OGE Options History — September 2023

In September 2023, OGE traded between $33.20 and $35.91. ATM implied volatility averaged 31.6%, placing in the 19.3% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 15.6% (HV 20d: 16.0%). Max pain ranged from $25.00 to $35.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 1.18.

Notable Days

2023-09-22: Highest Volume — 122 contracts
2023-09-05: Largest IV spike — 158.6% change
2023-09-06: Highest IV Rank — 54.9%
2023-09-28: Largest Expected Move — 10.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$34.62	$33.20	$35.91	$33.80	$33.30
Max Pain	$25.75	$25.00	$35.00	$35.00	$30.00
ATM IV	31.6%	16.0%	64.3%	24.6%	26.6%
Expected Move	6.4%	4.1%	10.9%	7.0%	7.6%
HV 20d	16.0%	12.7%	20.3%	12.7%	20.3%
HV 60d	17.3%	16.1%	18.1%	16.1%	18.0%
IV Rank	19.3%	2.4%	54.9%	11.7%	13.9%
IV Percentile	57.1%	5.2%	99.2%	57.5%	63.5%
Term Structure	5.8%	-12.1%	17.8%	1.6%	12.8%
VWIV	32.1%	11.3%	82.0%	22.9%	19.0%
Skew 25d	37.8%	-2.8%	114.1%	-2.8%	10.8%
Skew 10d	58.8%	-24.7%	162.3%	-10.3%	2.6%
Call IV 25d	20.1%	11.5%	40.8%	24.1%	13.7%
Put IV 25d	57.9%	20.3%	154.9%	21.4%	24.5%
Bid-Ask Spread %	98.10	57.70	124.47	121.58	57.70
Gamma HHI	0.52	0.48	0.61	0.50	0.51
Net GEX	49.9K	25.9K	87.3K	34.2K	41.2K
Net DEX	-799.1K	-1.3M	-331.7K	-435.8K	-573.7K
Net VEX	-3.2K	-4.9K	-1.8K	-2.3K	-3.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.18	0.00	11.00	0.00	0.25
Total Volume	35.8	2	122	2	5
Total OI	1,096.25	593	1,418	1,349	916

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
2023-09-01	$33.80	$35.00	24.6%	7.0%	12.7%	11.7%	22.9%	-2.8%	1.6%	34.2K	-435.8K	-2.3K	0.00	121.58	2	0	1,218	131
2023-09-05	$33.27	$25.00	63.5%	4.8%	13.7%	54.0%	70.6%	89.9%	6.7%	25.9K	-331.7K	-2.0K	0.02	103.53	57	1	1,219	131
2023-09-06	$33.33	$25.00	64.3%	5.3%	13.7%	54.9%	0.0%	0.0%	-9.8%	30.6K	-383.9K	-1.8K	0.00	103.23	13	0	1,241	126
2023-09-07	$34.16	$25.00	60.8%	6.3%	16.6%	51.0%	0.0%	24.4%	11.5%	42.7K	-697.4K	-3.0K	0.00	121.06	60	0	1,253	126
2023-09-08	$34.61	$25.00	34.6%	6.2%	17.2%	22.6%	82.0%	93.0%	4.4%	44.3K	-675.5K	-2.5K	3.43	110.38	7	24	1,235	126
2023-09-11	$34.91	$25.00	50.8%	4.1%	17.4%	40.2%	14.6%	7.2%	15.1%	51.1K	-811.7K	-3.0K	0.10	73.31	42	4	1,239	150
2023-09-12	$35.02	$25.00	18.7%	4.9%	16.2%	5.3%	0.0%	31.6%	10.5%	77.0K	-896.7K	-3.3K	3.00	96.58	1	3	1,268	150
2023-09-13	$35.17	$25.00	16.0%	4.6%	14.7%	2.4%	0.0%	23.1%	12.4%	87.3K	-992.4K	-3.3K	3.33	106.09	6	20	1,269	149
2023-09-14	$35.59	$25.00	19.2%	5.5%	14.8%	5.9%	0.0%	36.9%	0.6%	68.1K	-1.1M	-2.6K	0.00	99.83	3	0	1,275	129
2023-09-15	$35.75	$25.00	20.6%	5.9%	14.8%	7.4%	20.7%	28.8%	10.1%	43.6K	-1.3M	-3.0K	0.00	101.36	97	0	1,278	129
2023-09-18	$35.91	$25.00	21.6%	6.2%	14.8%	8.4%	11.3%	83.9%	11.0%	40.7K	-999.5K	-2.9K	0.00	106.45	70	0	568	25
2023-09-19	$35.67	$25.00	25.8%	7.4%	14.7%	13.0%	0.0%	20.7%	-12.1%	49.1K	-980.5K	-3.4K	0.00	82.20	72	0	638	25
2023-09-20	$35.61	$25.00	22.5%	6.4%	14.5%	9.5%	22.3%	10.5%	-3.9%	50.2K	-908.1K	-3.1K	0.00	89.69	39	0	699	25
2023-09-21	$35.34	$25.00	19.4%	5.6%	14.9%	6.1%	0.0%	39.6%	-2.7%	61.9K	-861.0K	-3.4K	11.00	69.94	3	33	729	25
2023-09-22	$35.20	$25.00	17.6%	5.0%	14.8%	4.1%	0.0%	99.5%	11.1%	52.3K	-882.9K	-4.2K	0.00	95.48	122	0	731	58
2023-09-25	$35.13	$25.00	28.8%	8.3%	14.7%	16.3%	0.0%	39.7%	-2.4%	63.2K	-896.7K	-4.7K	0.00	89.35	3	0	853	58
2023-09-26	$33.86	$25.00	31.8%	9.1%	19.9%	19.6%	25.1%	114.1%	3.3%	50.0K	-908.7K	-4.9K	0.00	92.40	13	0	856	58
2023-09-27	$33.58	$25.00	27.0%	7.7%	20.0%	14.3%	0.0%	2.9%	17.8%	42.0K	-592.2K	-3.4K	0.43	117.44	7	3	849	58
2023-09-28	$33.20	$25.00	37.9%	10.9%	20.3%	26.2%	19.0%	2.1%	17.4%	42.0K	-737.8K	-4.3K	2.00	124.47	2	4	851	61
2023-09-29	$33.30	$30.00	26.6%	7.6%	20.3%	13.9%	0.0%	10.8%	12.8%	41.2K	-573.7K	-3.2K	0.25	57.70	4	1	851	65