OGE Options History — September 2017

In September 2017, OGE traded between $35.59 and $36.60. ATM implied volatility averaged 16.8%, placing in the 7.4% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 6.8% (HV 20d: 10.0%). 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 11 of 20 days. Put/call ratio averaged 0.34.

Notable Days

2017-09-15: Highest Volume — 332 contracts
2017-09-20: Largest IV spike — 98.3% change
2017-09-20: Highest IV Rank — 23.2%
2017-09-20: Largest Expected Move — 9.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$36.07	$35.59	$36.60	$35.78	$36.06
Max Pain	$35.00	$35.00	$35.00	$35.00	$35.00
ATM IV	16.8%	10.2%	32.3%	10.2%	13.7%
Expected Move	4.8%	2.9%	9.3%	2.9%	3.9%
HV 20d	10.0%	8.5%	11.1%	8.7%	10.5%
HV 60d	9.8%	9.0%	10.5%	10.3%	9.0%
IV Rank	7.4%	0.7%	23.2%	0.7%	4.3%
IV Percentile	29.8%	1.6%	80.2%	1.6%	13.5%
Term Structure	0.9%	-10.0%	14.4%	4.7%	3.7%
VWIV	16.2%	9.8%	24.5%	9.8%	13.5%
Skew 25d	1.7%	-20.0%	9.5%	-20.0%	1.8%
Skew 10d	13.7%	-4.9%	49.2%	-4.9%	24.9%
Call IV 25d	15.8%	11.8%	36.2%	36.2%	14.8%
Put IV 25d	17.5%	13.0%	23.2%	16.2%	16.5%
Bid-Ask Spread %	68.16	31.34	129.14	34.50	55.99
Gamma HHI	0.60	0.51	0.76	0.71	0.60
Net GEX	65.0K	26.4K	115.5K	100.9K	62.2K
Net DEX	-756.1K	-1.1M	-489.9K	-899.3K	-618.9K
Net VEX	-1.7K	-1.9K	-1.4K	-1.8K	-1.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.34	0.07	0.47	0.47	0.37
Total Volume	102.15	63	332	63	82
Total OI	546.55	464	615	611	498

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
2017-09-01	$35.78	$35.00	10.2%	2.9%	8.7%	0.7%	9.8%	-20.0%	4.7%	100.9K	-899.3K	-1.8K	0.47	34.50	43	20	554	57
2017-09-05	$35.59	$35.00	12.5%	4.6%	8.5%	3.0%	16.0%	3.5%	0.1%	115.5K	-800.4K	-1.7K	0.47	71.25	43	20	554	57
2017-09-06	$35.69	$35.00	16.2%	4.4%	8.5%	6.6%	15.4%	3.0%	0.2%	102.2K	-805.7K	-1.7K	0.37	55.09	54	20	554	57
2017-09-07	$35.99	$35.00	16.4%	5.0%	8.8%	6.9%	17.4%	3.6%	-1.1%	82.8K	-925.3K	-1.6K	0.39	32.87	51	20	548	57
2017-09-08	$36.13	$35.00	19.6%	5.1%	8.6%	10.0%	17.8%	4.4%	-1.3%	77.9K	-961.2K	-1.6K	0.39	35.84	51	20	553	57
2017-09-11	$36.60	$35.00	19.1%	5.1%	8.7%	9.5%	16.6%	5.3%	-1.8%	41.2K	-1.1M	-1.6K	0.33	99.04	75	25	553	57
2017-09-12	$36.13	$35.00	21.8%	5.4%	10.1%	12.2%	18.6%	3.7%	-3.1%	64.6K	-1.0M	-1.5K	0.33	115.07	75	25	553	62
2017-09-13	$35.95	$35.00	15.3%	4.4%	10.3%	6.0%	15.5%	1.3%	0.9%	71.2K	-911.4K	-1.4K	0.26	71.19	97	25	535	62
2017-09-14	$36.27	$35.00	16.6%	4.8%	10.7%	7.3%	16.8%	9.5%	-0.0%	48.7K	-956.2K	-1.6K	0.26	81.28	97	25	535	62
2017-09-15	$36.31	$35.00	13.1%	3.8%	10.5%	3.8%	13.3%	-2.3%	3.5%	26.4K	-982.5K	-1.6K	0.07	94.18	311	21	535	62
2017-09-18	$36.21	$35.00	12.4%	3.5%	10.5%	3.0%	12.2%	-3.0%	14.4%	69.7K	-597.7K	-1.9K	0.13	109.03	168	22	433	31
2017-09-19	$36.26	$35.00	16.3%	4.7%	10.4%	7.0%	16.3%	3.3%	8.6%	51.3K	-577.7K	-1.9K	0.37	50.46	59	22	433	43
2017-09-20	$36.08	$35.00	32.3%	9.3%	10.1%	23.2%	24.5%	-3.4%	-8.5%	40.5K	-531.8K	-1.5K	0.37	129.14	59	22	436	43
2017-09-21	$35.89	$35.00	16.1%	4.6%	10.1%	6.8%	16.1%	2.3%	0.6%	53.5K	-511.8K	-1.8K	0.37	41.61	59	22	436	43
2017-09-22	$35.83	$35.00	16.2%	4.6%	10.1%	6.9%	16.2%	3.9%	-0.1%	53.6K	-489.9K	-1.7K	0.37	82.54	60	22	436	43
2017-09-25	$36.25	$35.00	23.7%	6.8%	11.0%	14.5%	24.4%	5.8%	-10.0%	50.6K	-651.2K	-1.8K	0.37	79.90	60	22	455	43
2017-09-26	$36.20	$35.00	14.5%	4.1%	11.0%	5.1%	14.3%	6.3%	3.8%	63.5K	-607.5K	-1.8K	0.37	37.51	60	22	455	43
2017-09-27	$35.99	$35.00	12.5%	3.6%	11.0%	3.1%	12.1%	3.9%	4.6%	64.4K	-574.3K	-1.6K	0.37	55.41	60	22	455	43
2017-09-28	$36.17	$35.00	16.7%	4.8%	11.1%	7.4%	16.7%	1.1%	-1.0%	59.8K	-610.4K	-1.7K	0.37	31.34	60	22	455	43
2017-09-29	$36.06	$35.00	13.7%	3.9%	10.5%	4.3%	13.5%	1.8%	3.7%	62.2K	-618.9K	-1.5K	0.37	55.99	60	22	455	43