OGE Options History — January 2017

In January 2017, OGE traded between $33.06 and $33.96. ATM implied volatility averaged 24.2%, placing in the 11.8% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 9.4% (HV 20d: 14.8%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 7.48.

Notable Days

2017-01-25: Highest Volume — 262 contracts
2017-01-31: Largest IV spike — 133.4% change
2017-01-10: Highest IV Rank — 41.1%
2017-01-31: Largest Expected Move — 13.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$33.54	$33.06	$33.96	$33.48	$33.57
Max Pain	$34.50	$30.00	$35.00	$30.00	$35.00
ATM IV	24.2%	12.7%	52.5%	41.2%	46.2%
Expected Move	6.2%	3.6%	13.2%	11.8%	13.2%
HV 20d	14.8%	13.2%	16.9%	15.1%	13.7%
HV 60d	18.3%	17.4%	18.5%	18.5%	17.4%
IV Rank	11.8%	1.0%	41.1%	23.2%	34.7%
IV Percentile	33.6%	0.4%	94.0%	89.3%	92.9%
Term Structure	3.9%	-4.7%	16.2%	12.8%	10.4%
VWIV	21.3%	10.3%	55.6%	55.6%	17.0%
Skew 25d	5.7%	-12.9%	40.4%	40.4%	-12.9%
Skew 10d	6.4%	-10.3%	47.3%	26.1%	-2.9%
Call IV 25d	19.4%	13.1%	34.9%	21.2%	34.9%
Put IV 25d	25.1%	15.0%	61.6%	61.6%	22.0%
Bid-Ask Spread %	115.56	47.38	136.89	136.89	106.26
Gamma HHI	0.61	0.50	0.97	0.51	0.65
Net GEX	15.2K	2.4K	40.0K	4.7K	30.1K
Net DEX	-167.9K	-267.6K	-77.8K	-77.8K	-267.6K
Net VEX	-2.0K	-2.8K	-1.4K	-2.5K	-2.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	7.48	0.83	10.75	3.66	3.25
Total Volume	150.65	140	262	163	153
Total OI	538.5	500	658	500	658

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
2017-01-03	$33.48	$30.00	41.2%	11.8%	15.1%	23.2%	55.6%	40.4%	12.8%	4.7K	-77.8K	-2.5K	3.66	136.89	35	128	230	270
2017-01-04	$33.96	$30.00	21.8%	6.2%	15.7%	8.0%	23.7%	15.7%	2.8%	18.0K	-202.7K	-1.4K	3.66	124.67	35	128	230	270
2017-01-05	$33.76	$35.00	13.8%	4.1%	15.3%	1.6%	13.4%	-2.4%	1.3%	10.6K	-213.4K	-2.1K	8.00	102.09	16	128	248	270
2017-01-06	$33.91	$35.00	17.8%	4.7%	15.1%	4.8%	15.9%	27.8%	1.4%	6.8K	-202.0K	-2.0K	9.85	119.30	13	128	237	270
2017-01-09	$33.24	$35.00	35.3%	4.5%	16.9%	18.6%	15.0%	-1.5%	-0.1%	8.3K	-141.7K	-2.1K	9.85	120.61	13	128	239	270
2017-01-10	$33.06	$35.00	52.5%	6.0%	16.0%	41.1%	23.2%	17.3%	2.4%	6.8K	-116.9K	-2.1K	10.75	128.93	12	129	241	270
2017-01-11	$33.41	$35.00	29.8%	8.5%	15.5%	18.2%	32.5%	-8.0%	-2.5%	2.4K	-110.8K	-2.1K	10.75	132.28	12	129	241	271
2017-01-12	$33.65	$35.00	16.0%	4.6%	15.5%	4.3%	17.6%	4.7%	7.8%	6.8K	-149.1K	-2.1K	10.75	130.46	12	129	241	271
2017-01-13	$33.74	$35.00	22.0%	6.3%	14.1%	10.4%	23.8%	0.4%	1.0%	9.5K	-167.6K	-2.1K	10.75	131.31	12	129	241	271
2017-01-17	$33.78	$35.00	15.6%	4.5%	13.8%	4.0%	14.6%	-0.8%	1.7%	12.0K	-190.9K	-2.0K	10.75	113.32	12	129	241	271
2017-01-18	$33.65	$35.00	36.5%	10.5%	13.8%	24.9%	42.5%	-5.9%	-4.7%	11.0K	-164.4K	-2.0K	10.75	130.86	12	129	241	271
2017-01-19	$33.21	$35.00	27.0%	7.7%	14.4%	15.4%	31.3%	1.3%	-1.1%	12.9K	-151.9K	-1.8K	10.75	133.06	12	129	241	271
2017-01-20	$33.41	$35.00	13.6%	3.9%	14.6%	2.0%	15.1%	3.9%	8.8%	9.0K	-115.9K	-1.9K	10.75	114.35	12	129	241	271
2017-01-23	$33.37	$35.00	13.4%	3.8%	14.6%	1.7%	11.8%	2.2%	7.8%	12.5K	-117.7K	-1.8K	4.76	107.60	25	119	239	261
2017-01-24	$33.65	$35.00	19.2%	5.5%	14.9%	7.6%	19.5%	35.4%	-1.4%	15.2K	-175.5K	-1.8K	5.67	106.56	21	119	257	261
2017-01-25	$33.74	$35.00	12.7%	3.6%	15.0%	1.0%	10.3%	2.7%	9.2%	19.3K	-179.4K	-1.8K	0.83	101.00	143	119	258	261
2017-01-26	$33.66	$35.00	13.8%	3.9%	15.0%	2.1%	13.2%	-3.4%	16.2%	34.3K	-190.3K	-2.8K	5.41	113.34	22	119	385	261
2017-01-27	$33.40	$35.00	15.8%	4.5%	13.8%	4.1%	14.2%	-0.3%	1.6%	40.0K	-216.6K	-2.0K	5.36	111.04	22	118	389	261
2017-01-30	$33.17	$35.00	19.8%	5.7%	13.2%	8.2%	15.5%	-2.7%	3.3%	33.2K	-206.0K	-2.1K	3.25	47.38	36	117	389	261
2017-01-31	$33.57	$35.00	46.2%	13.2%	13.7%	34.7%	17.0%	-12.9%	10.4%	30.1K	-267.6K	-2.0K	3.25	106.26	36	117	396	262