OGE Options History — September 2018

In September 2018, OGE traded between $35.52 and $37.59. ATM implied volatility averaged 31.4%, placing in the 18.8% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 17.0% (HV 20d: 14.4%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 1.46.

Notable Days

2018-09-07: Highest Volume — 266 contracts
2018-09-26: Largest IV spike — 227.7% change
2018-09-06: Highest IV Rank — 57.7%
2018-09-26: Largest Expected Move — 18.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$36.81	$35.52	$37.59	$36.66	$36.30
Max Pain	$35.00	$35.00	$35.00	$35.00	$35.00
ATM IV	31.4%	14.0%	73.5%	14.0%	40.5%
Expected Move	8.3%	4.0%	18.4%	4.0%	11.6%
HV 20d	14.4%	12.0%	18.4%	12.3%	18.4%
HV 60d	15.9%	15.1%	17.4%	15.3%	17.4%
IV Rank	18.8%	3.5%	57.7%	3.5%	27.2%
IV Percentile	55.1%	11.1%	94.4%	11.1%	76.6%
Term Structure	-15.2%	-40.7%	11.3%	-0.8%	-36.0%
VWIV	33.1%	14.6%	70.0%	14.6%	56.8%
Skew 25d	-10.7%	-49.1%	10.9%	-44.9%	-31.9%
Skew 10d	8.4%	-55.1%	36.3%	-55.1%	-4.7%
Call IV 25d	35.2%	16.0%	95.4%	57.9%	57.7%
Put IV 25d	24.5%	13.1%	98.8%	13.1%	25.7%
Bid-Ask Spread %	125.54	115.83	133.21	116.76	125.39
Gamma HHI	0.56	0.47	0.70	0.70	0.64
Net GEX	32.3K	17.2K	45.5K	38.9K	40.7K
Net DEX	-774.3K	-1.1M	-349.8K	-915.0K	-647.6K
Net VEX	-2.2K	-2.7K	-1.5K	-1.5K	-2.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.46	0.45	6.43	1.01	0.82
Total Volume	152.211	52	266	165	180
Total OI	591.158	355	751	623	491

Daily Data (19 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
2018-09-04	$36.66	$35.00	14.0%	4.0%	12.3%	3.5%	14.6%	-44.9%	-0.8%	38.9K	-915.0K	-1.5K	1.01	116.76	82	83	363	260
2018-09-05	$37.26	$35.00	41.5%	11.9%	13.6%	28.1%	58.3%	-49.1%	-30.9%	30.4K	-791.2K	-2.3K	1.05	127.48	79	83	370	274
2018-09-06	$37.55	$0.00	73.5%	13.2%	13.6%	57.7%	0.0%	-31.2%	-40.7%	31.0K	-835.0K	-2.1K	0.86	132.38	97	83	372	274
2018-09-07	$37.02	$0.00	19.7%	9.5%	13.0%	8.0%	0.0%	-11.3%	-33.0%	31.7K	-904.3K	-2.0K	0.45	123.36	183	83	366	274
2018-09-10	$37.59	$0.00	34.0%	5.0%	14.1%	21.2%	0.0%	-1.1%	1.3%	34.0K	-903.8K	-2.2K	1.06	122.35	78	83	373	274
2018-09-11	$37.38	$0.00	45.5%	8.2%	13.9%	31.8%	0.0%	1.5%	-19.5%	35.1K	-867.4K	-2.2K	1.28	127.73	65	83	380	274
2018-09-12	$37.23	$0.00	29.0%	8.3%	13.6%	16.6%	0.0%	0.7%	-22.7%	37.5K	-903.2K	-2.2K	1.28	133.21	65	83	383	274
2018-09-13	$37.39	$0.00	26.5%	7.6%	13.6%	14.2%	0.0%	1.8%	-20.5%	37.1K	-917.7K	-2.2K	1.28	131.39	65	83	383	274
2018-09-14	$37.42	$0.00	18.6%	5.3%	12.0%	6.9%	0.0%	-15.8%	-5.3%	36.6K	-935.6K	-2.1K	1.28	128.43	65	83	383	274
2018-09-17	$37.36	$0.00	30.6%	8.8%	12.0%	18.0%	0.0%	1.3%	-22.7%	24.7K	-909.2K	-2.3K	1.28	126.73	65	83	383	274
2018-09-18	$37.17	$0.00	29.0%	8.3%	12.1%	16.5%	0.0%	-1.5%	-24.1%	27.0K	-921.9K	-2.1K	1.22	125.71	68	83	383	274
2018-09-19	$36.23	$0.00	16.6%	4.8%	14.8%	5.1%	0.0%	3.2%	2.9%	34.1K	-802.8K	-2.2K	0.99	115.83	84	83	383	274
2018-09-20	$36.57	$0.00	16.0%	4.6%	15.0%	4.5%	16.5%	-25.7%	1.7%	45.5K	-770.9K	-2.3K	0.94	116.92	86	81	404	274
2018-09-21	$36.85	$35.00	22.3%	6.4%	15.3%	10.3%	18.5%	-3.3%	-6.4%	26.0K	-1.1M	-2.3K	0.96	131.58	84	81	469	282
2018-09-24	$36.51	$35.00	28.1%	8.1%	15.4%	15.7%	15.5%	-12.8%	-11.9%	29.4K	-447.5K	-2.2K	6.43	130.40	7	45	280	75
2018-09-25	$35.78	$35.00	19.6%	5.6%	16.9%	7.8%	20.7%	10.9%	11.3%	29.3K	-371.2K	-2.2K	2.20	117.11	25	55	281	75
2018-09-26	$35.52	$35.00	64.1%	18.4%	17.0%	49.0%	70.0%	3.4%	-22.8%	17.2K	-382.4K	-2.7K	2.64	132.83	25	66	300	87
2018-09-27	$35.66	$35.00	27.1%	7.8%	17.0%	14.8%	27.2%	1.6%	-9.5%	26.6K	-349.8K	-2.6K	0.67	119.62	99	66	310	108
2018-09-28	$36.30	$35.00	40.5%	11.6%	18.4%	27.2%	56.8%	-31.9%	-36.0%	40.7K	-647.6K	-2.7K	0.82	125.39	99	81	383	108