OGE Options History — September 2019

In September 2019, OGE traded between $42.85 and $45.42. ATM implied volatility averaged 15.9%, placing in the 6.9% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 4.3% (HV 20d: 11.6%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 0.74.

Notable Days

2019-09-20: Highest Volume — 883 contracts
2019-09-05: Largest IV spike — 28.3% change
2019-09-24: Highest IV Rank — 9.7%
2019-09-24: Largest Expected Move — 5.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$44.26	$42.85	$45.42	$43.34	$45.42
Max Pain	$42.75	$40.00	$45.00	$40.00	$45.00
ATM IV	15.9%	13.1%	18.7%	13.2%	17.6%
Expected Move	4.4%	3.6%	5.4%	3.8%	5.0%
HV 20d	11.6%	9.3%	13.3%	12.4%	9.4%
HV 60d	12.9%	11.9%	13.7%	13.7%	11.9%
IV Rank	6.9%	3.9%	9.7%	4.0%	8.6%
IV Percentile	37.5%	9.9%	65.9%	11.9%	54.4%
Term Structure	0.7%	-0.6%	2.2%	0.2%	0.4%
VWIV	16.4%	13.7%	18.7%	15.1%	17.6%
Skew 25d	11.2%	-5.6%	31.8%	-3.7%	24.7%
Skew 10d	19.0%	-5.8%	46.6%	-3.9%	45.6%
Call IV 25d	16.8%	14.7%	21.0%	16.8%	18.8%
Put IV 25d	28.0%	11.2%	48.3%	13.1%	43.5%
Bid-Ask Spread %	82.21	57.60	101.71	67.99	65.51
Gamma HHI	0.81	0.69	0.95	0.77	0.81
Net GEX	448.3K	170.8K	1.3M	263.9K	486.1K
Net DEX	-2.2M	-3.8M	-768.8K	-1.3M	-3.7M
Net VEX	-11.7K	-15.3K	-9.6K	-11.0K	-14.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.74	0.00	9.09	0.00	0.93
Total Volume	111.05	8	883	31	220
Total OI	2,037.15	1,908	2,299	1,908	2,251

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
2019-09-03	$43.34	$40.00	13.2%	3.8%	12.4%	4.0%	15.1%	-3.7%	0.2%	263.9K	-1.3M	-11.0K	0.00	67.99	31	0	1,383	525
2019-09-04	$43.34	$40.00	13.1%	3.8%	12.2%	3.9%	0.0%	-5.6%	-0.3%	265.1K	-1.2M	-10.8K	0.00	74.49	25	0	1,407	525
2019-09-05	$43.01	$45.00	16.8%	3.6%	12.6%	7.8%	14.9%	-0.1%	0.5%	228.3K	-1.0M	-10.2K	0.00	99.64	20	0	1,413	525
2019-09-06	$43.16	$45.00	16.5%	4.3%	11.7%	7.5%	15.2%	0.9%	1.0%	230.9K	-1.1M	-10.4K	0.20	92.83	15	3	1,393	525
2019-09-09	$42.97	$45.00	15.3%	3.6%	11.8%	6.2%	13.7%	2.5%	2.1%	233.6K	-993.7K	-10.2K	0.00	101.71	24	0	1,394	528
2019-09-10	$42.85	$45.00	13.3%	3.8%	11.5%	4.1%	18.7%	1.6%	-0.1%	170.8K	-768.8K	-9.6K	1.13	94.73	15	17	1,383	528
2019-09-11	$43.65	$40.00	15.5%	4.5%	13.2%	6.5%	17.8%	1.0%	0.4%	239.3K	-1.2M	-10.2K	3.00	95.55	5	15	1,397	545
2019-09-12	$44.00	$40.00	16.0%	4.6%	13.2%	7.0%	16.1%	-3.4%	-0.4%	374.4K	-1.7M	-10.6K	9.09	94.24	11	100	1,398	553
2019-09-13	$43.90	$40.00	14.2%	4.1%	13.3%	5.1%	14.3%	-3.5%	1.5%	345.3K	-1.3M	-10.3K	0.00	77.98	21	0	1,423	567
2019-09-16	$44.35	$40.00	15.6%	4.5%	13.0%	6.5%	15.6%	-3.1%	0.4%	510.1K	-1.9M	-10.7K	0.07	79.71	54	4	1,422	567
2019-09-17	$44.43	$40.00	15.1%	4.3%	12.9%	6.0%	15.1%	-2.7%	2.2%	569.3K	-2.1M	-11.0K	0.14	79.19	7	1	1,431	567
2019-09-18	$44.62	$40.00	16.1%	4.6%	12.0%	7.1%	16.1%	31.8%	1.0%	682.0K	-2.4M	-10.5K	0.00	98.21	15	0	1,438	568
2019-09-19	$44.89	$40.00	15.0%	4.3%	12.1%	6.0%	15.0%	30.7%	1.9%	965.6K	-2.7M	-10.4K	0.11	98.70	91	10	1,423	568
2019-09-20	$45.06	$45.00	18.2%	5.2%	12.1%	9.3%	18.2%	29.3%	0.2%	1.3M	-3.1M	-10.2K	0.04	98.15	847	36	1,414	577
2019-09-23	$45.03	$45.00	17.6%	5.1%	10.1%	8.6%	17.6%	26.5%	1.4%	372.5K	-3.1M	-13.9K	0.10	57.91	231	22	1,557	503
2019-09-24	$45.18	$45.00	18.7%	5.4%	10.1%	9.7%	18.7%	24.9%	0.6%	396.6K	-3.4M	-15.3K	0.06	61.85	80	5	1,731	516
2019-09-25	$45.16	$45.00	15.3%	4.4%	10.0%	6.2%	0.0%	25.1%	-0.6%	425.2K	-3.4M	-14.2K	0.00	86.41	184	0	1,720	516
2019-09-26	$45.36	$45.00	18.1%	5.2%	9.3%	9.1%	18.1%	23.9%	0.2%	439.4K	-3.8M	-15.2K	0.00	61.87	67	0	1,783	516
2019-09-27	$45.40	$45.00	17.3%	5.0%	9.4%	8.3%	17.3%	23.5%	1.1%	454.5K	-3.8M	-14.7K	0.00	57.60	45	0	1,747	516
2019-09-30	$45.42	$45.00	17.6%	5.0%	9.4%	8.6%	17.6%	24.7%	0.4%	486.1K	-3.7M	-14.0K	0.93	65.51	114	106	1,735	516