OGE Options History — June 2017

In June 2017, OGE traded between $34.81 and $36.41. ATM implied volatility averaged 14.6%, placing in the 4.2% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 3.3% (HV 20d: 11.3%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.69.

Notable Days

2017-06-14: Highest Volume — 352 contracts
2017-06-16: Largest IV spike — 90.8% change
2017-06-16: Highest IV Rank — 14.4%
2017-06-16: Largest Expected Move — 7.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$35.56	$34.81	$36.41	$35.85	$34.94
Max Pain	$35.00	$35.00	$35.00	$35.00	$35.00
ATM IV	14.6%	10.3%	24.8%	13.7%	14.3%
Expected Move	4.4%	3.0%	7.1%	3.9%	4.1%
HV 20d	11.3%	8.9%	12.7%	12.4%	12.5%
HV 60d	11.4%	10.2%	13.1%	13.1%	11.4%
IV Rank	4.2%	0.0%	14.4%	2.1%	4.0%
IV Percentile	11.2%	0.0%	61.9%	4.0%	9.5%
Term Structure	1.3%	-18.4%	17.4%	5.9%	1.4%
VWIV	15.7%	9.6%	34.1%	15.9%	14.3%
Skew 25d	3.0%	-32.1%	36.4%	2.4%	1.0%
Skew 10d	8.8%	-46.5%	70.7%	38.5%	0.7%
Call IV 25d	17.8%	11.8%	48.4%	14.5%	15.3%
Put IV 25d	20.7%	14.6%	82.9%	16.9%	16.3%
Bid-Ask Spread %	50.46	22.92	121.45	38.98	50.79
Gamma HHI	0.77	0.59	0.88	0.79	0.78
Net GEX	101.6K	58.1K	162.7K	96.8K	88.9K
Net DEX	-862.0K	-1.4M	-501.4K	-963.8K	-501.4K
Net VEX	-2.6K	-2.9K	-2.0K	-2.6K	-2.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.69	0.14	1.62	0.92	0.43
Total Volume	164.773	72	352	125	97
Total OI	595	550	676	596	582

Daily Data (22 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
2017-06-01	$35.85	$35.00	13.7%	3.9%	12.4%	2.1%	15.9%	2.4%	5.9%	96.8K	-963.8K	-2.6K	0.92	38.98	65	60	518	78
2017-06-02	$35.87	$35.00	10.3%	3.0%	11.6%	0.0%	9.6%	-10.1%	4.6%	102.1K	-1.1M	-2.4K	1.62	37.19	37	60	519	78
2017-06-05	$35.76	$35.00	12.7%	4.5%	11.6%	2.4%	15.5%	3.3%	0.2%	112.6K	-1.0M	-2.4K	1.20	32.54	50	60	519	78
2017-06-06	$35.80	$35.00	11.9%	4.6%	11.3%	1.6%	16.3%	3.5%	-0.1%	107.8K	-1.1M	-2.4K	1.22	81.68	49	60	527	78
2017-06-07	$35.64	$35.00	12.3%	4.4%	9.8%	2.0%	15.3%	2.5%	0.6%	125.0K	-1.0M	-2.4K	1.27	22.92	49	62	536	78
2017-06-08	$35.57	$35.00	10.6%	4.4%	9.8%	0.3%	15.4%	-2.7%	1.4%	141.0K	-1.0M	-2.1K	1.27	42.75	49	62	540	80
2017-06-09	$35.32	$35.00	14.9%	4.5%	10.3%	4.6%	15.6%	1.5%	0.2%	147.7K	-846.1K	-2.4K	1.27	30.27	49	62	540	80
2017-06-12	$35.48	$35.00	14.7%	4.6%	9.9%	4.4%	16.2%	-32.1%	0.1%	162.7K	-1.0M	-2.1K	1.27	74.69	49	62	540	80
2017-06-13	$35.50	$35.00	16.8%	4.6%	9.9%	6.4%	15.9%	1.1%	-0.1%	158.6K	-1.0M	-2.0K	1.27	57.40	49	62	540	80
2017-06-14	$35.61	$35.00	12.8%	3.7%	8.9%	2.5%	12.2%	36.4%	17.4%	131.8K	-1.1M	-2.1K	0.21	121.45	290	62	544	80
2017-06-15	$36.02	$35.00	13.0%	3.7%	9.4%	2.7%	12.1%	11.6%	3.6%	92.3K	-1.2M	-2.5K	0.31	35.12	203	62	568	80
2017-06-16	$36.41	$35.00	24.8%	7.1%	9.8%	14.4%	34.1%	1.9%	-18.4%	58.1K	-1.4M	-2.7K	0.24	103.00	254	62	596	80
2017-06-19	$35.74	$35.00	16.4%	4.7%	12.5%	6.0%	16.4%	3.0%	1.8%	72.1K	-736.9K	-2.9K	0.14	45.46	230	33	503	47
2017-06-20	$35.38	$35.00	15.6%	4.5%	12.1%	5.3%	15.6%	1.7%	1.4%	75.1K	-639.0K	-2.9K	0.15	28.75	230	35	503	47
2017-06-21	$35.24	$35.00	14.5%	4.2%	12.2%	4.2%	14.5%	1.1%	1.6%	77.6K	-590.6K	-2.8K	0.17	27.01	208	35	503	51
2017-06-22	$35.56	$35.00	15.7%	4.5%	12.3%	5.3%	15.7%	33.6%	1.9%	77.7K	-665.0K	-2.9K	0.17	90.84	170	29	511	51
2017-06-23	$35.46	$35.00	16.5%	4.7%	12.2%	6.1%	16.3%	1.1%	2.7%	74.3K	-662.9K	-2.9K	0.18	45.97	165	29	514	55
2017-06-26	$35.73	$35.00	14.9%	4.3%	12.4%	4.6%	14.9%	1.9%	3.0%	82.2K	-744.0K	-2.9K	0.18	41.10	165	29	516	55
2017-06-27	$35.45	$35.00	16.3%	4.7%	12.7%	6.0%	16.3%	1.8%	0.1%	79.5K	-665.5K	-2.8K	0.67	29.56	43	29	516	55
2017-06-28	$35.19	$35.00	15.2%	4.4%	12.0%	4.9%	15.2%	1.1%	2.2%	84.5K	-609.9K	-2.8K	0.67	28.90	43	29	517	55
2017-06-29	$34.81	$35.00	13.5%	3.9%	12.4%	3.2%	13.1%	0.0%	-1.8%	86.1K	-518.1K	-2.5K	0.43	43.84	68	29	517	55
2017-06-30	$34.94	$35.00	14.3%	4.1%	12.5%	4.0%	14.3%	1.0%	1.4%	88.9K	-501.4K	-2.5K	0.43	50.79	68	29	527	55