OGE Options History — May 2021

In May 2021, OGE traded between $33.05 and $34.58. ATM implied volatility averaged 19.5%, placing in the 11.8% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 0.4% (HV 20d: 19.2%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 1.58.

Notable Days

2021-05-17: Highest Volume — 793 contracts
2021-05-07: Largest IV drop — 61.3% change
2021-05-03: Highest IV Rank — 30.7%
2021-05-03: Largest Expected Move — 10.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$33.82	$33.05	$34.58	$33.53	$34.58
Max Pain	$35.00	$35.00	$35.00	$35.00	$35.00
ATM IV	19.5%	9.3%	37.0%	37.0%	18.5%
Expected Move	5.6%	3.4%	10.6%	10.6%	5.3%
HV 20d	19.2%	15.1%	21.8%	15.9%	20.0%
HV 60d	21.1%	19.3%	22.8%	21.2%	19.3%
IV Rank	11.8%	0.0%	30.7%	30.7%	11.5%
IV Percentile	11.4%	0.0%	65.9%	65.9%	7.5%
Term Structure	1.5%	-12.4%	17.9%	-12.4%	2.2%
VWIV	19.5%	13.2%	26.6%	26.6%	17.9%
Skew 25d	5.7%	-0.9%	20.7%	20.7%	2.5%
Skew 10d	7.2%	-2.7%	19.5%	18.6%	3.1%
Call IV 25d	19.8%	13.5%	27.3%	26.6%	17.5%
Put IV 25d	25.5%	16.6%	47.3%	47.3%	20.0%
Bid-Ask Spread %	96.71	41.01	123.49	123.49	99.10
Gamma HHI	0.84	0.68	0.92	0.90	0.89
Net GEX	392.2K	241.4K	607.9K	411.1K	516.5K
Net DEX	-2.5M	-4.4M	-1.6M	-2.5M	-3.4M
Net VEX	-14.2K	-16.3K	-12.6K	-15.1K	-15.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.58	0.00	12.50	0.01	0.41
Total Volume	129.55	15	793	92	69
Total OI	4,228.55	3,923	4,478	4,093	4,003

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
2021-05-03	$33.53	$35.00	37.0%	10.6%	15.9%	30.7%	26.6%	20.7%	-12.4%	411.1K	-2.5M	-15.1K	0.01	123.49	91	1	2,531	1,562
2021-05-04	$33.40	$35.00	21.7%	6.2%	15.8%	10.6%	0.0%	8.6%	-3.0%	275.9K	-1.9M	-13.5K	12.00	110.26	3	36	2,536	1,563
2021-05-05	$33.43	$35.00	18.2%	5.2%	15.7%	6.0%	21.5%	3.1%	-8.0%	402.9K	-1.9M	-13.9K	0.21	107.54	111	23	2,536	1,599
2021-05-06	$34.00	$35.00	24.0%	5.3%	16.5%	13.7%	17.2%	0.9%	2.7%	374.5K	-2.1M	-13.4K	0.17	112.23	96	16	2,600	1,621
2021-05-07	$34.01	$35.00	9.3%	4.6%	15.1%	0.0%	16.1%	7.9%	4.0%	415.4K	-2.6M	-14.6K	0.64	92.26	11	7	2,682	1,618
2021-05-10	$34.25	$35.00	13.0%	3.4%	15.1%	4.6%	13.2%	9.0%	7.0%	554.3K	-2.9M	-14.6K	0.50	92.21	16	8	2,673	1,625
2021-05-11	$33.27	$35.00	13.7%	4.3%	18.8%	5.5%	25.7%	6.7%	0.5%	359.9K	-1.8M	-12.6K	0.00	102.85	0	31	2,678	1,625
2021-05-12	$33.05	$35.00	17.9%	5.1%	18.8%	10.8%	16.6%	6.4%	9.4%	290.0K	-1.6M	-14.6K	0.51	110.07	97	49	2,678	1,645
2021-05-13	$33.84	$35.00	22.1%	6.4%	19.9%	16.0%	22.6%	1.6%	0.9%	293.2K	-2.5M	-16.3K	0.00	103.44	586	1	2,769	1,675
2021-05-14	$34.42	$35.00	16.4%	4.7%	20.6%	8.9%	16.3%	-0.9%	3.1%	514.8K	-3.1M	-14.8K	0.02	102.42	56	1	2,771	1,676
2021-05-17	$33.86	$35.00	23.3%	6.7%	21.5%	17.4%	23.3%	4.0%	-4.6%	357.6K	-2.7M	-15.0K	0.00	90.63	792	1	2,789	1,675
2021-05-18	$33.52	$35.00	21.6%	6.2%	21.8%	15.3%	0.0%	4.2%	-1.8%	315.7K	-2.1M	-13.9K	0.00	90.77	0	15	2,702	1,675
2021-05-19	$33.56	$35.00	22.2%	6.4%	21.7%	16.0%	24.9%	3.3%	-1.9%	241.4K	-2.2M	-14.3K	0.01	106.74	96	1	2,702	1,689
2021-05-20	$33.66	$35.00	16.5%	4.7%	21.3%	8.9%	17.2%	8.4%	17.9%	381.8K	-2.6M	-13.8K	12.50	95.29	8	100	2,682	1,686
2021-05-21	$33.60	$35.00	20.3%	5.8%	21.3%	13.7%	20.4%	6.2%	-1.3%	303.7K	-2.0M	-13.9K	0.31	51.84	49	15	2,692	1,786
2021-05-24	$34.00	$35.00	16.1%	4.6%	21.7%	8.5%	13.7%	12.1%	4.4%	607.9K	-4.4M	-14.9K	0.17	109.18	18	3	2,541	1,382
2021-05-25	$33.73	$35.00	19.7%	5.7%	20.9%	13.0%	19.3%	8.0%	1.8%	333.8K	-2.1M	-13.3K	0.35	41.01	66	23	2,549	1,385
2021-05-26	$34.36	$35.00	21.0%	6.0%	20.6%	14.6%	21.3%	0.2%	4.1%	409.6K	-2.8M	-13.2K	0.16	99.04	57	9	2,569	1,403
2021-05-27	$34.36	$35.00	18.1%	5.2%	20.0%	10.9%	18.2%	0.9%	4.5%	483.7K	-3.1M	-13.5K	0.53	93.77	19	10	2,594	1,404
2021-05-28	$34.58	$35.00	18.5%	5.3%	20.0%	11.5%	17.9%	2.5%	2.2%	516.5K	-3.4M	-15.0K	0.41	99.10	49	20	2,605	1,398