OGE Options History — November 2008

In November 2008, OGE traded between $11.52 and $13.90. ATM implied volatility averaged 47.3%, placing in the 24.3% IV rank vs the trailing year. The 30-day expected move averaged 13.1%. IV traded below realized volatility by 53.3% (HV 20d: 100.5%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 6 of 19 days. Put/call ratio averaged 13.54.

Notable Days

2008-11-07: Highest Volume — 232 contracts
2008-11-28: Largest IV spike — 203.3% change
2008-11-28: Highest IV Rank — 60.6%
2008-11-28: Largest Expected Move — 28.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$12.96	$11.52	$13.90	$13.72	$13.24
Max Pain	$14.47	$12.50	$15.00	$12.50	$15.00
ATM IV	47.3%	32.8%	99.4%	49.7%	99.4%
Expected Move	13.1%	9.4%	28.5%	14.2%	28.5%
HV 20d	100.5%	83.9%	120.9%	120.9%	83.9%
HV 60d	78.7%	74.0%	84.1%	74.0%	84.1%
IV Rank	24.3%	14.3%	60.6%	26.0%	60.6%
IV Percentile	83.4%	67.1%	97.2%	89.7%	97.2%
Term Structure	-3.1%	-24.5%	6.0%	-13.6%	-24.5%
VWIV	47.4%	44.7%	50.1%	44.7%	50.1%
Skew 25d	12.3%	-35.8%	98.1%	21.2%	98.1%
Skew 10d	1.1%	-75.1%	134.9%	-59.6%	134.9%
Call IV 25d	36.2%	24.6%	78.9%	28.5%	38.6%
Put IV 25d	48.5%	30.5%	136.7%	49.7%	136.7%
Bid-Ask Spread %	126.59	104.31	153.40	129.53	153.40
Gamma HHI	0.32	0.27	0.38	0.27	0.28
Net GEX	-15.4K	-28.9K	-639	-639	-4.8K
Net DEX	268.2K	-45.8K	827.0K	-45.8K	111.8K
Net VEX	-2.9K	-4.0K	-2.2K	-2.7K	-4.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	13.54	8.75	18.33	18.33	8.75
Total Volume	28.737	0	232	0	0
Total OI	2,082.316	1,830	2,338	1,836	2,014

Daily Data (19 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
2008-11-03	$13.72	$12.50	49.7%	14.2%	120.9%	26.0%	0.0%	21.2%	-13.6%	-639	-45.8K	-2.7K	0.00	129.53	0	0	894	942
2008-11-04	$13.13	$12.50	46.4%	13.3%	120.0%	23.7%	0.0%	14.8%	-2.6%	-9.1K	120.0K	-2.5K	0.00	138.01	0	0	888	942
2008-11-05	$12.99	$12.50	48.2%	13.8%	117.2%	25.0%	0.0%	9.1%	-8.4%	-10.6K	138.7K	-2.4K	0.00	138.58	0	0	888	942
2008-11-06	$12.77	$12.50	46.7%	13.4%	111.7%	23.9%	0.0%	15.2%	-5.7%	-13.6K	190.6K	-2.2K	0.00	132.85	0	8	888	942
2008-11-07	$13.39	$15.00	43.7%	12.4%	111.0%	21.9%	0.0%	7.8%	-2.3%	-7.4K	75.1K	-2.4K	18.33	104.68	12	220	888	950
2008-11-10	$13.24	$15.00	52.2%	12.8%	101.9%	27.8%	0.0%	9.4%	-3.1%	-13.2K	192.6K	-2.9K	0.00	104.31	0	40	900	1,162
2008-11-11	$12.93	$15.00	53.8%	12.8%	99.8%	28.9%	44.7%	20.1%	-3.5%	-17.2K	273.3K	-3.0K	0.00	110.04	0	20	900	1,202
2008-11-12	$12.59	$15.00	56.0%	13.1%	94.0%	30.4%	50.1%	19.3%	-3.9%	-21.1K	376.1K	-2.9K	0.00	107.49	0	80	888	1,222
2008-11-13	$13.90	$15.00	35.5%	10.2%	100.1%	16.2%	0.0%	7.1%	1.5%	-5.6K	57.5K	-3.2K	0.00	107.71	0	0	888	1,302
2008-11-14	$13.27	$15.00	44.4%	12.7%	100.8%	22.3%	0.0%	18.7%	-0.1%	-18.4K	201.9K	-3.2K	8.75	117.28	16	140	888	1,302
2008-11-17	$13.04	$15.00	46.2%	13.2%	89.1%	23.6%	0.0%	18.6%	-2.5%	-22.3K	300.7K	-3.4K	0.00	125.43	0	0	896	1,442
2008-11-18	$13.60	$15.00	41.3%	11.8%	90.5%	20.2%	0.0%	19.6%	6.0%	-13.8K	179.3K	-3.1K	0.00	128.29	0	0	896	1,442
2008-11-19	$12.78	$15.00	43.8%	12.6%	91.0%	21.9%	0.0%	16.0%	-0.7%	-28.8K	371.5K	-3.3K	0.00	126.33	0	0	896	1,442
2008-11-20	$11.52	$15.00	46.3%	13.3%	97.9%	23.7%	0.0%	-2.9%	-2.4%	-28.9K	827.0K	-2.7K	0.00	121.82	0	10	896	1,442
2008-11-21	$12.14	$15.00	39.6%	11.4%	99.9%	19.0%	0.0%	-35.8%	1.1%	-22.5K	714.4K	-2.8K	0.00	134.54	0	0	896	1,442
2008-11-24	$12.56	$15.00	35.5%	10.2%	99.5%	16.2%	0.0%	-8.0%	1.3%	-19.4K	363.5K	-2.7K	0.00	135.66	0	0	834	1,180
2008-11-25	$12.57	$15.00	36.1%	10.4%	90.4%	16.6%	0.0%	-5.8%	0.0%	-19.1K	354.0K	-2.7K	0.00	144.74	0	0	834	1,180
2008-11-26	$12.86	$15.00	32.8%	9.4%	90.7%	14.3%	0.0%	-9.6%	3.7%	-16.6K	293.5K	-2.5K	0.00	144.45	0	0	834	1,180
2008-11-28	$13.24	$15.00	99.4%	28.5%	83.9%	60.6%	0.0%	98.1%	-24.5%	-4.8K	111.8K	-4.0K	0.00	153.40	0	0	834	1,180