OGE Options History — October 2021

In October 2021, OGE traded between $32.55 and $34.25. ATM implied volatility averaged 22.3%, placing in the 17.9% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 5.6% (HV 20d: 16.6%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 1.19.

Notable Days

2021-10-05: Highest Volume — 249 contracts
2021-10-05: Largest IV spike — 79.5% change
2021-10-12: Highest IV Rank — 42.4%
2021-10-01: Largest Expected Move — 11.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$33.60	$32.55	$34.25	$33.01	$34.18
Max Pain	$35.00	$35.00	$35.00	$35.00	$35.00
ATM IV	22.3%	13.3%	43.3%	40.2%	19.7%
Expected Move	5.8%	4.5%	11.5%	11.5%	5.6%
HV 20d	16.6%	14.8%	17.8%	14.8%	16.0%
HV 60d	15.8%	15.1%	17.0%	16.2%	15.1%
IV Rank	17.9%	5.0%	42.4%	38.5%	15.9%
IV Percentile	34.8%	4.0%	93.7%	91.3%	30.2%
Term Structure	-0.9%	-8.9%	7.2%	-8.9%	-2.9%
VWIV	20.6%	15.9%	31.1%	29.1%	19.4%
Skew 25d	30.5%	-4.0%	155.2%	155.2%	60.9%
Skew 10d	37.3%	-44.8%	205.0%	205.0%	82.9%
Call IV 25d	20.8%	16.6%	43.8%	43.8%	20.2%
Put IV 25d	51.3%	15.7%	199.0%	199.0%	81.0%
Bid-Ask Spread %	92.23	33.07	108.91	83.46	105.46
Gamma HHI	0.56	0.44	0.70	0.48	0.70
Net GEX	104.8K	-25.6K	179.2K	985	173.6K
Net DEX	-805.9K	-1.4M	345.5K	-401.5K	-1.3M
Net VEX	-9.7K	-14.2K	-8.1K	-9.0K	-9.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.19	0.00	10.11	0.07	0.68
Total Volume	116.762	8	249	81	124
Total OI	3,956.238	3,679	4,265	3,863	3,844

Daily Data (21 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
2021-10-01	$33.01	$35.00	40.2%	11.5%	14.8%	38.5%	29.1%	155.2%	-8.9%	985	-401.5K	-9.0K	0.07	83.46	76	5	2,004	1,859
2021-10-04	$33.76	$35.00	13.3%	5.1%	17.6%	5.0%	0.0%	5.0%	-1.0%	117.5K	-890.2K	-8.6K	0.01	91.05	204	2	2,039	1,888
2021-10-05	$33.38	$35.00	23.9%	5.7%	17.4%	18.2%	19.9%	3.4%	0.7%	72.6K	-688.8K	-8.8K	0.17	71.99	213	36	2,099	1,892
2021-10-06	$33.51	$35.00	26.3%	4.5%	16.1%	21.1%	27.3%	7.0%	1.4%	94.6K	-832.0K	-10.5K	10.11	91.88	18	182	2,243	1,890
2021-10-07	$33.50	$35.00	26.0%	5.6%	16.1%	20.9%	19.5%	28.1%	1.7%	123.9K	-764.0K	-9.3K	0.33	87.53	58	19	2,096	1,906
2021-10-08	$33.08	$35.00	18.3%	6.1%	16.1%	11.2%	26.1%	3.4%	-1.0%	33.8K	-190.7K	-12.3K	7.00	84.41	1	7	2,105	2,109
2021-10-11	$32.78	$35.00	24.7%	5.2%	16.2%	19.2%	18.7%	3.8%	-2.4%	8.6K	78.4K	-14.2K	0.51	84.21	53	27	2,145	2,116
2021-10-12	$32.55	$35.00	43.3%	6.0%	15.6%	42.4%	21.7%	3.9%	-0.7%	-25.6K	345.5K	-11.4K	0.09	88.57	11	1	2,146	2,119
2021-10-13	$32.97	$35.00	19.7%	5.7%	16.4%	16.0%	19.8%	-4.0%	-0.6%	61.1K	-272.4K	-10.8K	0.00	95.79	23	0	2,141	2,102
2021-10-14	$33.62	$35.00	17.0%	4.9%	17.3%	11.8%	16.9%	-1.1%	7.2%	179.2K	-1.3M	-10.9K	1.85	107.93	13	24	2,142	2,105
2021-10-15	$33.73	$35.00	17.3%	5.0%	16.8%	12.3%	17.3%	6.6%	-0.0%	115.4K	-767.3K	-9.3K	0.12	97.40	105	13	2,136	2,104
2021-10-18	$33.40	$35.00	16.9%	4.8%	16.9%	11.7%	17.0%	7.7%	2.6%	86.4K	-662.3K	-9.7K	0.04	103.70	129	5	1,740	2,035
2021-10-19	$33.56	$35.00	19.1%	5.5%	16.9%	15.1%	19.1%	6.1%	-0.9%	98.7K	-819.2K	-9.5K	0.01	106.38	219	2	1,760	2,032
2021-10-20	$33.93	$35.00	32.2%	9.2%	17.0%	35.3%	31.1%	23.8%	-8.6%	126.2K	-1.1M	-8.4K	0.81	33.07	52	42	1,640	2,039
2021-10-21	$33.76	$35.00	17.0%	4.9%	17.1%	11.9%	17.3%	-1.6%	-0.3%	116.1K	-831.5K	-8.1K	0.61	99.81	69	42	1,646	2,054
2021-10-22	$34.24	$35.00	15.9%	4.6%	17.8%	10.2%	15.9%	46.8%	1.0%	169.1K	-1.2M	-8.4K	0.34	105.77	123	42	1,649	2,054
2021-10-25	$34.25	$35.00	17.6%	5.0%	17.4%	12.7%	17.7%	1.6%	-0.0%	165.5K	-1.4M	-8.8K	0.52	88.18	81	42	1,700	2,054
2021-10-26	$34.21	$35.00	18.4%	5.3%	16.8%	14.0%	17.7%	133.9%	-3.2%	169.0K	-1.4M	-8.7K	0.43	98.32	98	42	1,742	2,054
2021-10-27	$34.10	$35.00	18.5%	5.3%	16.5%	14.2%	19.2%	4.9%	-0.1%	162.7K	-1.3M	-9.3K	0.70	103.08	71	50	1,762	2,054
2021-10-28	$34.07	$35.00	21.9%	6.3%	16.0%	19.4%	22.2%	145.2%	-1.9%	151.4K	-1.2M	-9.0K	0.64	108.91	78	50	1,762	2,074
2021-10-29	$34.18	$35.00	19.7%	5.6%	16.0%	15.9%	19.4%	60.9%	-2.9%	173.6K	-1.3M	-9.0K	0.68	105.46	74	50	1,770	2,074