OGE Options History — December 2017

In December 2017, OGE traded between $32.67 and $35.20. ATM implied volatility averaged 38.6%, placing in the 28.8% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 23.3% (HV 20d: 15.3%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.43.

Notable Days

2017-12-12: Highest Volume — 254 contracts
2017-12-08: Largest IV spike — 223.8% change
2017-12-12: Highest IV Rank — 100.0%
2017-12-01: Largest Expected Move — 26.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$33.79	$32.67	$35.20	$35.20	$32.94
Max Pain	$33.50	$30.00	$35.00	$35.00	$35.00
ATM IV	38.6%	11.1%	119.1%	93.3%	11.2%
Expected Move	6.6%	3.2%	26.7%	26.7%	3.2%
HV 20d	15.3%	14.0%	16.3%	14.9%	14.6%
HV 60d	13.3%	12.6%	13.9%	12.6%	13.9%
IV Rank	28.8%	1.6%	100.0%	86.0%	1.7%
IV Percentile	53.0%	3.2%	100.0%	99.6%	3.6%
Term Structure	-1.0%	-46.6%	24.2%	-46.6%	5.2%
VWIV	26.9%	11.1%	59.8%	59.8%	19.4%
Skew 25d	11.4%	-7.5%	97.6%	97.6%	-4.6%
Skew 10d	18.7%	-14.7%	120.3%	59.2%	11.4%
Call IV 25d	21.1%	11.3%	65.7%	35.3%	16.2%
Put IV 25d	32.4%	10.6%	132.9%	132.9%	11.6%
Bid-Ask Spread %	94.92	5.10	136.63	128.38	5.10
Gamma HHI	0.62	0.46	0.82	0.77	0.82
Net GEX	11.1K	4.4K	20.7K	17.4K	17.6K
Net DEX	-93.9K	-397.1K	46.1K	-397.1K	-70.2K
Net VEX	-913	-1.7K	-476	-1.7K	-1.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.43	0.20	0.73	0.27	0.65
Total Volume	180.7	71	254	196	152
Total OI	391.75	217	478	410	434

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
2017-12-01	$35.20	$35.00	93.3%	26.7%	14.9%	86.0%	59.8%	97.6%	-46.6%	17.4K	-397.1K	-1.7K	0.27	128.38	154	42	346	64
2017-12-04	$35.06	$30.00	59.8%	5.0%	14.5%	51.6%	25.3%	0.2%	3.1%	18.0K	-232.4K	-1.1K	0.29	126.51	146	42	366	64
2017-12-05	$34.30	$30.00	103.6%	13.5%	16.1%	96.5%	50.8%	2.8%	-14.3%	20.7K	-319.3K	-1.4K	0.37	136.63	142	53	366	64
2017-12-06	$34.16	$30.00	47.1%	5.3%	15.2%	38.7%	20.1%	74.3%	-3.0%	8.2K	-93.8K	-763	0.37	121.10	142	53	360	84
2017-12-07	$34.64	$30.00	25.3%	4.6%	16.3%	16.3%	18.9%	-4.1%	-1.6%	5.2K	-93.9K	-749	0.37	116.38	142	53	360	84
2017-12-08	$34.46	$30.00	81.8%	9.4%	16.3%	74.2%	26.6%	-6.2%	-6.1%	17.1K	-221.4K	-1.2K	0.37	128.17	143	53	360	84
2017-12-11	$34.55	$30.00	46.4%	3.3%	15.5%	37.9%	11.1%	-1.5%	3.5%	6.6K	-92.8K	-704	0.41	112.12	152	63	362	84
2017-12-12	$34.08	$35.00	119.1%	8.6%	16.1%	100.0%	23.9%	9.4%	-28.2%	12.0K	-151.5K	-828	0.34	123.41	190	64	374	104
2017-12-13	$33.90	$35.00	26.3%	7.5%	14.1%	15.4%	28.8%	91.7%	3.1%	5.8K	46.1K	-629	0.34	131.54	190	64	384	93
2017-12-14	$33.85	$35.00	13.0%	3.7%	14.0%	3.2%	12.9%	-3.6%	1.4%	6.1K	-62.4K	-627	0.29	107.47	185	53	384	93
2017-12-15	$34.10	$35.00	11.3%	3.2%	14.4%	1.7%	11.4%	0.3%	5.1%	7.4K	2.4K	-617	0.20	112.50	181	36	383	85
2017-12-18	$33.81	$35.00	14.9%	4.3%	14.5%	5.0%	15.9%	-0.3%	24.2%	6.5K	-17.4K	-539	0.58	115.29	48	28	178	39
2017-12-19	$33.36	$35.00	33.6%	9.6%	15.0%	22.1%	49.0%	-5.0%	14.7%	7.5K	-4.5K	-606	0.65	123.79	43	28	186	39
2017-12-20	$33.00	$35.00	23.5%	6.7%	15.3%	12.8%	38.4%	2.2%	5.0%	7.4K	-16.7K	-635	0.60	121.54	47	28	189	39
2017-12-21	$32.67	$35.00	13.5%	3.9%	15.4%	3.7%	26.0%	-7.5%	0.7%	6.1K	27.4K	-476	0.73	55.67	73	53	189	39
2017-12-22	$33.03	$35.00	12.5%	3.6%	16.2%	2.8%	26.0%	-4.8%	0.3%	4.4K	15.0K	-769	0.32	55.10	167	53	215	89
2017-12-26	$32.85	$35.00	12.5%	3.6%	15.7%	2.8%	31.1%	-6.3%	3.7%	15.6K	-55.8K	-1.3K	0.32	35.97	176	57	312	89
2017-12-27	$32.78	$35.00	11.1%	3.2%	15.3%	1.6%	21.0%	-3.9%	5.5%	15.9K	-67.2K	-1.2K	0.61	36.09	99	60	323	93
2017-12-28	$33.02	$35.00	11.8%	3.4%	15.8%	2.1%	21.3%	-3.4%	5.1%	17.2K	-72.7K	-1.3K	0.61	5.62	99	60	334	100
2017-12-29	$32.94	$35.00	11.2%	3.2%	14.6%	1.7%	19.4%	-4.6%	5.2%	17.6K	-70.2K	-1.2K	0.65	5.10	92	60	334	100