OGE Options History — September 2016

In September 2016, OGE traded between $30.69 and $33.01. ATM implied volatility averaged 35.9%, placing in the 15.8% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 12.1% (HV 20d: 23.8%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 1.35.

Notable Days

2016-09-29: Highest Volume — 199 contracts
2016-09-12: Largest IV spike — 256.9% change
2016-09-12: Highest IV Rank — 77.5%
2016-09-30: Largest Expected Move — 12.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$31.91	$30.69	$33.01	$30.73	$31.76
Max Pain	$30.00	$30.00	$30.00	$30.00	$30.00
ATM IV	35.9%	19.8%	111.3%	20.5%	44.1%
Expected Move	8.4%	5.7%	12.7%	5.9%	12.7%
HV 20d	23.8%	19.2%	26.2%	19.2%	25.4%
HV 60d	20.1%	18.0%	21.2%	18.0%	20.7%
IV Rank	15.8%	2.7%	77.5%	3.2%	22.6%
IV Percentile	60.3%	10.3%	98.8%	15.5%	87.3%
Term Structure	-0.1%	-42.4%	48.7%	0.8%	-27.9%
VWIV	21.7%	14.6%	26.7%	20.5%	25.7%
Skew 25d	3.1%	-11.5%	27.2%	3.3%	4.8%
Skew 10d	26.4%	-6.5%	83.6%	75.8%	83.6%
Call IV 25d	23.9%	14.1%	38.7%	29.9%	38.7%
Put IV 25d	27.0%	17.0%	46.3%	33.2%	43.5%
Bid-Ask Spread %	121.38	95.57	137.01	115.64	135.46
Gamma HHI	0.78	0.50	1.00	0.88	0.50
Net GEX	35.1K	-328	93.5K	93.5K	-328
Net DEX	-745.1K	-1.4M	-3.7K	-1.1M	-3.7K
Net VEX	-1.7K	-2.6K	-1.3K	-2.0K	-2.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.35	0.34	3.63	0.34	3.63
Total Volume	136.571	79	199	154	199
Total OI	581.238	307	789	773	514

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
2016-09-01	$30.73	$30.00	20.5%	5.9%	19.2%	3.2%	20.5%	3.3%	0.8%	93.5K	-1.1M	-2.0K	0.34	115.64	115	39	600	173
2016-09-02	$31.34	$30.00	19.8%	5.7%	19.5%	2.7%	16.3%	1.8%	6.5%	61.7K	-1.2M	-1.7K	0.34	116.20	115	39	570	173
2016-09-06	$31.86	$30.00	21.4%	6.3%	20.0%	4.0%	22.2%	6.2%	1.0%	34.5K	-1.4M	-1.3K	0.74	97.96	77	57	565	173
2016-09-07	$32.09	$30.00	25.5%	5.7%	20.1%	7.4%	22.5%	9.7%	6.6%	33.8K	-1.4M	-1.4K	0.61	119.61	94	57	565	194
2016-09-08	$32.46	$30.00	32.0%	5.9%	20.4%	12.6%	23.5%	5.9%	5.8%	39.3K	-1.4M	-1.7K	0.60	113.88	95	57	590	194
2016-09-09	$31.30	$30.00	31.2%	6.7%	24.2%	12.0%	24.0%	-3.3%	-1.2%	63.3K	-1.2M	-1.7K	0.60	95.57	95	57	591	194
2016-09-12	$31.65	$30.00	111.3%	7.4%	24.4%	77.5%	22.0%	-2.4%	-9.2%	48.2K	-1.1M	-1.6K	0.65	129.70	88	57	591	194
2016-09-13	$30.69	$30.00	56.4%	7.7%	26.2%	32.6%	24.3%	6.1%	-3.5%	79.4K	-908.9K	-1.6K	0.65	119.60	88	57	591	194
2016-09-14	$30.81	$30.00	22.4%	6.4%	25.0%	4.8%	21.6%	4.1%	0.9%	86.8K	-1.1M	-1.4K	0.69	101.21	88	61	591	194
2016-09-15	$31.09	$30.00	23.1%	6.6%	25.0%	5.3%	22.6%	27.2%	-0.4%	44.1K	-1.2M	-1.3K	0.77	114.48	79	61	591	198
2016-09-16	$31.49	$30.00	22.9%	6.6%	24.7%	5.2%	22.7%	9.2%	0.7%	10.9K	-1.3M	-1.3K	0.64	116.50	95	61	587	198
2016-09-19	$31.84	$30.00	39.8%	11.4%	24.9%	19.0%	22.6%	11.4%	0.8%	13.5K	-231.0K	-1.6K	1.26	125.83	35	44	237	70
2016-09-20	$32.08	$30.00	21.5%	6.2%	24.5%	4.1%	24.1%	10.7%	5.5%	14.3K	-249.0K	-1.6K	1.74	110.62	39	68	237	70
2016-09-21	$32.85	$30.00	36.4%	10.4%	25.5%	16.2%	24.0%	6.2%	19.8%	16.1K	-271.7K	-1.7K	1.69	136.40	39	66	247	95
2016-09-22	$33.01	$30.00	36.1%	10.4%	25.5%	16.0%	19.5%	-6.6%	-2.7%	16.3K	-314.8K	-1.9K	2.28	136.63	29	66	254	95
2016-09-23	$32.72	$30.00	33.5%	9.6%	25.7%	13.9%	18.7%	-2.8%	0.2%	15.4K	-321.6K	-1.9K	2.28	135.11	29	66	258	95
2016-09-26	$32.88	$30.00	40.2%	11.5%	24.3%	19.3%	26.7%	-11.5%	-8.8%	19.4K	-335.1K	-1.8K	1.77	125.40	43	76	258	95
2016-09-27	$32.51	$30.00	36.3%	10.4%	24.7%	16.2%	22.3%	-8.3%	-3.0%	15.9K	-263.4K	-1.9K	1.77	137.01	43	76	273	117
2016-09-28	$32.66	$30.00	37.5%	10.8%	24.6%	17.2%	15.4%	-0.4%	48.7%	15.1K	-227.3K	-2.0K	1.77	135.60	43	76	273	117
2016-09-29	$32.21	$30.00	41.9%	12.0%	25.3%	20.7%	14.6%	-6.9%	-42.4%	15.3K	-256.5K	-1.9K	3.63	130.65	43	156	273	117
2016-09-30	$31.76	$30.00	44.1%	12.7%	25.4%	22.6%	25.7%	4.8%	-27.9%	-328	-3.7K	-2.6K	3.63	135.46	43	156	273	241