OGE Options History — February 2021

In February 2021, OGE traded between $29.55 and $31.87. ATM implied volatility averaged 29.7%, placing in the 20.5% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 7.1% (HV 20d: 22.6%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 16 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 1.17.

Notable Days

2021-02-22: Highest Volume — 525 contracts
2021-02-08: Largest IV spike — 41.5% change
2021-02-09: Highest IV Rank — 32.9%
2021-02-01: Largest Expected Move — 9.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$31.17	$29.55	$31.87	$30.81	$29.55
Max Pain	$30.00	$30.00	$30.00	$30.00	$30.00
ATM IV	29.7%	24.1%	37.1%	33.8%	27.0%
Expected Move	8.2%	6.5%	9.7%	9.7%	7.7%
HV 20d	22.6%	20.9%	27.5%	22.9%	27.3%
HV 60d	23.2%	20.8%	26.8%	26.4%	22.0%
IV Rank	20.5%	7.0%	32.9%	29.5%	10.6%
IV Percentile	27.1%	5.6%	52.4%	44.8%	13.1%
Term Structure	-1.6%	-12.4%	11.9%	-11.5%	0.6%
VWIV	27.5%	22.2%	32.2%	29.6%	27.0%
Skew 25d	5.1%	-3.0%	16.0%	3.9%	-1.9%
Skew 10d	13.0%	-4.6%	74.3%	7.6%	-2.8%
Call IV 25d	25.3%	16.4%	31.0%	27.2%	27.2%
Put IV 25d	30.4%	24.1%	36.1%	31.1%	25.3%
Bid-Ask Spread %	105.04	67.80	116.70	112.03	102.34
Gamma HHI	0.47	0.41	0.58	0.45	0.49
Net GEX	17.6K	-60.2K	57.1K	-20.8K	-60.2K
Net DEX	-486.0K	-1.1M	796.0K	-33.0K	796.0K
Net VEX	-8.4K	-10.5K	-6.2K	-6.2K	-8.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.17	0.05	6.24	2.52	1.90
Total Volume	114.474	13	525	81	61
Total OI	2,711.632	2,208	3,211	2,208	3,211

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
2021-02-01	$30.81	$30.00	33.8%	9.7%	22.9%	29.5%	29.6%	3.9%	-11.5%	-20.8K	-33.0K	-6.2K	2.52	112.03	23	58	1,329	879
2021-02-02	$31.24	$30.00	25.5%	7.3%	23.6%	20.2%	27.4%	8.9%	2.0%	17.9K	-353.1K	-6.4K	0.05	114.41	158	8	1,349	935
2021-02-03	$30.78	$30.00	31.7%	9.1%	24.0%	27.2%	27.9%	6.1%	-5.4%	11.7K	-305.4K	-7.5K	1.07	107.84	15	16	1,446	931
2021-02-04	$31.27	$30.00	31.0%	8.0%	22.4%	26.4%	28.0%	4.8%	-4.9%	19.7K	-401.9K	-7.2K	0.25	95.21	56	14	1,447	945
2021-02-05	$31.37	$30.00	24.8%	8.2%	21.3%	19.5%	25.0%	3.4%	3.2%	24.2K	-570.8K	-8.0K	0.33	112.14	127	42	1,458	959
2021-02-08	$31.09	$30.00	35.1%	8.3%	21.5%	30.7%	28.6%	3.2%	-11.7%	30.2K	-451.0K	-7.8K	6.24	67.80	17	106	1,572	991
2021-02-09	$30.94	$30.00	37.1%	6.5%	20.9%	32.9%	22.2%	4.9%	5.6%	1.6K	-361.1K	-8.5K	0.35	106.14	68	24	1,573	1,089
2021-02-10	$31.68	$30.00	27.4%	7.9%	22.1%	21.4%	26.7%	4.0%	-3.4%	35.6K	-797.9K	-8.9K	0.10	108.52	49	5	1,599	1,111
2021-02-11	$31.61	$30.00	28.3%	8.1%	22.1%	19.7%	28.5%	0.5%	0.3%	43.4K	-868.1K	-8.8K	1.00	105.91	49	49	1,605	1,115
2021-02-12	$31.50	$30.00	31.1%	8.9%	21.8%	22.9%	27.2%	6.0%	-12.4%	31.2K	-772.3K	-8.6K	0.37	113.50	71	26	1,642	1,131
2021-02-16	$31.60	$30.00	28.2%	8.1%	21.2%	19.6%	25.5%	16.0%	-2.2%	45.6K	-936.1K	-8.9K	1.07	115.90	28	30	1,654	1,155
2021-02-17	$31.70	$30.00	30.0%	8.6%	21.1%	19.9%	27.6%	3.2%	-7.7%	46.7K	-880.3K	-8.9K	0.17	105.04	101	17	1,670	1,182
2021-02-18	$31.81	$30.00	30.9%	8.9%	20.9%	19.7%	31.9%	11.5%	-5.1%	57.1K	-1.1M	-8.8K	0.44	92.61	9	4	1,693	1,201
2021-02-19	$31.87	$30.00	31.7%	9.1%	20.9%	20.0%	28.4%	7.7%	4.9%	56.9K	-1.0M	-9.1K	0.23	86.83	144	33	1,700	1,205
2021-02-22	$31.09	$30.00	27.2%	7.8%	22.8%	14.5%	27.8%	-3.0%	7.8%	26.5K	-562.7K	-8.7K	2.00	106.95	175	350	1,613	1,014
2021-02-23	$31.45	$30.00	32.0%	9.2%	22.8%	17.2%	32.2%	10.5%	-9.3%	21.1K	-665.9K	-10.5K	0.20	116.70	15	3	1,705	1,313
2021-02-24	$31.26	$30.00	27.4%	7.8%	22.9%	11.2%	27.2%	4.2%	6.0%	2.7K	-599.7K	-10.2K	1.45	115.24	11	16	1,719	1,313
2021-02-25	$29.69	$30.00	24.1%	6.9%	27.5%	7.0%	24.1%	1.9%	11.9%	-57.2K	618.3K	-8.5K	2.46	110.62	57	140	1,717	1,350
2021-02-26	$29.55	$30.00	27.0%	7.7%	27.3%	10.6%	27.0%	-1.9%	0.6%	-60.2K	796.0K	-8.0K	1.90	102.34	21	40	1,736	1,475