I did some more research and found this option at the bottom of the kernel.
So now you can leave 3DS Max Gamma Hack on, use the non-linear tone mapper that compresses highlight (I think this is defined by the built-in Octane LUT curve). With the Passes Output Setup, you can define what type of .exr file you want. Keep in mind, the tone mapped compresses the highlight define by the LUT. I think if you use your own LUT with less highlight compression, your dynamic range will be greater, but I haven't tested it yet.
Also, turn off save file at the top of the window. Otherwise, you will end up saving 2 .exr files, one from octane .exr and one from max .exr.