OGE Options History — January 2022

In January 2022, OGE traded between $36.99 and $38.03. ATM implied volatility averaged 21.2%, placing in the 19.6% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 8.5% (HV 20d: 12.7%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.34.

Notable Days

2022-01-28: Highest Volume — 1,021 contracts
2022-01-31: Largest IV spike — 86.3% change
2022-01-05: Highest IV Rank — 36.2%
2022-01-05: Largest Expected Move — 9.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$37.54	$36.99	$38.03	$37.88	$37.79
Max Pain	$39.00	$35.00	$40.00	$35.00	$40.00
ATM IV	21.2%	12.3%	32.8%	32.3%	23.0%
Expected Move	5.8%	3.5%	9.4%	9.3%	6.6%
HV 20d	12.7%	10.3%	18.1%	18.1%	11.4%
HV 60d	16.2%	15.9%	17.0%	17.0%	15.9%
IV Rank	19.6%	5.1%	36.2%	35.3%	23.2%
IV Percentile	45.3%	2.0%	87.7%	86.1%	67.1%
Term Structure	-2.0%	-10.8%	6.4%	-5.1%	6.4%
VWIV	20.2%	13.3%	29.2%	23.7%	21.6%
Skew 25d	6.2%	-2.7%	18.9%	8.2%	14.1%
Skew 10d	3.3%	-20.4%	45.8%	3.9%	-19.7%
Call IV 25d	16.5%	11.1%	24.6%	20.8%	14.0%
Put IV 25d	22.7%	18.0%	32.4%	28.9%	28.1%
Bid-Ask Spread %	95.94	50.90	116.42	50.90	106.43
Gamma HHI	0.79	0.69	0.90	0.69	0.69
Net GEX	120.2K	88.5K	146.1K	127.3K	141.6K
Net DEX	-1.6M	-2.3M	-1.2M	-2.0M	-1.8M
Net VEX	-9.4K	-15.0K	-7.3K	-7.3K	-15.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.34	0.07	1.18	0.49	0.64
Total Volume	529.65	246	1,021	246	482
Total OI	2,209.8	1,997	2,848	1,998	2,848

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
2022-01-03	$37.88	$35.00	32.3%	9.3%	18.1%	35.3%	23.7%	8.2%	-5.1%	127.3K	-2.0M	-7.3K	0.49	50.90	165	81	1,370	628
2022-01-04	$37.97	$35.00	19.7%	5.6%	15.9%	15.9%	20.8%	0.3%	-6.2%	128.1K	-2.1M	-7.5K	1.18	100.08	153	181	1,377	740
2022-01-05	$37.84	$35.00	32.8%	9.4%	14.1%	36.2%	29.2%	18.9%	4.1%	128.6K	-2.3M	-9.3K	0.63	111.02	254	161	1,390	741
2022-01-06	$37.74	$35.00	27.7%	4.2%	14.1%	28.3%	15.8%	2.4%	1.3%	125.6K	-2.2M	-7.8K	0.07	87.21	651	45	1,445	744
2022-01-07	$37.62	$40.00	14.6%	4.3%	13.7%	8.2%	17.6%	2.4%	-0.6%	105.2K	-1.5M	-8.8K	0.07	85.92	624	43	1,240	757
2022-01-10	$37.44	$40.00	19.1%	4.5%	13.9%	16.7%	13.3%	3.8%	0.6%	107.4K	-1.3M	-8.2K	0.07	86.24	637	43	1,268	777
2022-01-11	$37.24	$40.00	24.3%	6.6%	12.2%	25.4%	16.5%	1.7%	-4.7%	90.3K	-1.2M	-8.5K	0.08	59.02	342	27	1,279	776
2022-01-12	$37.24	$40.00	16.6%	4.8%	11.7%	12.4%	13.7%	2.9%	-0.6%	88.5K	-1.2M	-8.0K	0.09	90.28	290	27	1,341	781
2022-01-13	$37.55	$40.00	21.9%	6.3%	10.3%	21.4%	19.4%	-2.7%	-9.0%	103.2K	-1.4M	-9.0K	0.09	82.66	295	27	1,343	781
2022-01-14	$38.03	$40.00	17.4%	5.0%	11.1%	13.7%	21.7%	3.4%	-0.7%	146.1K	-1.7M	-8.1K	0.21	106.48	320	67	1,346	780
2022-01-18	$37.77	$40.00	13.2%	3.8%	11.5%	6.7%	20.3%	2.9%	2.6%	109.6K	-1.6M	-9.3K	0.13	108.14	510	67	1,355	802
2022-01-19	$37.84	$40.00	13.7%	3.9%	11.3%	7.5%	21.4%	1.2%	1.7%	124.8K	-1.7M	-9.6K	0.13	108.80	512	67	1,402	802
2022-01-20	$37.38	$40.00	20.9%	6.0%	12.3%	19.7%	20.7%	2.7%	-7.5%	94.5K	-1.3M	-9.0K	0.22	108.74	310	67	1,381	802
2022-01-21	$37.28	$40.00	19.5%	5.6%	12.2%	17.4%	20.6%	2.4%	-4.5%	120.1K	-1.4M	-8.6K	0.13	110.35	522	69	1,397	802
2022-01-24	$36.99	$40.00	23.4%	6.7%	12.5%	23.9%	25.0%	14.2%	-4.8%	137.2K	-1.6M	-10.7K	0.21	103.50	293	63	1,573	623
2022-01-25	$37.10	$40.00	21.4%	6.1%	12.3%	20.6%	20.6%	11.1%	3.2%	127.2K	-1.5M	-10.2K	0.33	89.89	461	152	1,584	652
2022-01-26	$37.13	$40.00	27.3%	7.8%	11.6%	30.6%	19.4%	10.5%	-9.4%	124.6K	-1.5M	-9.8K	0.28	116.42	481	137	1,522	760
2022-01-27	$37.42	$40.00	22.8%	6.5%	11.5%	22.9%	25.5%	13.0%	-10.8%	138.1K	-1.7M	-10.2K	0.98	110.86	478	468	1,554	762
2022-01-28	$37.62	$40.00	12.3%	3.5%	11.5%	5.1%	16.5%	10.7%	4.7%	135.3K	-1.7M	-13.3K	0.70	95.84	602	419	1,579	1,092
2022-01-31	$37.79	$40.00	23.0%	6.6%	11.4%	23.2%	21.6%	14.1%	6.4%	141.6K	-1.8M	-15.0K	0.64	106.43	294	188	1,726	1,122