OGE Options History — May 2020

In May 2020, OGE traded between $28.41 and $31.95. ATM implied volatility averaged 44.5%, placing in the 42.3% IV rank vs the trailing year. The 30-day expected move averaged 12.3%. IV traded below realized volatility by 8.0% (HV 20d: 52.5%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 3.50.

Notable Days

2020-05-14: Highest Volume — 602 contracts
2020-05-22: Largest IV spike — 53.9% change
2020-05-14: Highest IV Rank — 56.0%
2020-05-14: Largest Expected Move — 16.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$30.41	$28.41	$31.95	$30.26	$31.67
Max Pain	$30.75	$30.00	$35.00	$30.00	$30.00
ATM IV	44.5%	29.8%	56.9%	51.3%	47.4%
Expected Move	12.3%	8.6%	16.3%	14.7%	13.6%
HV 20d	52.5%	46.8%	67.0%	67.0%	53.4%
HV 60d	77.2%	74.9%	79.8%	74.9%	77.5%
IV Rank	42.3%	26.2%	56.0%	49.9%	45.6%
IV Percentile	82.6%	75.4%	90.1%	86.9%	82.5%
Term Structure	-3.3%	-16.6%	11.3%	-6.6%	-4.7%
VWIV	43.2%	29.8%	58.4%	52.5%	40.7%
Skew 25d	12.1%	-3.8%	21.8%	9.2%	16.2%
Skew 10d	18.5%	-7.1%	32.4%	16.5%	8.3%
Call IV 25d	36.0%	25.9%	53.0%	53.0%	30.1%
Put IV 25d	48.2%	34.5%	62.8%	62.2%	46.2%
Bid-Ask Spread %	75.02	43.65	93.48	93.41	83.60
Gamma HHI	0.34	0.25	0.41	0.26	0.38
Net GEX	23.6K	10.3K	42.5K	11.2K	37.3K
Net DEX	-101.7K	-1.1M	575.9K	323.7K	-1.0M
Net VEX	-7.2K	-10.1K	-4.6K	-5.5K	-9.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.50	0.00	48.00	0.13	1.25
Total Volume	83.15	3	602	62	9
Total OI	2,361.85	2,072	2,875	2,072	2,581

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
2020-05-01	$30.26	$30.00	51.3%	14.7%	67.0%	49.9%	52.5%	9.2%	-6.6%	11.2K	323.7K	-5.5K	0.13	93.41	55	7	1,033	1,039
2020-05-04	$30.52	$35.00	54.5%	13.0%	57.7%	53.4%	39.6%	16.4%	-3.1%	10.3K	294.7K	-5.4K	0.05	43.65	37	2	1,034	1,045
2020-05-05	$30.26	$35.00	49.3%	11.8%	48.7%	47.6%	34.5%	14.1%	-0.7%	14.5K	285.9K	-5.1K	0.45	61.54	31	14	1,068	1,045
2020-05-06	$29.18	$35.00	48.7%	12.0%	48.9%	46.9%	46.8%	13.4%	-2.4%	11.3K	555.8K	-4.6K	0.83	60.06	84	70	1,075	1,048
2020-05-07	$29.31	$30.00	38.9%	11.1%	46.8%	36.2%	0.0%	12.4%	-0.3%	15.6K	359.9K	-4.9K	48.00	73.33	1	48	1,111	1,029
2020-05-08	$31.04	$30.00	36.1%	10.8%	48.7%	33.1%	36.8%	12.7%	0.6%	20.0K	-54.0K	-5.5K	0.23	93.48	94	22	1,112	1,077
2020-05-11	$30.63	$30.00	43.5%	10.8%	48.7%	41.2%	35.1%	12.4%	0.9%	27.7K	-34.7K	-5.6K	0.20	87.27	86	17	1,199	1,074
2020-05-12	$30.02	$30.00	41.3%	10.9%	47.7%	38.8%	37.9%	11.5%	-0.8%	32.8K	124.6K	-6.0K	1.00	77.09	3	3	1,282	1,088
2020-05-13	$28.62	$30.00	42.7%	12.2%	47.6%	40.3%	43.1%	11.1%	-3.0%	18.5K	557.7K	-5.4K	0.37	73.30	30	11	1,288	1,088
2020-05-14	$29.32	$30.00	56.9%	16.3%	48.6%	56.0%	58.4%	19.0%	-14.6%	27.1K	420.9K	-6.1K	0.67	85.40	360	242	1,274	1,089
2020-05-15	$28.41	$30.00	42.7%	12.2%	48.7%	40.3%	43.6%	2.1%	-12.5%	12.4K	575.9K	-7.9K	11.43	77.96	7	80	1,550	1,325
2020-05-18	$30.95	$30.00	39.0%	11.2%	56.3%	36.3%	39.9%	15.3%	-0.0%	19.9K	-365.2K	-9.1K	0.22	69.66	63	14	1,299	1,073
2020-05-19	$30.36	$30.00	43.1%	12.4%	55.7%	40.8%	43.1%	-3.8%	-4.7%	20.7K	-206.1K	-8.8K	0.20	82.58	5	1	1,324	1,074
2020-05-20	$31.11	$30.00	48.2%	13.8%	53.7%	46.4%	48.2%	15.9%	-16.6%	24.1K	-363.6K	-8.7K	0.00	79.74	3	0	1,325	1,075
2020-05-21	$30.63	$30.00	29.8%	8.6%	54.0%	26.2%	29.8%	7.9%	10.3%	29.0K	-200.7K	-7.8K	1.33	69.49	3	4	1,327	1,075
2020-05-22	$30.78	$30.00	45.9%	13.2%	53.6%	43.9%	56.6%	13.6%	-6.7%	23.4K	-265.6K	-8.8K	0.08	72.76	178	15	1,329	1,079
2020-05-26	$31.95	$30.00	53.1%	15.2%	54.2%	51.8%	33.6%	21.8%	-12.4%	42.5K	-1.1M	-9.0K	0.00	69.73	31	0	1,504	1,068
2020-05-27	$31.34	$30.00	41.3%	11.8%	54.6%	38.8%	57.8%	12.9%	-0.6%	39.3K	-832.6K	-9.5K	0.10	69.90	21	2	1,492	1,068
2020-05-28	$31.84	$30.00	35.5%	10.2%	54.9%	32.4%	40.7%	8.8%	11.3%	35.2K	-1.1M	-10.1K	0.00	76.47	0	10	1,502	1,069
2020-05-29	$31.67	$30.00	47.4%	13.6%	53.4%	45.6%	0.0%	16.2%	-4.7%	37.3K	-1.0M	-9.4K	1.25	83.60	4	5	1,502	1,079