OGE Options History — February 2017

In February 2017, OGE traded between $33.16 and $36.83. ATM implied volatility averaged 25.7%, placing in the 14.0% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 12.8% (HV 20d: 12.8%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 2.74.

Notable Days

2017-02-10: Highest Volume — 165 contracts
2017-02-06: Largest IV spike — 154.6% change
2017-02-07: Highest IV Rank — 43.9%
2017-02-28: Largest Expected Move — 13.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$34.60	$33.16	$36.83	$33.16	$36.83
Max Pain	$35.00	$35.00	$35.00	$35.00	$35.00
ATM IV	25.7%	12.3%	55.4%	43.7%	46.9%
Expected Move	6.6%	3.5%	13.4%	12.5%	13.4%
HV 20d	12.8%	11.6%	14.5%	14.4%	13.3%
HV 60d	15.1%	14.1%	17.6%	17.6%	14.4%
IV Rank	14.0%	0.7%	43.9%	32.2%	35.3%
IV Percentile	34.0%	0.4%	95.2%	91.3%	92.5%
Term Structure	2.5%	-29.5%	33.0%	5.3%	-29.5%
VWIV	24.4%	12.2%	74.4%	21.6%	74.4%
Skew 25d	2.6%	-53.4%	34.9%	0.6%	-53.4%
Skew 10d	11.2%	-34.6%	53.6%	4.3%	-34.6%
Call IV 25d	29.5%	17.3%	96.8%	21.4%	96.8%
Put IV 25d	32.2%	18.4%	55.2%	22.0%	43.4%
Bid-Ask Spread %	109.16	68.64	134.87	123.71	133.00
Gamma HHI	0.90	0.60	1.00	0.71	0.76
Net GEX	58.8K	27.1K	102.9K	28.4K	27.1K
Net DEX	-549.1K	-1.1M	-153.5K	-218.3K	-1.0M
Net VEX	-2.3K	-2.5K	-1.7K	-1.7K	-2.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.74	1.85	4.10	3.25	2.32
Total Volume	139.895	107	165	153	123
Total OI	703.105	657	741	658	740

Daily Data (19 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
2017-02-01	$33.16	$35.00	43.7%	12.5%	14.4%	32.2%	21.6%	0.6%	5.3%	28.4K	-218.3K	-1.7K	3.25	123.71	36	117	396	262
2017-02-02	$33.44	$35.00	22.9%	4.5%	13.7%	11.2%	14.7%	30.1%	3.5%	45.8K	-213.9K	-1.8K	3.58	109.33	33	118	395	262
2017-02-03	$33.89	$35.00	21.5%	9.9%	14.5%	9.9%	32.7%	-3.6%	-10.6%	27.4K	-153.5K	-2.5K	3.58	116.18	33	118	395	267
2017-02-06	$33.91	$35.00	54.8%	10.0%	14.4%	43.3%	35.0%	0.7%	1.3%	30.2K	-184.6K	-2.4K	2.57	117.42	46	118	396	267
2017-02-07	$33.89	$35.00	55.4%	4.8%	12.3%	43.9%	17.4%	3.8%	1.7%	58.6K	-365.3K	-2.2K	2.57	104.01	46	118	412	267
2017-02-08	$33.88	$35.00	17.3%	4.9%	12.1%	5.6%	17.9%	7.5%	0.4%	57.9K	-347.5K	-2.2K	2.57	68.64	46	118	412	267
2017-02-09	$33.97	$35.00	18.6%	5.3%	11.6%	6.9%	23.8%	14.8%	-1.9%	43.0K	-314.7K	-2.4K	2.57	104.12	46	118	412	267
2017-02-10	$34.28	$35.00	17.2%	4.9%	11.8%	5.6%	17.3%	-0.1%	1.0%	66.9K	-447.7K	-2.2K	2.51	107.81	47	118	412	267
2017-02-13	$34.56	$35.00	18.3%	5.3%	12.0%	6.7%	18.4%	34.9%	0.2%	76.0K	-537.3K	-2.4K	2.51	110.03	47	118	444	267
2017-02-14	$34.29	$35.00	16.7%	4.8%	12.4%	5.1%	24.0%	10.8%	-0.3%	71.9K	-582.7K	-2.5K	1.85	70.50	47	87	444	267
2017-02-15	$34.18	$35.00	21.1%	6.1%	12.4%	9.5%	21.1%	-1.1%	-2.9%	62.5K	-444.1K	-2.5K	2.12	106.44	41	87	444	285
2017-02-16	$34.60	$35.00	12.3%	3.5%	11.9%	0.7%	12.2%	12.1%	5.9%	102.9K	-559.2K	-2.5K	2.17	114.34	41	89	448	285
2017-02-17	$34.57	$35.00	18.0%	5.2%	11.8%	6.4%	18.9%	0.8%	0.3%	73.6K	-543.0K	-2.5K	2.12	89.08	42	89	448	285
2017-02-21	$34.95	$35.00	22.0%	6.3%	12.2%	10.3%	23.1%	4.4%	7.1%	69.7K	-665.2K	-2.4K	4.10	109.54	21	86	435	282
2017-02-22	$34.99	$35.00	21.5%	6.2%	12.0%	9.9%	24.9%	-19.4%	28.4%	62.9K	-752.3K	-2.5K	3.44	127.83	25	86	442	282
2017-02-23	$35.76	$35.00	19.1%	5.5%	13.9%	7.4%	19.0%	16.7%	-0.1%	98.8K	-955.7K	-2.2K	2.87	117.39	30	86	445	282
2017-02-24	$36.09	$35.00	19.8%	5.7%	13.9%	8.1%	30.6%	-29.1%	33.0%	51.2K	-1.0M	-2.4K	3.19	134.87	27	86	455	282
2017-02-27	$36.23	$35.00	20.5%	5.9%	13.3%	8.9%	16.8%	19.9%	5.5%	61.5K	-1.1M	-2.2K	2.26	109.86	38	86	459	282
2017-02-28	$36.83	$35.00	46.9%	13.4%	13.3%	35.3%	74.4%	-53.4%	-29.5%	27.1K	-1.0M	-2.5K	2.32	133.00	37	86	458	282