	0.71	0.71	0.44
Total Volume	135	121	149	147	137
Total OI	729	686	751	686	751

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
2016-07-01	$32.56	$30.00	45.8%	13.1%	17.1%	24.1%	24.8%	-1.5%	-1.8%	32.8K	-1.1M	-2.5K	0.71	128.29	86	61	503	183
2016-07-05	$32.57	$30.00	52.7%	8.8%	16.8%	29.8%	21.5%	-1.8%	-2.1%	36.1K	-1.2M	-2.6K	0.61	131.67	85	52	533	183
2016-07-06	$32.33	$30.00	38.5%	9.4%	17.1%	18.2%	21.8%	4.0%	-18.4%	37.9K	-1.2M	-2.4K	0.61	124.37	85	52	534	184
2016-07-07	$31.81	$30.00	68.7%	7.5%	18.2%	42.8%	27.8%	2.2%	-9.6%	35.3K	-1.1M	-2.6K	0.61	120.62	85	52	534	184
2016-07-08	$32.22	$30.00	37.5%	9.1%	18.3%	17.4%	16.2%	10.8%	-20.7%	46.5K	-1.2M	-2.1K	0.44	121.26	85	37	534	184
2016-07-11	$32.42	$30.00	42.0%	9.8%	16.9%	21.0%	20.3%	4.0%	-27.2%	42.3K	-1.2M	-2.2K	0.40	124.48	92	37	535	187
2016-07-12	$32.13	$30.00	58.9%	10.2%	17.3%	34.8%	25.8%	-3.7%	-12.8%	32.1K	-1.2M	-2.2K	0.40	131.14	92	37	543	187
2016-07-13	$32.08	$30.00	24.7%	7.1%	17.0%	6.9%	24.6%	1.7%	-1.3%	37.8K	-1.1M	-2.5K	0.40	121.23	92	37	543	187
2016-07-14	$32.09	$30.00	37.1%	10.6%	16.8%	17.0%	14.2%	13.1%	-23.9%	43.5K	-1.2M	-2.3K	0.40	126.83	92	37	543	187
2016-07-15	$32.07	$30.00	36.0%	10.3%	16.6%	16.1%	17.3%	6.5%	-26.5%	40.6K	-1.2M	-2.3K	0.36	131.88	92	33	543	187
2016-07-18	$32.13	$30.00	26.7%	7.6%	16.6%	8.5%	18.7%	6.9%	-9.4%	39.9K	-1.2M	-2.3K	0.33	126.40	91	30	542	169
2016-07-19	$31.98	$30.00	20.4%	5.9%	16.7%	3.4%	21.2%	4.9%	-1.3%	40.5K	-1.2M	-2.3K	0.46	120.07	91	42	542	169
2016-07-20	$31.99	$30.00	20.1%	5.8%	16.6%	3.2%	17.9%	5.0%	4.4%	39.9K	-1.1M	-2.3K	0.47	115.95	90	42	542	181
2016-07-21	$31.97	$30.00	33.0%	9.5%	16.0%	13.7%	20.2%	3.6%	-8.6%	43.7K	-1.1M	-2.5K	0.47	131.07	90	42	565	181
2016-07-22	$32.62	$30.00	31.7%	9.1%	16.9%	12.6%	14.9%	9.3%	2.0%	37.1K	-1.2M	-2.4K	0.47	132.72	90	42	565	181
2016-07-25	$32.20	$30.00	41.9%	12.0%	17.4%	20.9%	18.6%	2.0%	-40.3%	38.8K	-1.3M	-2.2K	0.41	120.13	103	42	565	181
2016-07-26	$32.03	$30.00	40.8%	11.7%	16.7%	20.1%	22.9%	-4.1%	-44.5%	38.4K	-1.1M	-2.6K	0.39	136.52	107	42	565	181
2016-07-27	$31.60	$30.00	22.0%	6.3%	16.7%	4.7%	22.7%	5.4%	2.9%	46.0K	-1.1M	-2.5K	0.39	110.82	107	42	570	181
2016-07-28	$31.62	$30.00	45.8%	13.1%	15.9%	24.1%	19.3%	4.1%	-41.1%	49.7K	-1.1M	-2.5K	0.39	127.84	107	42	570	181
2016-07-29	$32.23	$30.00	27.2%	7.8%	15.4%	8.9%	19.5%	12.2%	-8.9%	50.5K	-1.2M	-2.2K	0.44	121.03	95	42	570	181