OGE Options History — November 2017

In November 2017, OGE traded between $34.84 and $36.64. ATM implied volatility averaged 35.3%, placing in the 26.5% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded above realized volatility by 22.3% (HV 20d: 13.0%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.60.

Notable Days

2017-11-30: Highest Volume — 186 contracts
2017-11-22: Largest IV spike — 474.0% change
2017-11-30: Highest IV Rank — 78.5%
2017-11-30: Largest Expected Move — 24.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$35.43	$34.84	$36.64	$36.64	$35.75
Max Pain	$35.00	$35.00	$35.00	$35.00	$35.00
ATM IV	35.3%	12.7%	86.0%	39.2%	86.0%
Expected Move	9.7%	3.6%	24.7%	11.2%	24.7%
HV 20d	13.0%	10.8%	15.0%	11.6%	15.0%
HV 60d	11.5%	10.1%	12.3%	10.1%	12.3%
IV Rank	26.5%	3.3%	78.5%	30.6%	78.5%
IV Percentile	60.6%	8.7%	98.8%	90.1%	98.8%
Term Structure	-8.2%	-40.8%	21.3%	-0.2%	-38.0%
VWIV	23.5%	12.1%	42.8%	29.6%	42.6%
Skew 25d	-1.1%	-49.4%	21.9%	-49.4%	-4.1%
Skew 10d	7.5%	-43.5%	82.5%	-1.1%	38.3%
Call IV 25d	27.9%	14.3%	93.7%	93.7%	24.1%
Put IV 25d	26.7%	14.3%	50.0%	44.3%	20.0%
Bid-Ask Spread %	117.60	75.12	138.71	138.71	125.42
Gamma HHI	0.58	0.49	0.80	0.80	0.64
Net GEX	18.7K	8.5K	27.8K	21.3K	18.5K
Net DEX	-233.7K	-556.3K	-117.5K	-556.3K	-228.2K
Net VEX	-1.2K	-1.9K	-766	-1.9K	-1.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.60	0.29	1.09	0.61	0.29
Total Volume	114	61	186	61	186
Total OI	375.952	348	390	348	390

Daily Data (21 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
2017-11-01	$36.64	$35.00	39.2%	11.2%	11.6%	30.6%	29.6%	-49.4%	-0.2%	21.3K	-556.3K	-1.9K	0.61	138.71	38	23	306	42
2017-11-02	$36.05	$35.00	29.1%	4.9%	12.9%	20.2%	23.4%	-6.0%	9.5%	22.1K	-261.0K	-1.2K	0.95	124.68	38	36	306	42
2017-11-03	$35.65	$35.00	19.2%	4.1%	11.5%	10.0%	15.9%	-6.8%	6.4%	16.8K	-210.7K	-1.1K	0.69	123.44	52	36	306	55
2017-11-06	$35.37	$35.00	18.0%	4.5%	11.7%	8.8%	16.4%	-8.7%	0.3%	17.0K	-178.6K	-941	1.09	107.42	33	36	316	55
2017-11-07	$35.83	$35.00	20.3%	3.8%	11.8%	11.2%	13.5%	-3.1%	3.1%	18.1K	-229.5K	-923	1.09	75.12	33	36	316	55
2017-11-08	$35.71	$35.00	13.5%	3.9%	11.4%	4.2%	14.2%	21.9%	2.2%	17.9K	-197.2K	-861	0.56	114.81	64	36	316	55
2017-11-09	$35.52	$35.00	16.3%	4.7%	10.8%	7.0%	19.1%	-10.6%	-2.0%	20.7K	-208.0K	-1.1K	0.56	115.23	64	36	326	55
2017-11-10	$35.00	$35.00	17.1%	4.9%	11.7%	7.8%	21.4%	-28.0%	10.8%	17.7K	-192.7K	-1.2K	0.73	118.94	59	43	326	55
2017-11-13	$35.15	$35.00	18.0%	5.2%	11.9%	8.8%	18.7%	-5.0%	-4.7%	8.5K	-117.5K	-766	0.67	113.79	64	43	321	55
2017-11-14	$35.83	$35.00	17.1%	4.9%	13.8%	7.9%	16.9%	3.0%	-0.7%	19.5K	-228.9K	-1.0K	0.78	117.56	55	43	326	55
2017-11-15	$35.54	$35.00	17.1%	4.9%	14.0%	7.9%	17.1%	4.1%	-0.3%	18.4K	-204.3K	-1.0K	0.78	115.14	55	43	327	55
2017-11-16	$35.45	$35.00	17.9%	5.1%	14.0%	8.7%	19.7%	-2.6%	-2.0%	15.4K	-188.5K	-911	0.45	97.63	95	43	327	55
2017-11-17	$35.20	$35.00	15.8%	4.5%	14.0%	6.6%	15.8%	7.8%	1.9%	20.3K	-195.3K	-968	0.45	97.27	95	43	327	55
2017-11-20	$34.95	$35.00	17.5%	5.0%	13.7%	8.3%	17.5%	1.3%	-0.6%	18.9K	-140.0K	-849	0.35	121.77	93	33	325	45
2017-11-21	$34.84	$35.00	12.7%	3.6%	13.7%	3.3%	12.1%	2.1%	21.3%	21.9K	-145.3K	-815	0.39	116.16	85	33	325	45
2017-11-22	$34.88	$35.00	72.7%	20.8%	13.7%	64.9%	31.1%	12.0%	-28.2%	18.0K	-305.8K	-1.6K	0.45	129.62	95	43	325	45
2017-11-24	$34.90	$35.00	47.9%	13.7%	13.5%	39.4%	26.1%	12.3%	-40.8%	27.8K	-297.4K	-1.4K	0.40	129.58	104	42	335	55
2017-11-27	$35.16	$35.00	79.8%	22.9%	13.7%	72.2%	39.4%	6.6%	-32.9%	17.9K	-221.9K	-1.3K	0.40	129.01	104	42	326	64
2017-11-28	$35.38	$35.00	80.6%	23.1%	14.0%	72.9%	40.8%	13.0%	-39.7%	18.2K	-281.8K	-1.5K	0.40	128.16	104	42	326	64
2017-11-29	$35.28	$35.00	84.6%	24.3%	14.0%	77.1%	42.8%	16.2%	-38.4%	17.6K	-319.4K	-1.6K	0.40	130.05	104	42	326	64
2017-11-30	$35.75	$35.00	86.0%	24.7%	15.0%	78.5%	42.6%	-4.1%	-38.0%	18.5K	-228.2K	-1.3K	0.29	125.42	144	42	326	64