OGE Options History — December 2019

In December 2019, OGE traded between $42.03 and $44.49. ATM implied volatility averaged 11.5%, placing in the 7.4% IV rank vs the trailing year. The 30-day expected move averaged 3.1%. IV traded above realized volatility by 0.4% (HV 20d: 11.1%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.03.

Notable Days

2019-12-20: Highest Volume — 76 contracts
2019-12-09: Largest IV spike — 102.2% change
2019-12-03: Highest IV Rank — 29.2%
2019-12-03: Largest Expected Move — 6.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$43.41	$42.03	$44.49	$42.03	$44.49
Max Pain	$41.90	$40.00	$45.00	$45.00	$45.00
ATM IV	11.5%	6.0%	23.1%	13.8%	10.3%
Expected Move	3.1%	1.7%	6.6%	3.9%	3.0%
HV 20d	11.1%	9.3%	12.4%	9.4%	11.3%
HV 60d	11.1%	10.5%	11.7%	10.9%	11.4%
IV Rank	7.4%	0.0%	29.2%	10.3%	8.4%
IV Percentile	15.5%	0.0%	85.7%	24.2%	8.3%
Term Structure	1.2%	-23.5%	6.7%	1.8%	2.0%
VWIV	10.8%	5.9%	13.9%	13.5%	10.4%
Skew 25d	15.5%	-1.7%	40.6%	1.8%	35.3%
Skew 10d	30.6%	1.8%	49.8%	1.8%	29.7%
Call IV 25d	21.6%	8.4%	35.1%	11.3%	16.9%
Put IV 25d	37.1%	13.1%	52.4%	13.1%	52.1%
Bid-Ask Spread %	80.21	55.29	101.25	65.67	71.84
Gamma HHI	0.69	0.46	0.83	0.46	0.73
Net GEX	177.8K	30.3K	341.1K	30.3K	176.9K
Net DEX	-384.9K	-941.8K	238.1K	238.1K	-941.8K
Net VEX	-5.7K	-7.0K	-4.9K	-6.0K	-5.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.03	0.00	0.19	0.00	0.00
Total Volume	17	0	76	33	25
Total OI	2,160	1,137	2,577	2,517	1,197

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
2019-12-02	$42.03	$45.00	13.8%	3.9%	9.4%	10.3%	0.0%	1.8%	1.8%	30.3K	238.1K	-6.0K	0.00	65.67	33	0	1,755	762
2019-12-03	$42.12	$45.00	23.1%	6.6%	9.3%	29.2%	0.0%	-1.0%	-23.5%	92.7K	37.3K	-7.0K	0.00	84.15	20	0	1,768	762
2019-12-04	$42.64	$45.00	10.9%	3.1%	10.4%	4.6%	0.0%	6.5%	6.4%	124.7K	-97.2K	-6.5K	0.00	100.50	29	0	1,768	762
2019-12-05	$42.68	$40.00	13.0%	3.1%	10.4%	8.9%	13.5%	-1.7%	0.3%	147.9K	-141.2K	-6.7K	0.00	89.52	4	0	1,784	762
2019-12-06	$43.11	$40.00	10.7%	2.7%	11.0%	4.1%	11.9%	11.2%	1.8%	235.3K	-386.0K	-6.6K	0.00	86.93	29	0	1,787	762
2019-12-09	$42.47	$40.00	21.6%	3.9%	12.2%	26.1%	13.9%	4.6%	2.8%	110.4K	8.7K	-6.0K	0.00	74.22	0	1	1,797	762
2019-12-10	$42.70	$40.00	15.5%	2.4%	12.4%	13.8%	0.0%	5.2%	6.7%	109.1K	15.3K	-5.4K	0.00	71.75	0	0	1,797	764
2019-12-11	$42.98	$40.00	10.6%	3.0%	12.4%	3.9%	0.0%	15.4%	0.7%	227.0K	-378.5K	-6.3K	0.00	93.90	0	0	1,797	764
2019-12-12	$43.16	$40.00	11.5%	3.3%	10.9%	5.8%	0.0%	10.7%	1.8%	207.3K	-232.8K	-5.7K	0.00	73.43	0	2	1,797	764
2019-12-13	$43.27	$40.00	9.8%	2.8%	10.9%	2.2%	11.5%	17.4%	1.6%	250.5K	-349.3K	-5.9K	0.00	100.19	3	0	1,797	765
2019-12-16	$43.66	$40.00	8.7%	2.5%	11.2%	0.1%	0.0%	14.7%	1.7%	235.0K	-290.8K	-5.2K	0.09	77.73	23	2	1,799	765
2019-12-17	$43.73	$40.00	8.7%	2.5%	11.1%	0.1%	0.0%	15.3%	2.0%	287.0K	-395.3K	-5.4K	0.00	77.74	5	0	1,814	763
2019-12-18	$44.11	$40.00	8.3%	2.4%	10.9%	0.0%	9.7%	20.2%	3.4%	341.1K	-493.8K	-5.5K	0.00	75.45	3	0	1,809	763
2019-12-19	$44.14	$40.00	9.8%	2.8%	10.9%	3.1%	9.9%	32.1%	2.7%	328.7K	-465.1K	-5.1K	0.04	99.87	25	1	1,810	763
2019-12-20	$44.49	$40.00	10.0%	2.9%	10.1%	3.6%	10.1%	40.6%	2.4%	136.6K	-477.2K	-5.1K	0.01	101.25	75	1	1,807	764
2019-12-23	$43.77	$40.00	6.0%	1.7%	11.9%	0.0%	5.9%	9.0%	6.1%	111.4K	-588.0K	-4.9K	0.18	55.29	11	2	780	357
2019-12-24	$43.88	$45.00	9.7%	2.8%	11.8%	7.1%	0.0%	23.2%	1.4%	126.7K	-716.1K	-4.9K	0.00	73.14	0	0	791	359
2019-12-26	$43.91	$45.00	10.2%	2.9%	11.7%	8.1%	0.0%	18.3%	0.6%	127.5K	-676.0K	-5.1K	0.19	71.61	52	10	791	359
2019-12-27	$44.07	$45.00	9.3%	2.7%	11.5%	6.5%	0.0%	21.3%	1.2%	153.8K	-844.8K	-5.0K	0.00	71.11	1	0	827	369
2019-12-30	$44.25	$45.00	10.7%	3.1%	11.5%	9.0%	0.0%	24.3%	1.0%	174.1K	-907.8K	-5.1K	0.00	69.15	0	0	828	369
2019-12-31	$44.49	$45.00	10.3%	3.0%	11.3%	8.4%	10.4%	35.3%	2.0%	176.9K	-941.8K	-5.7K	0.00	71.84	25	0	828	369