OGE Options History — April 2017

In April 2017, OGE traded between $34.59 and $35.27. ATM implied volatility averaged 29.5%, placing in the 17.9% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 17.5% (HV 20d: 12.0%). 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 6 of 19 days. Put/call ratio averaged 1.78.

Notable Days

2017-04-21: Highest Volume — 378 contracts
2017-04-06: Largest IV spike — 354.4% change
2017-04-07: Highest IV Rank — 81.0%
2017-04-21: Largest Expected Move — 11.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$34.90	$34.59	$35.27	$34.84	$34.78
Max Pain	$35.00	$35.00	$35.00	$35.00	$35.00
ATM IV	29.5%	16.0%	92.3%	17.8%	21.9%
Expected Move	5.9%	3.3%	11.5%	5.1%	6.3%
HV 20d	12.0%	8.8%	16.7%	16.2%	9.5%
HV 60d	14.2%	13.8%	14.9%	14.8%	13.8%
IV Rank	17.9%	4.3%	81.0%	6.1%	10.3%
IV Percentile	40.1%	5.6%	98.8%	9.5%	43.7%
Term Structure	2.8%	-10.1%	33.9%	-0.7%	-5.6%
VWIV	20.3%	11.3%	37.0%	18.9%	21.9%
Skew 25d	12.1%	-27.4%	50.9%	-5.3%	0.6%
Skew 10d	17.1%	-62.0%	71.5%	-9.0%	0.9%
Call IV 25d	25.9%	16.6%	62.7%	23.1%	23.0%
Put IV 25d	38.0%	17.8%	97.0%	17.8%	23.6%
Bid-Ask Spread %	98.36	37.53	133.00	103.32	108.10
Gamma HHI	0.88	0.47	0.97	0.92	0.92
Net GEX	57.8K	4.6K	131.3K	51.3K	47.2K
Net DEX	-402.1K	-704.2K	-276.4K	-276.4K	-406.6K
Net VEX	-2.2K	-2.5K	-1.9K	-2.3K	-2.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.78	0.41	3.24	2.08	0.72
Total Volume	197.368	144	378	163	257
Total OI	477.105	460	492	460	467

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
2017-04-03	$34.84	$35.00	17.8%	5.1%	16.2%	6.1%	18.9%	-5.3%	-0.7%	51.3K	-276.4K	-2.3K	2.08	103.32	53	110	336	124
2017-04-04	$35.16	$35.00	24.3%	7.0%	16.7%	12.7%	23.0%	39.2%	-4.2%	54.4K	-358.4K	-2.3K	1.72	65.14	64	110	347	124
2017-04-05	$35.23	$35.00	20.2%	5.8%	14.9%	8.6%	20.2%	45.3%	-2.7%	58.6K	-391.7K	-2.4K	1.72	127.93	64	110	347	124
2017-04-06	$34.94	$35.00	91.9%	5.1%	15.0%	80.5%	17.6%	1.7%	7.3%	17.5K	-418.4K	-2.3K	1.80	109.69	61	110	353	124
2017-04-07	$34.85	$35.00	92.3%	3.3%	14.9%	81.0%	11.3%	1.7%	33.9%	5.3K	-491.6K	-2.5K	1.80	132.42	61	110	353	124
2017-04-10	$34.62	$35.00	35.6%	5.3%	14.5%	24.1%	18.5%	1.1%	-1.2%	57.0K	-290.9K	-2.1K	1.80	80.62	61	110	353	124
2017-04-11	$34.84	$35.00	18.0%	5.3%	14.7%	6.3%	18.6%	1.7%	-1.3%	63.6K	-396.4K	-2.2K	2.34	108.66	47	110	353	124
2017-04-12	$34.74	$35.00	18.5%	5.3%	11.6%	6.8%	18.5%	-1.5%	0.1%	101.0K	-390.0K	-2.2K	2.34	101.45	47	110	363	124
2017-04-13	$34.59	$35.00	22.1%	6.3%	11.2%	10.4%	22.1%	-2.3%	-4.7%	50.9K	-347.0K	-2.2K	2.34	119.72	47	110	363	124
2017-04-17	$34.65	$35.00	18.9%	5.4%	10.7%	7.3%	18.9%	19.7%	-0.9%	91.7K	-310.3K	-2.0K	2.34	69.77	47	110	363	124
2017-04-18	$34.92	$35.00	20.0%	5.7%	11.1%	8.3%	20.0%	20.6%	-2.8%	94.0K	-412.7K	-2.0K	3.24	57.22	34	110	363	124
2017-04-19	$34.76	$35.00	17.7%	5.1%	8.8%	6.0%	17.7%	3.1%	-0.4%	131.3K	-327.2K	-2.0K	3.24	94.70	34	110	364	124
2017-04-20	$34.70	$35.00	18.7%	5.4%	8.8%	7.1%	18.7%	37.9%	-1.8%	90.1K	-348.2K	-1.9K	2.97	111.54	37	110	368	124
2017-04-21	$35.20	$35.00	40.1%	11.5%	10.2%	28.5%	37.0%	-27.4%	21.3%	4.6K	-704.2K	-1.9K	0.41	133.00	268	110	368	124
2017-04-24	$35.27	$35.00	18.5%	5.3%	9.9%	6.9%	18.5%	18.3%	-1.8%	48.4K	-498.9K	-2.2K	0.72	84.02	149	108	345	122
2017-04-25	$35.05	$35.00	20.9%	6.0%	9.7%	9.3%	20.9%	1.4%	28.2%	31.9K	-469.3K	-2.2K	0.72	109.90	149	108	345	122
2017-04-26	$35.01	$35.00	16.0%	4.6%	9.7%	4.3%	16.0%	23.5%	1.0%	53.5K	-419.6K	-2.1K	0.72	37.53	149	108	345	122
2017-04-27	$34.98	$35.00	26.9%	7.7%	9.6%	15.3%	26.8%	50.9%	-10.1%	46.3K	-382.9K	-2.1K	0.72	114.14	149	108	345	122
2017-04-28	$34.78	$35.00	21.9%	6.3%	9.5%	10.3%	21.9%	0.6%	-5.6%	47.2K	-406.6K	-2.1K	0.72	108.10	149	108	345	122