OGE Options History — November 2020

In November 2020, OGE traded between $31.63 and $34.78. ATM implied volatility averaged 34.0%, placing in the 30.8% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded below realized volatility by 1.8% (HV 20d: 35.9%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 10 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 0.69.

Notable Days

2020-11-18: Highest Volume — 144 contracts
2020-11-13: Largest IV spike — 64.2% change
2020-11-30: Highest IV Rank — 48.6%
2020-11-30: Largest Expected Move — 14.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$33.38	$31.63	$34.78	$31.63	$32.68
Max Pain	$34.25	$30.00	$35.00	$30.00	$35.00
ATM IV	34.0%	19.6%	50.2%	43.1%	50.2%
Expected Move	9.4%	5.6%	14.4%	12.4%	14.4%
HV 20d	35.9%	30.5%	40.4%	30.6%	38.4%
HV 60d	29.0%	25.9%	31.0%	26.5%	30.8%
IV Rank	30.8%	14.9%	48.6%	40.9%	48.6%
IV Percentile	52.4%	28.6%	80.6%	70.6%	80.6%
Term Structure	1.1%	-29.4%	42.2%	0.5%	-29.4%
VWIV	37.0%	19.7%	108.1%	43.1%	49.6%
Skew 25d	8.8%	-4.4%	22.1%	6.5%	-4.4%
Skew 10d	13.8%	-27.1%	41.1%	4.6%	-1.6%
Call IV 25d	29.4%	16.8%	48.7%	42.9%	48.7%
Put IV 25d	38.2%	32.8%	49.4%	49.4%	44.3%
Bid-Ask Spread %	110.62	93.12	130.58	116.15	98.78
Gamma HHI	0.48	0.39	0.59	0.59	0.41
Net GEX	-9.7K	-96.9K	58.7K	-96.9K	-11.8K
Net DEX	-352.9K	-1.3M	981.7K	981.7K	-255.0K
Net VEX	-6.8K	-9.1K	-5.3K	-9.1K	-6.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.69	0.00	7.00	7.00	1.44
Total Volume	42.35	2	144	16	22
Total OI	2,983.8	2,682	3,201	2,984	2,785

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
2020-11-02	$31.63	$30.00	43.1%	12.4%	30.6%	40.9%	43.1%	6.5%	0.5%	-96.9K	981.7K	-9.1K	7.00	116.15	2	14	1,018	1,966
2020-11-03	$32.53	$30.00	37.8%	10.8%	31.8%	35.0%	0.0%	11.5%	-9.1%	-48.9K	85.4K	-8.4K	0.18	116.86	11	2	1,018	1,966
2020-11-04	$32.31	$30.00	48.5%	13.9%	31.6%	46.7%	38.8%	22.1%	-27.5%	-82.7K	420.6K	-8.9K	0.33	130.58	3	1	1,023	1,977
2020-11-05	$31.94	$35.00	34.1%	7.8%	31.2%	31.0%	0.0%	8.9%	42.2%	-84.2K	581.5K	-8.0K	1.00	117.26	11	11	1,024	1,977
2020-11-06	$31.81	$35.00	34.0%	8.1%	30.5%	30.9%	48.2%	0.9%	40.0%	-89.6K	693.7K	-7.8K	0.00	116.73	0	26	1,034	1,988
2020-11-09	$33.08	$35.00	34.1%	6.8%	33.6%	31.0%	26.2%	10.4%	7.0%	-40.4K	-125.3K	-7.0K	0.23	123.21	87	20	1,034	1,990
2020-11-10	$34.12	$35.00	33.5%	9.0%	32.7%	30.3%	31.6%	7.8%	3.8%	-9.5K	-674.4K	-6.3K	0.00	109.26	55	0	1,060	1,991
2020-11-11	$33.90	$35.00	32.0%	9.2%	32.8%	28.7%	32.0%	7.9%	-6.1%	10.5K	-502.7K	-6.7K	0.06	110.56	18	1	1,044	1,991
2020-11-12	$32.53	$35.00	19.6%	5.6%	36.3%	14.9%	19.7%	16.5%	8.8%	-68.4K	498.9K	-7.5K	0.00	101.64	21	0	1,048	1,991
2020-11-13	$34.09	$35.00	32.1%	9.2%	39.7%	28.8%	32.7%	3.2%	-2.6%	3.5K	-393.5K	-6.2K	0.18	93.12	97	17	1,050	1,991
2020-11-16	$34.60	$35.00	27.2%	7.8%	39.9%	23.4%	27.2%	7.5%	-0.6%	58.7K	-1.1M	-6.3K	0.11	97.44	9	1	1,144	1,996
2020-11-17	$34.26	$35.00	33.5%	9.6%	39.8%	30.3%	108.1%	9.1%	-10.1%	52.7K	-865.1K	-7.0K	0.00	115.05	0	2	1,143	1,997
2020-11-18	$33.53	$35.00	41.9%	12.0%	40.4%	39.5%	34.0%	8.1%	-12.2%	-22.1K	-391.4K	-6.1K	0.17	122.39	123	21	1,143	1,996
2020-11-19	$33.42	$35.00	25.9%	7.4%	39.9%	21.9%	21.1%	15.6%	10.4%	53.5K	-954.6K	-5.3K	0.00	107.96	87	0	1,164	2,015
2020-11-20	$33.84	$35.00	28.1%	8.1%	39.2%	24.3%	34.3%	5.3%	-0.2%	10.2K	-609.5K	-5.9K	1.25	107.61	8	10	1,186	2,015
2020-11-23	$34.16	$35.00	27.5%	7.9%	39.0%	23.6%	25.4%	11.2%	8.6%	43.8K	-971.1K	-5.5K	0.33	111.80	21	7	1,101	1,581
2020-11-24	$34.78	$35.00	32.5%	9.3%	39.3%	29.2%	32.8%	11.5%	-2.5%	40.9K	-1.3M	-5.4K	0.01	95.59	115	1	1,113	1,583
2020-11-25	$34.60	$35.00	31.3%	9.0%	34.7%	27.8%	31.0%	8.6%	1.0%	53.3K	-1.3M	-6.0K	0.14	103.65	14	2	1,176	1,584
2020-11-27	$33.83	$35.00	33.3%	9.6%	35.9%	30.1%	30.4%	7.5%	-0.9%	33.3K	-876.2K	-6.1K	0.00	116.79	7	0	1,188	1,585
2020-11-30	$32.68	$35.00	50.2%	14.4%	38.4%	48.6%	49.6%	-4.4%	-29.4%	-11.8K	-255.0K	-6.7K	1.44	98.78	9	13	1,200	1,585