OGE Options History — November 2016

In November 2016, OGE traded between $29.86 and $32.18. ATM implied volatility averaged 25.5%, placing in the 7.3% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 3.8% (HV 20d: 21.7%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.64.

Notable Days

2016-11-22: Highest Volume — 75 contracts
2016-11-30: Largest IV spike — 111.0% change
2016-11-30: Highest IV Rank — 29.1%
2016-11-30: Largest Expected Move — 15.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$31.00	$29.86	$32.18	$30.24	$31.72
Max Pain	$30.00	$30.00	$30.00	$30.00	$30.00
ATM IV	25.5%	17.8%	52.1%	28.1%	52.1%
Expected Move	7.2%	5.1%	15.0%	8.1%	15.0%
HV 20d	21.7%	17.7%	24.8%	17.8%	22.6%
HV 60d	22.4%	21.4%	23.0%	21.4%	22.3%
IV Rank	7.3%	1.0%	29.1%	9.4%	29.1%
IV Percentile	43.3%	0.8%	93.3%	63.1%	93.3%
Term Structure	0.7%	-35.0%	30.2%	-3.9%	-35.0%
VWIV	25.9%	17.0%	64.7%	28.2%	64.7%
Skew 25d	6.0%	-6.6%	32.2%	3.6%	3.4%
Skew 10d	24.8%	-10.6%	101.3%	7.2%	101.3%
Call IV 25d	23.2%	15.9%	40.7%	27.1%	34.6%
Put IV 25d	29.3%	19.1%	73.0%	30.7%	38.0%
Bid-Ask Spread %	112.13	94.53	132.10	119.78	132.10
Gamma HHI	0.55	0.50	0.64	0.55	0.50
Net GEX	-5.3K	-11.1K	1.4K	-5.6K	1.4K
Net DEX	-34.0K	-170.6K	142.7K	28.0K	-94.2K
Net VEX	-2.1K	-2.5K	-1.8K	-2.5K	-2.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.64	0.31	1.16	0.31	1.03
Total Volume	70.81	64	75	64	71
Total OI	561.238	523	582	560	537

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
2016-11-01	$30.24	$30.00	28.1%	8.1%	17.8%	9.4%	28.2%	3.6%	-3.9%	-5.6K	28.0K	-2.5K	0.31	119.78	49	15	299	261
2016-11-02	$29.86	$30.00	39.9%	11.4%	18.3%	19.1%	40.2%	32.2%	-10.3%	-4.8K	127.1K	-2.4K	0.50	122.03	46	23	309	261
2016-11-03	$29.87	$30.00	24.1%	6.5%	17.7%	6.2%	24.9%	-6.6%	-1.1%	-7.0K	142.7K	-2.4K	0.45	98.56	51	23	304	269
2016-11-04	$30.44	$30.00	23.2%	7.1%	18.4%	5.5%	26.2%	-2.8%	-1.3%	-4.3K	35.6K	-2.4K	0.45	95.77	51	23	312	270
2016-11-07	$31.15	$30.00	25.2%	6.3%	18.5%	7.1%	23.9%	3.4%	1.4%	-1.8K	-78.2K	-2.3K	0.45	105.80	51	23	312	270
2016-11-08	$31.70	$30.00	22.2%	5.8%	18.2%	4.7%	22.2%	-1.2%	3.3%	-2.5K	-170.6K	-2.2K	0.45	104.78	51	23	312	270
2016-11-09	$31.27	$30.00	20.2%	5.8%	19.1%	3.0%	21.5%	-2.2%	4.7%	-3.9K	-96.5K	-2.2K	0.48	112.62	48	23	307	270
2016-11-10	$30.42	$30.00	23.3%	6.7%	21.5%	5.5%	25.4%	-2.6%	-0.4%	-6.8K	63.9K	-2.3K	0.46	113.89	50	23	307	270
2016-11-11	$30.46	$30.00	21.1%	6.0%	21.5%	3.7%	19.8%	5.9%	1.8%	-5.0K	14.2K	-2.3K	0.46	111.41	50	23	303	270
2016-11-14	$30.40	$30.00	24.1%	6.9%	21.5%	6.2%	24.2%	5.7%	-3.3%	-7.8K	61.2K	-2.1K	0.49	94.53	47	23	303	270
2016-11-15	$31.21	$30.00	23.3%	6.7%	23.3%	5.5%	21.5%	4.9%	-1.2%	-7.3K	-101.3K	-2.0K	0.49	114.21	47	23	306	270
2016-11-16	$31.01	$30.00	26.7%	7.7%	23.4%	8.3%	25.5%	23.8%	-4.6%	-6.2K	-50.2K	-2.1K	0.49	108.67	47	23	306	270
2016-11-17	$30.64	$30.00	22.7%	6.5%	23.9%	5.0%	20.9%	6.4%	-0.9%	-4.6K	-29.3K	-2.1K	0.49	115.74	47	23	306	269
2016-11-18	$30.85	$30.00	21.1%	6.0%	23.8%	3.7%	20.2%	22.9%	2.3%	-9.1K	-59.7K	-2.0K	0.49	116.92	47	23	306	269
2016-11-21	$31.28	$30.00	17.8%	5.1%	24.2%	1.0%	17.0%	3.2%	29.7%	-6.6K	-66.5K	-1.9K	0.67	120.14	39	26	277	246
2016-11-22	$31.27	$30.00	23.3%	6.7%	24.2%	5.6%	23.7%	7.0%	30.2%	-4.8K	-51.9K	-2.0K	0.92	107.88	39	36	277	250
2016-11-23	$31.26	$30.00	24.5%	7.0%	24.2%	6.5%	24.8%	5.8%	-7.0%	-11.1K	-12.0K	-1.9K	0.92	116.16	39	36	277	260
2016-11-25	$31.73	$30.00	21.5%	6.2%	24.6%	4.1%	20.6%	4.5%	14.2%	-7.8K	-96.3K	-2.0K	1.16	112.85	31	36	277	260
2016-11-28	$32.02	$30.00	26.1%	7.5%	24.8%	7.9%	24.0%	8.9%	-0.3%	-5.5K	-128.1K	-1.9K	1.16	113.42	31	36	277	260
2016-11-29	$32.18	$30.00	24.7%	7.1%	24.4%	6.7%	25.4%	0.8%	-3.4%	-703	-150.8K	-1.8K	1.03	117.40	35	36	277	260
2016-11-30	$31.72	$30.00	52.1%	15.0%	22.6%	29.1%	64.7%	3.4%	-35.0%	1.4K	-94.2K	-2.0K	1.03	132.10	35	36	277	260