OGE Options History — January 2020

In January 2020, OGE traded between $43.61 and $46.24. ATM implied volatility averaged 11.7%, placing in the 10.9% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded above realized volatility by 0.5% (HV 20d: 11.2%). 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 16 of 21 days. Put/call ratio averaged 1.91.

Notable Days

2020-01-15: Highest Volume — 135 contracts
2020-01-03: Largest IV spike — 98.8% change
2020-01-10: Highest IV Rank — 22.6%
2020-01-22: Largest Expected Move — 4.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$45.02	$43.61	$46.24	$44.00	$45.76
Max Pain	$42.38	$40.00	$45.00	$45.00	$45.00
ATM IV	11.7%	7.1%	17.7%	7.6%	10.6%
Expected Move	3.5%	2.2%	4.4%	2.2%	3.0%
HV 20d	11.2%	9.9%	12.4%	12.4%	10.7%
HV 60d	10.8%	10.4%	11.5%	11.5%	10.9%
IV Rank	10.9%	2.1%	22.6%	3.2%	9.0%
IV Percentile	21.9%	0.4%	73.0%	0.4%	13.1%
Term Structure	1.5%	-2.1%	6.0%	5.3%	5.1%
VWIV	11.7%	7.1%	14.6%	7.1%	11.0%
Skew 25d	9.8%	-8.5%	54.0%	13.5%	2.6%
Skew 10d	21.7%	-7.9%	76.9%	54.0%	42.5%
Call IV 25d	14.9%	7.2%	44.0%	44.0%	19.4%
Put IV 25d	24.7%	9.7%	61.1%	57.5%	21.9%
Bid-Ask Spread %	96.70	66.41	110.58	66.41	107.60
Gamma HHI	0.75	0.68	0.86	0.68	0.74
Net GEX	192.2K	123.5K	305.7K	127.1K	206.7K
Net DEX	-1.4M	-2.2M	-657.4K	-712.4K	-1.9M
Net VEX	-5.5K	-6.2K	-4.6K	-5.0K	-6.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.91	0.00	17.00	0.00	0.00
Total Volume	23.048	0	135	55	1
Total OI	1,228.381	1,181	1,309	1,182	1,291

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
2020-01-02	$44.00	$45.00	7.6%	2.2%	12.4%	3.2%	7.1%	13.5%	5.3%	127.1K	-712.4K	-5.0K	0.00	66.41	55	0	813	369
2020-01-03	$44.05	$45.00	15.2%	4.4%	11.8%	17.7%	0.0%	54.0%	5.8%	138.8K	-778.1K	-5.1K	0.00	80.60	0	0	812	369
2020-01-06	$43.90	$40.00	10.7%	3.5%	11.9%	9.2%	12.5%	25.9%	1.0%	123.5K	-664.9K	-4.7K	0.00	101.97	1	0	812	369
2020-01-07	$44.07	$40.00	8.4%	3.6%	11.5%	4.7%	0.0%	28.8%	0.0%	129.2K	-718.1K	-4.6K	0.00	98.85	14	0	813	369
2020-01-08	$44.03	$40.00	10.0%	3.5%	9.9%	7.8%	0.0%	30.2%	0.8%	131.2K	-728.2K	-4.7K	0.11	103.08	9	1	820	369
2020-01-09	$43.61	$40.00	12.4%	3.2%	10.6%	12.3%	11.1%	-1.7%	1.6%	133.0K	-657.4K	-4.8K	0.00	98.53	14	0	820	370
2020-01-10	$44.16	$40.00	17.7%	3.5%	11.2%	22.6%	0.0%	-1.8%	0.4%	176.0K	-953.8K	-5.1K	0.50	98.78	2	1	827	370
2020-01-13	$44.65	$40.00	7.1%	3.6%	11.7%	2.1%	0.0%	-0.0%	-0.4%	254.4K	-1.2M	-5.1K	7.00	104.10	2	14	825	369
2020-01-14	$45.00	$40.00	7.7%	3.5%	11.9%	3.3%	12.3%	1.3%	0.2%	305.7K	-1.4M	-5.1K	0.33	106.22	3	1	825	379
2020-01-15	$45.27	$40.00	12.2%	3.5%	11.7%	12.0%	12.2%	2.7%	0.1%	291.5K	-1.6M	-5.1K	0.05	99.93	128	7	828	380
2020-01-16	$45.58	$40.00	12.5%	3.6%	11.8%	12.5%	12.5%	1.2%	0.4%	216.9K	-2.0M	-6.2K	0.00	110.58	60	0	915	380
2020-01-17	$45.66	$40.00	13.2%	3.8%	11.5%	13.8%	0.0%	3.2%	-0.1%	200.2K	-2.1M	-6.2K	0.00	102.97	44	0	929	380
2020-01-21	$45.62	$40.00	13.5%	3.9%	11.6%	14.4%	13.4%	0.6%	-0.4%	200.5K	-1.8M	-6.0K	0.00	78.46	0	17	876	330
2020-01-22	$45.34	$45.00	15.3%	4.4%	11.6%	17.9%	0.0%	28.1%	-2.1%	198.1K	-1.7M	-6.1K	17.00	85.75	1	17	876	345
2020-01-23	$45.75	$45.00	14.6%	4.2%	10.0%	16.6%	14.6%	30.2%	-0.9%	195.5K	-1.8M	-6.1K	0.00	94.32	0	14	875	361
2020-01-24	$45.47	$45.00	13.4%	3.8%	10.4%	14.3%	13.4%	1.8%	0.4%	196.8K	-1.7M	-6.1K	0.46	101.28	13	6	876	355
2020-01-27	$45.50	$45.00	8.7%	2.5%	10.4%	5.2%	8.4%	-8.5%	5.0%	202.7K	-1.8M	-6.0K	2.00	98.28	15	30	883	361
2020-01-28	$45.84	$45.00	11.4%	3.3%	10.6%	10.4%	11.4%	-3.5%	2.3%	205.0K	-2.0M	-6.1K	5.00	91.90	1	5	898	386
2020-01-29	$45.85	$45.00	13.0%	3.7%	10.6%	13.5%	11.8%	-0.9%	1.2%	206.7K	-2.0M	-5.9K	0.00	97.85	3	0	899	386
2020-01-30	$46.24	$45.00	9.6%	2.8%	10.8%	7.0%	11.0%	-2.1%	6.0%	197.2K	-2.2M	-5.8K	0.00	103.28	0	5	900	386
2020-01-31	$45.76	$45.00	10.6%	3.0%	10.7%	9.0%	0.0%	2.6%	5.1%	206.7K	-1.9M	-6.0K	0.00	107.60	1	0	900	391