OGE Options History — February 2020

In February 2020, OGE traded between $37.80 and $46.08. ATM implied volatility averaged 16.1%, placing in the 19.4% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 4.3% (HV 20d: 11.8%). Max pain ranged from $45.00 to $45.00. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 0.66.

Notable Days

2020-02-24: Highest Volume — 59 contracts
2020-02-12: Largest IV spike — 66.8% change
2020-02-28: Highest IV Rank — 56.7%
2020-02-28: Largest Expected Move — 10.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$44.81	$37.80	$46.08	$45.98	$37.80
Max Pain	$45.00	$45.00	$45.00	$45.00	$45.00
ATM IV	16.1%	7.4%	35.4%	12.1%	35.4%
Expected Move	4.9%	3.3%	10.2%	3.5%	10.2%
HV 20d	11.8%	8.1%	34.2%	10.7%	34.2%
HV 60d	11.8%	10.2%	23.3%	10.9%	23.3%
IV Rank	19.4%	2.7%	56.7%	11.8%	56.7%
IV Percentile	44.6%	0.8%	96.4%	20.2%	96.4%
Term Structure	0.7%	-6.0%	19.1%	1.8%	-6.0%
VWIV	17.0%	13.2%	30.7%	14.0%	30.7%
Skew 25d	3.7%	-14.3%	47.9%	-1.4%	-14.3%
Skew 10d	12.0%	-1.2%	87.7%	2.0%	10.5%
Call IV 25d	15.9%	10.7%	38.3%	13.9%	38.3%
Put IV 25d	19.6%	11.4%	68.6%	12.5%	24.0%
Bid-Ask Spread %	84.02	35.31	112.41	35.59	112.41
Gamma HHI	0.73	0.35	0.85	0.74	0.35
Net GEX	181.2K	-19.5K	229.1K	208.3K	-19.5K
Net DEX	-1.5M	-2.2M	655.2K	-2.0M	655.2K
Net VEX	-5.1K	-5.7K	-3.9K	-5.6K	-3.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.66	0.00	4.00	0.00	0.17
Total Volume	17.632	0	59	0	7
Total OI	1,295.158	1,276	1,366	1,291	1,351

Daily Data (19 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
2020-02-03	$45.98	$45.00	12.1%	3.5%	10.7%	11.8%	0.0%	-1.4%	1.8%	208.3K	-2.0M	-5.6K	0.00	35.59	0	0	900	391
2020-02-04	$45.86	$45.00	12.5%	3.6%	10.7%	12.5%	0.0%	-1.8%	1.1%	213.3K	-2.0M	-5.6K	0.00	35.31	2	0	900	391
2020-02-05	$45.91	$45.00	12.5%	3.6%	10.7%	12.5%	0.0%	-1.9%	2.4%	205.7K	-2.0M	-5.7K	0.00	35.80	1	0	901	391
2020-02-06	$46.03	$45.00	7.4%	4.0%	10.6%	2.7%	14.0%	2.6%	-0.2%	207.3K	-2.1M	-5.4K	0.00	70.96	11	0	900	391
2020-02-07	$45.94	$45.00	9.6%	4.0%	9.8%	6.9%	14.1%	2.8%	-0.2%	207.9K	-2.0M	-5.4K	4.00	92.50	1	4	889	391
2020-02-10	$46.08	$45.00	7.8%	4.1%	9.1%	3.4%	14.3%	2.8%	-0.3%	201.6K	-2.1M	-5.1K	0.00	69.56	7	0	889	395
2020-02-11	$46.02	$45.00	8.5%	3.8%	8.5%	4.9%	0.0%	4.4%	0.5%	211.5K	-2.1M	-5.0K	0.00	95.01	0	0	889	395
2020-02-12	$45.77	$45.00	14.2%	4.1%	8.5%	15.9%	0.0%	3.4%	-2.4%	222.4K	-2.0M	-5.0K	1.00	87.53	1	1	889	395
2020-02-13	$45.80	$45.00	14.9%	4.3%	8.3%	17.2%	14.9%	4.8%	-1.4%	215.9K	-1.9M	-5.1K	0.00	93.99	0	1	889	394
2020-02-14	$46.00	$45.00	11.5%	3.3%	8.1%	10.6%	0.0%	0.6%	1.6%	223.2K	-2.2M	-4.3K	0.00	98.32	54	0	889	395
2020-02-18	$46.07	$45.00	13.4%	3.8%	8.1%	14.3%	13.2%	2.1%	0.7%	212.8K	-2.1M	-4.7K	0.00	90.77	5	0	889	395
2020-02-19	$45.25	$45.00	14.7%	4.2%	10.4%	16.8%	14.7%	4.4%	-0.8%	225.2K	-1.6M	-5.2K	0.00	101.26	5	0	894	395
2020-02-20	$44.95	$45.00	15.5%	4.5%	10.4%	18.4%	15.5%	3.0%	-1.6%	218.2K	-1.4M	-5.2K	0.29	100.59	14	4	894	395
2020-02-21	$45.11	$45.00	15.4%	4.4%	10.0%	18.2%	15.4%	5.9%	-1.1%	229.1K	-1.5M	-5.1K	0.00	88.05	29	0	898	397
2020-02-24	$44.65	$45.00	18.5%	5.3%	10.4%	24.1%	18.5%	6.2%	5.6%	193.8K	-1.3M	-5.5K	0.04	88.44	57	2	907	371
2020-02-25	$43.91	$45.00	18.7%	5.4%	11.7%	24.5%	18.8%	-1.3%	-1.8%	157.3K	-857.0K	-5.0K	3.89	93.20	9	35	903	373
2020-02-26	$43.34	$45.00	28.5%	8.2%	11.9%	43.4%	0.0%	0.3%	19.1%	102.3K	-653.5K	-5.1K	0.57	103.34	30	17	908	408
2020-02-27	$41.01	$45.00	34.3%	9.8%	22.0%	54.5%	20.1%	47.9%	-3.7%	6.8K	122.3K	-4.4K	0.58	103.82	24	14	938	428
2020-02-28	$37.80	$45.00	35.4%	10.2%	34.2%	56.7%	30.7%	-14.3%	-6.0%	-19.5K	655.2K	-3.9K	0.17	112.41	6	1	917	434