OGE Options History — January 2021

In January 2021, OGE traded between $30.30 and $32.87. ATM implied volatility averaged 38.0%, placing in the 34.3% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 17.5% (HV 20d: 20.5%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 1.60.

Notable Days

2021-01-29: Highest Volume — 164 contracts
2021-01-08: Largest IV spike — 97.1% change
2021-01-08: Highest IV Rank — 74.8%
2021-01-29: Largest Expected Move — 15.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$31.47	$30.30	$32.87	$31.88	$30.30
Max Pain	$30.00	$30.00	$30.00	$30.00	$30.00
ATM IV	38.0%	24.8%	74.3%	59.6%	52.6%
Expected Move	8.3%	5.7%	15.1%	6.8%	15.1%
HV 20d	20.5%	17.5%	22.4%	17.7%	22.4%
HV 60d	28.3%	26.3%	29.5%	29.1%	26.8%
IV Rank	34.3%	19.4%	74.8%	58.5%	50.5%
IV Percentile	47.2%	15.5%	97.2%	90.9%	82.1%
Term Structure	-3.2%	-40.9%	10.5%	3.1%	-40.9%
VWIV	28.0%	17.4%	62.7%	32.8%	62.7%
Skew 25d	8.1%	-6.9%	23.1%	-0.2%	8.9%
Skew 10d	23.3%	-21.8%	80.4%	75.6%	16.1%
Call IV 25d	23.6%	14.5%	36.8%	25.5%	36.8%
Put IV 25d	31.7%	18.4%	45.7%	25.3%	45.7%
Bid-Ask Spread %	120.37	108.91	128.63	123.35	122.14
Gamma HHI	0.46	0.41	0.59	0.42	0.41
Net GEX	20.6K	-7.4K	47.2K	21.2K	-7.4K
Net DEX	-323.0K	-526.5K	101.3K	-325.4K	101.3K
Net VEX	-5.4K	-7.1K	-4.2K	-4.3K	-5.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.60	0.00	9.50	0.05	0.10
Total Volume	71.368	6	164	22	164
Total OI	1,619.684	1,297	2,067	1,297	2,067

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
2021-01-04	$31.88	$30.00	59.6%	6.8%	17.7%	58.5%	0.0%	-0.2%	3.1%	21.2K	-325.4K	-4.3K	0.05	123.35	21	1	829	468
2021-01-05	$31.98	$30.00	44.9%	10.0%	17.5%	42.1%	32.8%	18.1%	-9.7%	27.9K	-324.7K	-4.2K	2.29	126.35	7	16	833	468
2021-01-06	$32.87	$30.00	53.2%	5.7%	20.2%	51.3%	19.5%	23.1%	3.3%	47.2K	-526.5K	-4.8K	0.07	123.73	44	3	837	484
2021-01-07	$32.16	$30.00	37.7%	9.7%	21.4%	34.1%	0.0%	8.8%	-5.8%	38.0K	-408.0K	-4.8K	2.50	119.40	30	75	874	481
2021-01-08	$32.09	$30.00	74.3%	6.2%	21.2%	74.8%	18.1%	-4.7%	-2.1%	39.3K	-450.9K	-5.4K	3.83	120.84	6	23	904	536
2021-01-11	$31.61	$30.00	43.2%	6.5%	21.4%	40.2%	0.0%	-6.9%	0.4%	24.0K	-323.8K	-5.0K	0.00	124.83	6	0	897	535
2021-01-12	$31.18	$30.00	48.0%	9.1%	21.8%	45.6%	29.5%	11.3%	-1.5%	17.2K	-292.7K	-5.1K	9.50	121.13	2	19	900	535
2021-01-13	$31.18	$30.00	25.5%	7.3%	21.7%	20.3%	26.7%	15.6%	3.1%	21.7K	-279.0K	-4.6K	0.00	114.32	0	17	898	552
2021-01-14	$30.86	$30.00	30.3%	8.7%	21.4%	25.6%	27.5%	11.2%	-6.5%	7.1K	-167.7K	-4.4K	0.09	116.92	139	12	898	563
2021-01-15	$31.32	$30.00	26.6%	7.6%	21.6%	21.5%	19.0%	0.9%	-6.4%	19.9K	-238.3K	-5.2K	1.07	128.63	43	46	982	646
2021-01-19	$31.15	$30.00	29.3%	8.4%	21.5%	24.5%	23.0%	12.6%	-5.9%	16.5K	-231.9K	-5.1K	1.60	110.51	40	64	960	639
2021-01-20	$31.41	$30.00	28.8%	8.3%	21.0%	23.9%	29.0%	11.1%	-6.2%	8.1K	-268.9K	-5.3K	1.14	114.08	28	32	1,004	690
2021-01-21	$31.39	$30.00	30.8%	8.8%	19.0%	26.1%	17.4%	17.5%	-5.2%	20.4K	-335.7K	-5.8K	0.41	127.04	41	17	1,006	713
2021-01-22	$31.32	$30.00	24.8%	7.1%	18.8%	19.4%	24.9%	8.9%	5.8%	17.8K	-433.3K	-6.3K	3.14	127.26	21	66	1,041	728
2021-01-25	$31.68	$30.00	25.1%	7.2%	18.9%	19.8%	30.0%	-2.7%	2.9%	20.1K	-501.3K	-6.6K	0.18	118.58	129	23	1,061	793
2021-01-26	$31.70	$30.00	27.3%	7.8%	18.9%	22.2%	25.7%	10.3%	-3.2%	20.3K	-459.8K	-6.5K	0.08	108.91	62	5	1,134	810
2021-01-27	$30.80	$30.00	31.4%	9.0%	21.4%	26.9%	33.2%	4.0%	10.5%	24.7K	-470.6K	-7.1K	2.26	114.86	34	77	1,165	815
2021-01-28	$31.06	$30.00	29.2%	8.4%	21.4%	24.4%	29.1%	5.2%	3.9%	7.7K	-200.1K	-6.4K	0.54	124.15	28	15	1,176	852
2021-01-29	$30.30	$30.00	52.6%	15.1%	22.4%	50.5%	62.7%	8.9%	-40.9%	-7.4K	101.3K	-5.6K	0.10	122.14	149	15	1,200	867