OGE Options History — November 2019

In November 2019, OGE traded between $41.90 and $43.64. ATM implied volatility averaged 15.8%, placing in the 9.2% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded above realized volatility by 5.7% (HV 20d: 10.0%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 1.26.

Notable Days

2019-11-01: Highest Volume — 76 contracts
2019-11-29: Largest IV spike — 97.2% change
2019-11-29: Highest IV Rank — 37.7%
2019-11-29: Largest Expected Move — 7.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$42.69	$41.90	$43.64	$43.00	$42.15
Max Pain	$44.75	$40.00	$45.00	$40.00	$45.00
ATM IV	15.8%	8.7%	33.8%	12.8%	27.3%
Expected Move	3.5%	2.5%	7.8%	3.7%	7.8%
HV 20d	10.0%	8.4%	12.3%	12.3%	9.4%
HV 60d	11.3%	10.9%	11.7%	11.6%	11.0%
IV Rank	9.2%	0.0%	37.7%	3.6%	37.7%
IV Percentile	32.4%	0.0%	93.3%	11.9%	91.3%
Term Structure	0.7%	-31.6%	6.1%	3.3%	-31.6%
VWIV	11.8%	6.2%	21.6%	12.8%	11.4%
Skew 25d	-0.5%	-5.3%	6.1%	6.1%	-1.5%
Skew 10d	-0.1%	-4.3%	8.0%	8.0%	4.0%
Call IV 25d	11.5%	7.7%	14.4%	11.8%	14.4%
Put IV 25d	11.1%	8.4%	17.8%	17.8%	12.9%
Bid-Ask Spread %	84.54	59.54	103.74	103.74	83.41
Gamma HHI	0.63	0.43	0.84	0.65	0.54
Net GEX	194.5K	-7.3K	462.0K	225.3K	118.0K
Net DEX	-426.1K	-1.4M	346.4K	-726.2K	-212.8K
Net VEX	-8.8K	-11.1K	-5.3K	-10.9K	-8.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.26	0.00	9.00	0.04	0.00
Total Volume	24.2	0	76	76	0
Total OI	2,566	2,411	2,696	2,540	2,518

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
2019-11-01	$43.00	$40.00	12.8%	3.7%	12.3%	3.6%	0.0%	6.1%	3.3%	225.3K	-726.2K	-10.9K	0.04	103.74	73	3	1,838	702
2019-11-04	$42.76	$45.00	16.7%	3.2%	12.0%	7.7%	12.8%	0.8%	1.6%	240.3K	-744.3K	-10.7K	0.00	90.46	74	0	1,885	699
2019-11-05	$42.70	$45.00	13.9%	3.9%	10.5%	4.8%	13.3%	1.4%	2.1%	202.0K	-622.9K	-10.7K	0.00	89.05	41	0	1,904	699
2019-11-06	$42.76	$45.00	16.6%	3.1%	10.5%	7.6%	0.0%	-2.6%	2.6%	283.3K	-869.0K	-10.9K	0.00	98.75	0	0	1,936	699
2019-11-07	$42.80	$45.00	18.3%	2.8%	10.3%	9.4%	12.3%	-5.3%	2.5%	248.3K	-636.8K	-10.0K	3.00	93.01	4	12	1,936	699
2019-11-08	$42.65	$45.00	23.4%	3.6%	10.2%	14.7%	0.0%	-3.4%	2.5%	211.9K	-457.0K	-9.8K	0.00	102.70	0	0	1,951	711
2019-11-11	$42.69	$45.00	33.8%	3.9%	8.4%	26.6%	0.0%	-2.1%	2.2%	194.0K	-433.8K	-9.5K	0.00	97.33	0	0	1,951	709
2019-11-12	$42.91	$45.00	33.4%	3.8%	8.4%	26.1%	11.9%	-2.9%	2.3%	267.5K	-728.6K	-9.6K	0.00	94.11	25	0	1,951	709
2019-11-13	$43.64	$45.00	9.5%	2.7%	10.0%	0.2%	10.0%	-1.3%	3.0%	462.0K	-1.4M	-11.1K	0.67	82.69	3	2	1,973	710
2019-11-14	$43.51	$45.00	10.9%	3.1%	9.9%	3.3%	11.3%	-1.6%	2.6%	397.1K	-1.1M	-10.2K	0.25	91.87	16	4	1,972	709
2019-11-15	$43.27	$45.00	8.7%	2.5%	10.0%	0.0%	10.8%	-2.1%	2.8%	293.7K	-736.7K	-9.3K	0.13	74.81	15	2	1,985	711
2019-11-18	$43.09	$45.00	10.3%	2.9%	10.2%	3.2%	6.2%	3.2%	6.1%	236.0K	-442.9K	-7.9K	1.93	75.51	14	27	1,732	679
2019-11-19	$42.76	$45.00	11.2%	3.2%	10.1%	5.2%	0.0%	1.1%	6.0%	180.8K	-314.1K	-8.0K	0.67	59.54	6	4	1,733	706
2019-11-20	$42.69	$45.00	11.1%	3.2%	10.1%	4.9%	21.6%	0.1%	4.7%	173.5K	-284.5K	-7.8K	3.00	73.13	6	18	1,734	710
2019-11-21	$42.25	$45.00	9.6%	2.8%	10.3%	1.9%	0.0%	0.9%	5.3%	33.4K	174.2K	-5.7K	0.48	72.26	50	24	1,729	728
2019-11-22	$42.03	$45.00	13.3%	3.8%	9.8%	9.4%	9.6%	-0.7%	-2.3%	80.3K	119.1K	-7.6K	9.00	88.36	2	18	1,749	736
2019-11-25	$41.97	$45.00	9.8%	2.8%	9.3%	2.4%	10.6%	0.5%	3.2%	-621	307.3K	-5.4K	0.71	78.13	7	5	1,749	752
2019-11-26	$41.90	$45.00	10.8%	3.1%	9.2%	4.4%	11.4%	-0.2%	-2.8%	-7.3K	346.4K	-5.3K	0.26	76.52	19	5	1,752	757
2019-11-27	$42.23	$45.00	13.8%	4.0%	9.4%	10.5%	0.0%	-0.1%	-3.2%	50.9K	167.3K	-6.1K	0.00	65.35	5	0	1,755	762
2019-11-29	$42.15	$45.00	27.3%	7.8%	9.4%	37.7%	0.0%	-1.5%	-31.6%	118.0K	-212.8K	-8.7K	0.00	83.41	0	0	1,756	762