OGE Options History — January 2009

In January 2009, OGE traded between $11.99 and $13.34. ATM implied volatility averaged 47.1%, placing in the 23.6% IV rank vs the trailing year. The 30-day expected move averaged 12.4%. IV traded above realized volatility by 15.3% (HV 20d: 31.8%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 4 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.04.

Notable Days

2009-01-20: Highest Volume — 76 contracts
2009-01-26: Largest IV spike — 37.4% change
2009-01-12: Highest IV Rank — 36.6%
2009-01-08: Largest Expected Move — 13.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$12.48	$11.99	$13.34	$13.34	$12.34
Max Pain	$12.50	$12.50	$12.50	$12.50	$12.50
ATM IV	47.1%	33.8%	65.7%	40.6%	45.8%
Expected Move	12.4%	9.7%	13.4%	11.6%	13.1%
HV 20d	31.8%	26.5%	41.0%	41.0%	27.4%
HV 60d	71.4%	55.8%	86.6%	86.6%	55.9%
IV Rank	23.6%	14.3%	36.6%	19.1%	22.7%
IV Percentile	73.7%	53.2%	88.5%	67.5%	73.0%
Term Structure	-1.5%	-9.4%	18.3%	7.4%	-9.4%
VWIV	40.3%	21.5%	48.1%	42.9%	46.4%
Skew 25d	15.3%	2.9%	20.9%	9.5%	2.9%
Skew 10d	17.4%	-6.7%	37.9%	23.9%	-6.7%
Call IV 25d	31.5%	26.3%	39.1%	34.3%	39.1%
Put IV 25d	46.8%	40.7%	50.9%	43.8%	42.0%
Bid-Ask Spread %	99.26	82.41	139.52	139.52	101.93
Gamma HHI	0.43	0.33	0.53	0.38	0.52
Net GEX	-4.8K	-11.9K	8.5K	-2.0K	-11.2K
Net DEX	151.3K	18.7K	259.0K	18.7K	148.0K
Net VEX	-1.9K	-2.0K	-1.7K	-1.9K	-1.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.04	0.00	0.40	0.00	0.00
Total Volume	16.2	0	76	6	8
Total OI	1,636.3	1,502	1,714	1,600	1,680

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
2009-01-02	$13.34	$12.50	40.6%	11.6%	41.0%	19.1%	0.0%	9.5%	7.4%	-2.0K	18.7K	-1.9K	0.00	139.52	6	0	846	754
2009-01-05	$13.15	$0.00	47.5%	12.9%	36.3%	23.8%	0.0%	11.8%	-1.8%	-822	64.3K	-2.0K	0.40	82.41	30	12	852	754
2009-01-06	$12.97	$0.00	45.5%	12.7%	35.5%	22.5%	0.0%	10.9%	-0.8%	1.8K	65.1K	-2.0K	0.00	92.39	16	0	882	754
2009-01-07	$12.62	$0.00	55.3%	12.8%	36.5%	29.4%	0.0%	18.7%	-4.1%	-2.7K	126.5K	-2.0K	0.00	95.74	6	0	898	754
2009-01-08	$12.61	$0.00	43.6%	13.4%	35.9%	21.1%	0.0%	20.9%	-1.8%	140	111.6K	-2.0K	0.00	98.80	18	0	892	754
2009-01-09	$12.38	$0.00	48.5%	12.9%	36.5%	24.5%	0.0%	19.7%	-0.6%	-227	144.4K	-2.0K	0.00	95.91	22	0	910	754
2009-01-12	$12.38	$0.00	65.7%	11.9%	35.5%	36.6%	0.0%	19.8%	4.4%	-1.2K	148.1K	-2.0K	0.00	91.06	24	0	932	754
2009-01-13	$12.43	$0.00	64.3%	12.5%	34.8%	35.7%	42.9%	18.3%	-2.9%	-1.1K	143.8K	-1.9K	0.00	85.45	4	0	956	754
2009-01-14	$12.18	$12.50	61.3%	12.7%	35.5%	33.5%	0.0%	18.2%	0.7%	-1.5K	180.1K	-1.9K	0.00	96.25	0	0	960	754
2009-01-15	$12.28	$12.50	43.8%	12.6%	29.0%	21.3%	0.0%	18.2%	0.0%	1.1K	163.4K	-1.9K	0.00	95.96	0	0	960	754
2009-01-16	$12.29	$12.50	42.2%	12.1%	28.4%	20.1%	0.0%	19.0%	-7.7%	8.5K	246.7K	-1.7K	0.00	101.34	0	0	960	754
2009-01-20	$12.07	$12.50	43.1%	12.3%	27.8%	20.8%	42.5%	14.9%	-1.1%	-11.8K	259.0K	-1.7K	0.27	99.04	60	16	798	704
2009-01-21	$12.26	$12.50	44.0%	12.6%	28.3%	21.4%	48.1%	16.0%	-5.7%	-10.1K	209.5K	-1.9K	0.00	95.58	2	0	858	720
2009-01-22	$12.07	$12.50	41.3%	11.8%	28.5%	19.5%	0.0%	14.2%	0.1%	-11.6K	244.6K	-1.8K	0.00	93.90	0	0	860	720
2009-01-23	$11.99	$12.50	33.8%	9.7%	26.5%	14.3%	21.5%	15.2%	18.3%	-11.9K	255.6K	-1.8K	0.00	131.05	2	0	860	720
2009-01-26	$12.38	$12.50	46.5%	13.3%	28.6%	23.2%	46.4%	14.5%	-6.5%	-11.2K	182.3K	-1.8K	0.00	96.81	26	0	862	720
2009-01-27	$12.61	$12.50	43.3%	12.4%	28.9%	20.9%	0.0%	15.5%	-4.6%	-9.9K	112.1K	-1.8K	0.00	82.66	2	0	888	720
2009-01-28	$12.66	$12.50	42.5%	12.2%	28.8%	20.4%	0.0%	14.4%	-5.7%	-10.1K	101.7K	-1.7K	0.00	105.15	54	0	890	720
2009-01-29	$12.59	$12.50	44.2%	12.7%	27.0%	21.5%	0.0%	14.2%	-7.3%	-9.5K	99.9K	-1.9K	0.00	104.24	16	0	944	720
2009-01-30	$12.34	$12.50	45.8%	13.1%	27.4%	22.7%	0.0%	2.9%	-9.4%	-11.2K	148.0K	-1.9K	0.00	101.93	8	0	960	720