OGE Options History — July 2017

In July 2017, OGE traded between $34.10 and $35.91. ATM implied volatility averaged 29.0%, placing in the 18.5% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 17.2% (HV 20d: 11.8%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 0.56.

Notable Days

2017-07-21: Highest Volume — 328 contracts
2017-07-10: Largest IV spike — 187.9% change
2017-07-05: Highest IV Rank — 72.7%
2017-07-05: Largest Expected Move — 24.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$34.96	$34.10	$35.91	$34.83	$35.91
Max Pain	$35.00	$35.00	$35.00	$35.00	$35.00
ATM IV	29.0%	11.8%	83.7%	43.5%	20.0%
Expected Move	7.7%	4.3%	24.0%	12.5%	5.7%
HV 20d	11.8%	9.1%	14.0%	12.5%	9.1%
HV 60d	11.5%	11.2%	11.8%	11.3%	11.2%
IV Rank	18.5%	1.4%	72.7%	32.9%	9.6%
IV Percentile	46.9%	1.6%	98.0%	89.3%	41.7%
Term Structure	-6.4%	-48.7%	19.5%	19.5%	-2.7%
VWIV	27.4%	14.2%	90.3%	50.7%	19.9%
Skew 25d	-2.5%	-91.4%	19.1%	16.1%	4.3%
Skew 10d	5.0%	-37.6%	51.1%	-29.0%	30.4%
Call IV 25d	29.5%	15.4%	114.3%	41.8%	21.6%
Put IV 25d	27.0%	14.8%	57.9%	57.9%	25.8%
Bid-Ask Spread %	89.93	34.78	131.56	122.76	66.15
Gamma HHI	0.75	0.54	0.90	0.75	0.70
Net GEX	94.9K	38.4K	205.5K	65.7K	86.1K
Net DEX	-584.8K	-922.3K	-324.4K	-436.9K	-840.7K
Net VEX	-2.2K	-2.9K	-1.7K	-2.4K	-2.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.56	0.10	0.83	0.43	0.72
Total Volume	98.5	55	328	97	62
Total OI	580.7	567	601	583	567

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
2017-07-03	$34.83	$35.00	43.5%	12.5%	12.5%	32.9%	50.7%	16.1%	19.5%	65.7K	-436.9K	-2.4K	0.43	122.76	68	29	528	55
2017-07-05	$34.66	$35.00	83.7%	24.0%	12.6%	72.7%	90.3%	-91.4%	-36.0%	40.8K	-592.9K	-2.9K	0.44	127.61	66	29	528	55
2017-07-06	$34.26	$35.00	13.5%	5.0%	13.0%	3.1%	17.4%	-1.9%	-0.9%	79.9K	-352.4K	-2.2K	0.47	42.45	62	29	528	55
2017-07-07	$34.27	$35.00	11.8%	4.8%	13.1%	1.4%	16.7%	-1.3%	-0.9%	87.0K	-370.4K	-2.2K	0.69	34.78	42	29	528	55
2017-07-10	$34.26	$35.00	33.9%	5.2%	12.9%	23.3%	18.1%	-1.1%	-1.2%	67.3K	-375.1K	-2.1K	0.69	92.65	42	29	516	55
2017-07-11	$34.10	$35.00	51.5%	4.7%	12.8%	40.9%	16.6%	-11.7%	-0.4%	62.0K	-324.4K	-2.0K	0.66	112.48	44	29	517	55
2017-07-12	$34.60	$35.00	16.6%	4.7%	14.0%	6.2%	16.6%	-0.1%	-0.1%	103.8K	-451.3K	-2.2K	0.62	53.53	47	29	526	55
2017-07-13	$34.41	$35.00	16.5%	4.7%	14.0%	6.1%	16.5%	-1.4%	-0.3%	97.0K	-394.1K	-2.1K	0.62	78.01	47	29	526	55
2017-07-14	$34.59	$35.00	16.2%	4.6%	13.4%	5.8%	16.2%	0.3%	-0.4%	104.0K	-456.5K	-2.2K	0.62	77.81	47	29	526	55
2017-07-17	$34.63	$35.00	16.6%	4.8%	12.6%	6.3%	16.6%	-0.4%	-0.8%	141.4K	-386.6K	-2.0K	0.64	71.12	45	29	526	55
2017-07-18	$34.80	$35.00	15.0%	4.3%	11.3%	4.6%	15.0%	-0.4%	0.4%	148.8K	-527.0K	-2.0K	0.47	69.90	62	29	546	55
2017-07-19	$34.96	$35.00	16.8%	4.8%	11.0%	6.4%	16.8%	18.0%	-1.1%	205.5K	-596.0K	-2.0K	0.48	95.31	62	30	545	55
2017-07-20	$35.20	$35.00	18.6%	5.3%	11.2%	8.2%	18.4%	19.1%	-1.6%	203.4K	-775.6K	-2.0K	0.75	69.91	40	30	545	55
2017-07-21	$35.38	$35.00	43.0%	12.3%	10.9%	32.4%	35.2%	-11.3%	-18.7%	38.4K	-922.3K	-1.7K	0.10	122.89	298	30	545	55
2017-07-24	$35.61	$35.00	15.9%	4.5%	11.1%	5.5%	15.8%	9.7%	0.9%	87.4K	-788.8K	-2.5K	0.16	90.47	156	25	522	49
2017-07-25	$35.58	$35.00	37.3%	10.7%	10.7%	26.7%	54.6%	-10.5%	-37.7%	76.0K	-774.8K	-2.3K	0.16	101.55	156	25	522	49
2017-07-26	$35.62	$35.00	69.6%	20.0%	10.4%	58.8%	66.5%	-9.4%	-48.7%	54.4K	-746.4K	-2.6K	0.83	131.56	30	25	522	49
2017-07-27	$35.82	$35.00	17.0%	4.9%	10.1%	6.6%	15.1%	14.1%	1.4%	81.6K	-811.9K	-2.4K	0.83	115.18	30	25	518	49
2017-07-28	$35.79	$35.00	23.3%	6.7%	9.1%	12.9%	14.2%	9.6%	1.7%	68.5K	-772.7K	-2.4K	0.83	122.55	30	25	518	49
2017-07-31	$35.91	$35.00	20.0%	5.7%	9.1%	9.6%	19.9%	4.3%	-2.7%	86.1K	-840.7K	-2.2K	0.72	66.15	36	26	518	49