OGE Options History — November 2018

In November 2018, OGE traded between $35.67 and $39.50. ATM implied volatility averaged 32.8%, placing in the 20.1% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 12.7% (HV 20d: 20.1%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.93.

Notable Days

2018-11-26: Highest Volume — 108 contracts
2018-11-07: Largest IV spike — 129.8% change
2018-11-08: Highest IV Rank — 87.0%
2018-11-08: Largest Expected Move — 9.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$38.41	$35.67	$39.50	$36.01	$39.50
Max Pain	$35.00	$35.00	$35.00	$35.00	$35.00
ATM IV	32.8%	13.0%	105.1%	22.1%	16.0%
Expected Move	5.9%	3.7%	9.7%	6.3%	4.6%
HV 20d	20.1%	16.9%	22.4%	20.0%	16.9%
HV 60d	18.3%	17.0%	18.8%	17.4%	18.7%
IV Rank	20.1%	1.8%	87.0%	10.1%	4.5%
IV Percentile	39.7%	6.0%	99.6%	41.3%	17.9%
Term Structure	-1.9%	-15.0%	5.6%	1.5%	0.3%
VWIV	21.6%	11.9%	42.6%	23.7%	16.6%
Skew 25d	-6.2%	-36.1%	11.9%	-36.1%	-7.6%
Skew 10d	-21.8%	-50.3%	12.0%	-47.3%	-14.9%
Call IV 25d	28.2%	15.9%	58.5%	58.5%	23.1%
Put IV 25d	22.0%	12.5%	63.0%	22.5%	15.5%
Bid-Ask Spread %	110.29	52.89	133.13	111.31	102.58
Gamma HHI	0.76	0.48	0.93	0.49	0.90
Net GEX	34.8K	-27.4K	56.0K	-7.9K	54.3K
Net DEX	-848.3K	-1.1M	-194.3K	-293.8K	-1.1M
Net VEX	-3.6K	-4.2K	-3.2K	-4.2K	-3.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.93	0.59	1.43	0.73	1.05
Total Volume	91.429	75	108	83	88
Total OI	784.429	696	853	824	735

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
2018-11-01	$36.01	$35.00	22.1%	6.3%	20.0%	10.1%	23.7%	-36.1%	1.5%	-7.9K	-293.8K	-4.2K	0.73	111.31	48	35	481	343
2018-11-02	$35.67	$35.00	17.9%	5.1%	19.4%	6.3%	17.0%	4.0%	5.3%	-27.4K	-194.3K	-4.2K	0.73	111.17	48	35	481	343
2018-11-05	$36.61	$35.00	27.6%	8.4%	21.1%	15.2%	29.7%	1.4%	-8.4%	2.0K	-442.9K	-4.2K	0.73	125.45	48	35	481	343
2018-11-06	$37.06	$35.00	24.7%	8.8%	21.6%	12.5%	29.2%	3.0%	-15.0%	14.5K	-597.7K	-4.0K	0.73	121.96	48	35	481	343
2018-11-07	$37.66	$35.00	56.7%	9.0%	22.4%	42.2%	42.6%	11.9%	-10.3%	13.8K	-659.2K	-4.2K	0.73	133.13	48	35	481	343
2018-11-08	$37.62	$35.00	105.1%	9.7%	20.3%	87.0%	28.2%	-17.7%	-10.7%	17.8K	-611.8K	-4.0K	0.73	126.04	48	35	481	343
2018-11-09	$38.30	$35.00	61.4%	6.5%	20.9%	46.5%	27.3%	2.9%	1.3%	23.4K	-751.8K	-3.8K	0.78	124.89	45	35	481	343
2018-11-12	$38.69	$35.00	79.3%	5.6%	20.9%	63.1%	19.5%	-6.9%	-5.8%	41.2K	-911.4K	-3.5K	0.80	117.81	56	45	482	343
2018-11-13	$39.26	$35.00	101.3%	9.1%	21.1%	83.5%	27.4%	-19.6%	-11.4%	46.1K	-871.9K	-3.5K	0.80	131.49	56	45	487	363
2018-11-14	$38.89	$35.00	13.3%	3.8%	21.5%	2.0%	15.7%	0.1%	1.5%	52.7K	-1.0M	-3.5K	0.83	112.64	54	45	487	363
2018-11-15	$39.30	$35.00	17.0%	4.9%	21.7%	5.4%	18.0%	4.6%	-0.8%	51.0K	-1.1M	-3.6K	0.69	99.97	54	37	490	363
2018-11-16	$39.28	$35.00	15.6%	4.5%	21.4%	4.2%	16.2%	-20.2%	0.5%	56.0K	-1.1M	-3.5K	0.59	97.56	63	37	490	361
2018-11-19	$39.37	$35.00	17.7%	5.1%	20.6%	6.1%	16.5%	-1.7%	5.6%	53.2K	-1.1M	-3.6K	0.92	102.22	39	36	475	221
2018-11-20	$39.34	$35.00	17.8%	5.1%	20.6%	6.2%	22.7%	-11.5%	-1.3%	46.4K	-1.0M	-3.6K	1.13	104.33	39	44	476	229
2018-11-21	$38.76	$35.00	13.0%	3.7%	20.9%	1.8%	16.1%	-3.4%	3.8%	48.4K	-965.9K	-3.3K	1.13	110.36	39	44	476	231
2018-11-23	$38.97	$35.00	17.7%	5.1%	20.1%	6.1%	22.2%	-6.8%	-1.3%	45.0K	-1.0M	-3.4K	1.08	116.57	48	52	476	231
2018-11-26	$38.98	$35.00	17.8%	5.1%	18.3%	6.1%	18.4%	-7.6%	-0.8%	47.1K	-1.0M	-3.5K	1.25	103.90	48	60	485	239
2018-11-27	$39.27	$35.00	17.5%	5.0%	18.0%	5.9%	17.7%	-1.2%	-0.5%	50.3K	-1.0M	-3.3K	1.25	52.89	48	60	485	249
2018-11-28	$39.18	$35.00	16.9%	4.8%	18.0%	5.3%	17.3%	-17.9%	3.2%	51.1K	-1.0M	-3.2K	1.43	106.22	42	60	485	249
2018-11-29	$38.92	$35.00	13.1%	3.8%	17.1%	1.8%	11.9%	-0.8%	3.3%	51.4K	-972.3K	-3.2K	1.40	103.68	43	60	485	249
2018-11-30	$39.50	$35.00	16.0%	4.6%	16.9%	4.5%	16.6%	-7.6%	0.3%	54.3K	-1.1M	-3.2K	1.05	102.58	43	45	486	249