OGE Options History — December 2018

In December 2018, OGE traded between $38.12 and $41.67. ATM implied volatility averaged 22.3%, placing in the 11.4% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 5.2% (HV 20d: 17.1%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 2.24.

Notable Days

2018-12-07: Highest Volume — 128 contracts
2018-12-19: Largest IV spike — 148.3% change
2018-12-19: Highest IV Rank — 44.1%
2018-12-19: Largest Expected Move — 15.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$40.03	$38.12	$41.67	$39.85	$39.08
Max Pain	$39.25	$35.00	$40.00	$35.00	$40.00
ATM IV	22.3%	13.9%	52.6%	15.4%	23.4%
Expected Move	6.6%	4.4%	15.1%	4.4%	6.7%
HV 20d	17.1%	10.8%	24.9%	16.1%	24.2%
HV 60d	19.0%	17.5%	21.0%	18.5%	20.6%
IV Rank	11.4%	2.6%	44.1%	4.0%	13.0%
IV Percentile	39.1%	9.5%	88.5%	15.5%	47.6%
Term Structure	-1.5%	-29.2%	14.5%	0.5%	-2.5%
VWIV	21.6%	14.6%	38.6%	15.5%	23.2%
Skew 25d	9.5%	-6.1%	56.2%	4.9%	-3.6%
Skew 10d	11.0%	-14.1%	59.2%	0.7%	-14.1%
Call IV 25d	22.8%	12.0%	52.7%	52.7%	26.5%
Put IV 25d	32.3%	17.9%	75.8%	57.6%	22.9%
Bid-Ask Spread %	109.90	65.31	129.34	65.31	118.01
Gamma HHI	0.85	0.65	0.95	0.91	0.77
Net GEX	58.3K	32.1K	120.1K	57.3K	49.8K
Net DEX	-1.1M	-1.5M	-524.2K	-1.2M	-566.1K
Net VEX	-3.6K	-4.6K	-3.1K	-3.1K	-3.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.24	0.00	8.50	0.00	0.67
Total Volume	50.15	3	128	21	5
Total OI	760.5	586	892	738	630

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
2018-12-03	$39.85	$35.00	15.4%	4.4%	16.1%	4.0%	15.5%	4.9%	0.5%	57.3K	-1.2M	-3.1K	0.00	65.31	21	0	486	252
2018-12-04	$39.99	$35.00	18.8%	5.4%	14.2%	7.1%	18.8%	-6.1%	2.2%	60.9K	-1.3M	-3.2K	0.05	77.08	21	1	506	252
2018-12-05	$40.04	$35.00	20.5%	5.9%	14.0%	8.7%	20.5%	28.7%	0.1%	60.0K	-1.3M	-3.2K	0.05	78.76	21	1	506	252
2018-12-06	$40.23	$40.00	18.6%	5.4%	13.2%	7.0%	0.0%	6.2%	-1.1%	54.7K	-1.3M	-3.2K	0.00	108.55	8	0	497	253
2018-12-07	$40.35	$40.00	18.2%	7.6%	13.1%	6.5%	19.2%	32.4%	-5.8%	50.4K	-1.3M	-3.2K	0.01	122.48	127	1	505	253
2018-12-10	$40.84	$40.00	15.8%	6.2%	12.4%	4.3%	22.0%	12.1%	-3.2%	69.0K	-1.3M	-3.5K	0.50	116.53	2	1	516	253
2018-12-11	$41.26	$40.00	13.9%	5.0%	12.4%	2.6%	17.4%	4.5%	-0.5%	62.1K	-1.5M	-3.2K	0.07	109.42	14	1	516	254
2018-12-12	$41.40	$40.00	24.9%	7.1%	11.6%	12.8%	14.6%	17.5%	5.1%	59.1K	-1.5M	-3.3K	2.83	129.34	18	51	520	254
2018-12-13	$41.67	$40.00	17.7%	5.1%	10.8%	6.9%	16.8%	4.4%	0.3%	52.7K	-1.4M	-3.7K	1.13	108.71	45	51	527	304
2018-12-14	$41.50	$40.00	21.2%	6.1%	10.8%	10.7%	19.9%	3.4%	-3.7%	58.5K	-1.4M	-3.9K	0.77	117.07	66	51	551	304
2018-12-17	$39.93	$40.00	18.4%	5.3%	18.2%	7.7%	18.2%	2.8%	0.0%	64.6K	-1.0M	-4.1K	8.50	114.79	6	51	576	304
2018-12-18	$40.11	$40.00	21.2%	6.1%	18.2%	10.7%	26.5%	0.8%	-1.2%	73.0K	-1.0M	-4.1K	8.00	115.74	7	56	576	304
2018-12-19	$39.78	$40.00	52.6%	15.1%	18.5%	44.1%	32.9%	56.2%	-29.2%	40.5K	-1.0M	-4.6K	5.25	129.19	12	63	577	304
2018-12-20	$39.88	$40.00	22.1%	6.3%	17.6%	11.7%	21.7%	1.9%	-3.1%	69.4K	-1.0M	-4.1K	5.70	118.24	10	57	582	310
2018-12-21	$39.91	$40.00	21.1%	6.0%	17.5%	10.6%	20.3%	2.6%	-1.9%	120.1K	-886.3K	-4.1K	4.07	106.90	14	57	583	309
2018-12-24	$38.12	$40.00	24.6%	7.0%	24.2%	14.3%	23.7%	19.3%	14.5%	32.6K	-554.8K	-3.8K	4.33	120.44	15	65	459	127
2018-12-26	$38.75	$40.00	24.0%	6.9%	24.9%	13.7%	23.1%	4.4%	0.4%	45.3K	-526.0K	-3.6K	1.30	106.22	10	13	462	129
2018-12-27	$38.92	$40.00	34.1%	9.8%	24.9%	24.5%	38.6%	1.3%	-3.3%	32.1K	-524.2K	-3.7K	0.80	114.97	10	8	462	139
2018-12-28	$38.92	$40.00	18.5%	5.3%	24.8%	7.7%	18.2%	-2.8%	1.9%	53.6K	-612.1K	-3.6K	0.72	120.20	25	18	462	154
2018-12-31	$39.08	$40.00	23.4%	6.7%	24.2%	13.0%	23.2%	-3.6%	-2.5%	49.8K	-566.1K	-3.7K	0.67	118.01	3	2	476	154