OGE Options History — January 2018

In January 2018, OGE traded between $30.70 and $32.74. ATM implied volatility averaged 30.4%, placing in the 19.1% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 12.8% (HV 20d: 17.6%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.56.

Notable Days

2018-01-02: Highest Volume — 170 contracts
2018-01-05: Largest IV spike — 95.0% change
2018-01-25: Highest IV Rank — 69.2%
2018-01-25: Largest Expected Move — 24.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$31.86	$30.70	$32.74	$32.71	$32.22
Max Pain	$30.48	$30.00	$35.00	$35.00	$30.00
ATM IV	30.4%	13.7%	85.4%	13.7%	46.0%
Expected Move	8.5%	2.8%	24.5%	3.9%	13.2%
HV 20d	17.6%	11.2%	20.6%	14.0%	20.6%
HV 60d	15.3%	13.0%	16.6%	13.9%	16.6%
IV Rank	19.1%	3.9%	69.2%	3.9%	33.4%
IV Percentile	66.7%	17.5%	97.6%	17.5%	88.5%
Term Structure	-12.1%	-48.8%	7.7%	3.9%	-31.1%
VWIV	34.8%	13.6%	73.9%	19.6%	69.6%
Skew 25d	6.3%	-15.6%	45.8%	4.4%	-1.5%
Skew 10d	-8.8%	-62.2%	10.6%	6.2%	-59.1%
Call IV 25d	19.3%	11.6%	46.0%	14.4%	23.7%
Put IV 25d	25.6%	13.3%	91.7%	18.8%	22.2%
Bid-Ask Spread %	71.98	5.41	134.61	27.10	134.61
Gamma HHI	0.64	0.48	0.83	0.83	0.68
Net GEX	11.6K	3.5K	21.3K	16.2K	16.9K
Net DEX	-85.6K	-273.8K	88.6K	-78.2K	-248.5K
Net VEX	-1.4K	-1.8K	-905	-1.2K	-1.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.56	0.20	1.50	0.56	0.29
Total Volume	116.095	77	170	170	101
Total OI	509.286	440	573	440	554

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
2018-01-02	$32.71	$35.00	13.7%	3.9%	14.0%	3.9%	19.6%	4.4%	3.9%	16.2K	-78.2K	-1.2K	0.56	27.10	109	61	340	100
2018-01-03	$32.67	$35.00	15.3%	4.4%	14.0%	5.3%	22.6%	-0.1%	-3.6%	17.6K	-91.3K	-1.4K	0.56	5.41	109	61	361	101
2018-01-04	$32.57	$30.00	15.4%	2.9%	12.2%	5.5%	14.6%	6.5%	6.6%	16.8K	-83.7K	-1.4K	0.76	18.01	80	61	361	101
2018-01-05	$32.50	$30.00	30.0%	6.1%	12.2%	18.8%	13.6%	3.9%	-5.0%	16.1K	-71.1K	-1.3K	1.17	31.16	48	56	362	101
2018-01-08	$32.74	$30.00	15.3%	2.8%	11.2%	5.4%	14.0%	6.3%	6.3%	18.4K	-111.6K	-1.4K	0.82	13.79	61	50	363	102
2018-01-09	$32.10	$30.00	18.1%	5.5%	12.7%	7.9%	16.5%	2.4%	-1.4%	14.1K	-36.8K	-1.1K	1.50	32.18	38	57	365	103
2018-01-10	$30.89	$30.00	18.2%	5.2%	17.5%	8.0%	18.2%	4.8%	-0.3%	7.1K	59.1K	-905	0.57	8.29	58	33	366	103
2018-01-11	$31.23	$30.00	18.5%	5.3%	18.2%	8.3%	18.9%	-3.7%	-0.0%	8.0K	13.8K	-1.1K	0.78	13.52	67	52	369	118
2018-01-12	$30.70	$30.00	18.4%	5.3%	18.7%	8.2%	18.7%	-5.4%	-0.2%	3.5K	88.6K	-1.2K	0.80	8.35	69	55	382	143
2018-01-16	$30.96	$30.00	19.3%	5.5%	19.3%	9.0%	19.1%	1.5%	-1.0%	4.4K	59.1K	-1.2K	0.38	86.71	116	44	395	143
2018-01-17	$31.41	$30.00	19.7%	5.7%	20.0%	9.4%	19.7%	5.5%	-1.1%	6.0K	1.6K	-1.3K	0.49	12.42	107	52	420	152
2018-01-18	$31.33	$30.00	19.8%	5.7%	20.0%	9.4%	19.6%	5.8%	7.7%	6.9K	-5.0K	-1.5K	0.51	123.26	57	29	421	152
2018-01-19	$31.41	$30.00	34.7%	9.9%	19.8%	23.0%	42.6%	3.7%	-0.5%	5.5K	-6.6K	-1.3K	0.28	122.47	75	21	416	144
2018-01-22	$31.57	$30.00	36.3%	10.4%	19.7%	24.5%	16.8%	43.5%	-1.0%	8.0K	-65.4K	-1.3K	0.28	118.28	64	18	356	107
2018-01-23	$31.91	$30.00	30.0%	8.6%	20.0%	18.8%	37.4%	9.5%	-18.7%	13.6K	-202.0K	-1.3K	0.20	115.29	64	13	391	107
2018-01-24	$32.19	$30.00	53.1%	15.2%	19.8%	39.9%	68.4%	24.1%	-40.7%	21.3K	-273.8K	-1.6K	0.37	123.02	89	33	392	107
2018-01-25	$32.28	$30.00	85.4%	24.5%	19.8%	69.2%	73.8%	45.8%	-41.1%	8.5K	-258.8K	-1.7K	0.39	129.08	84	33	418	127
2018-01-26	$32.10	$30.00	46.1%	13.2%	19.9%	33.5%	69.5%	2.0%	-47.6%	14.3K	-188.0K	-1.8K	0.42	124.50	78	33	410	137
2018-01-29	$31.74	$30.00	39.1%	11.2%	20.0%	27.0%	62.8%	-15.6%	-48.8%	6.3K	-148.7K	-1.6K	0.29	129.76	78	23	414	137
2018-01-30	$31.77	$30.00	46.3%	13.3%	20.0%	33.6%	73.9%	-11.4%	-36.3%	13.8K	-150.6K	-1.8K	0.29	134.35	78	23	414	140
2018-01-31	$32.22	$30.00	46.0%	13.2%	20.6%	33.4%	69.6%	-1.5%	-31.1%	16.9K	-248.5K	-1.6K	0.29	134.61	78	23	414	140