OGE Options History — February 2009

In February 2009, OGE traded between $10.96 and $12.87. ATM implied volatility averaged 62.9%, placing in the 34.6% IV rank vs the trailing year. The 30-day expected move averaged 17.2%. IV traded above realized volatility by 34.3% (HV 20d: 28.5%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 5 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 0.25.

Notable Days

2009-02-25: Highest Volume — 180 contracts
2009-02-26: Largest IV spike — 113.9% change
2009-02-10: Highest IV Rank — 57.9%
2009-02-18: Largest Expected Move — 26.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$12.01	$10.96	$12.87	$12.41	$10.96
Max Pain	$12.50	$12.50	$12.50	$12.50	$12.50
ATM IV	62.9%	32.7%	96.1%	47.9%	41.7%
Expected Move	17.2%	9.4%	26.9%	13.7%	12.0%
HV 20d	28.5%	22.9%	35.1%	24.0%	32.9%
HV 60d	48.4%	34.9%	55.2%	55.2%	34.9%
IV Rank	34.6%	13.5%	57.9%	24.1%	19.8%
IV Percentile	77.9%	44.8%	96.4%	76.6%	59.5%
Term Structure	-7.9%	-68.9%	38.0%	-10.6%	-6.5%
VWIV	50.2%	28.6%	113.2%	32.6%	35.6%
Skew 25d	41.8%	-1.2%	103.6%	3.7%	9.5%
Skew 10d	59.5%	-6.3%	122.2%	-3.2%	13.7%
Call IV 25d	33.6%	23.6%	45.1%	38.5%	32.6%
Put IV 25d	75.4%	30.8%	144.1%	42.2%	42.1%
Bid-Ask Spread %	130.07	82.01	181.20	107.23	97.09
Gamma HHI	0.54	0.32	0.91	0.50	0.60
Net GEX	-8.5K	-23.5K	3.0K	-10.0K	-13.2K
Net DEX	177.0K	-46.4K	449.6K	114.1K	394.9K
Net VEX	-1.9K	-2.6K	-1.2K	-1.9K	-1.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.25	0.00	1.43	0.00	1.43
Total Volume	33.158	0	180	8	34
Total OI	1,763.789	1,688	2,078	1,688	2,078

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
2009-02-02	$12.41	$12.50	47.9%	13.7%	24.0%	24.1%	0.0%	3.7%	-10.6%	-10.0K	114.1K	-1.9K	0.00	107.23	8	0	968	720
2009-02-03	$12.30	$12.50	47.1%	13.5%	23.8%	23.6%	0.0%	12.2%	-12.0%	-12.0K	161.9K	-1.7K	0.00	88.12	0	0	968	720
2009-02-04	$12.54	$12.50	84.4%	24.2%	24.8%	49.7%	0.0%	78.0%	25.5%	284	43.0K	-2.6K	0.00	141.24	10	0	968	720
2009-02-05	$12.63	$12.50	78.0%	22.4%	22.9%	45.2%	32.6%	79.5%	38.0%	344	38.6K	-2.4K	0.50	181.20	4	2	978	720
2009-02-06	$12.87	$12.50	79.3%	16.6%	23.9%	46.2%	0.0%	14.4%	-34.3%	-2.8K	23.9K	-2.1K	0.00	155.94	0	0	982	722
2009-02-09	$12.78	$12.50	93.4%	21.6%	23.0%	56.0%	0.0%	1.2%	-37.2%	-894	37.7K	-2.2K	0.00	155.23	0	0	982	722
2009-02-10	$12.50	$12.50	96.1%	22.2%	24.5%	57.9%	28.6%	82.1%	-40.7%	28	55.3K	-2.3K	0.00	155.41	28	0	982	722
2009-02-11	$12.32	$12.50	89.7%	26.3%	25.1%	53.4%	0.0%	81.4%	-68.9%	3.0K	6.7K	-2.5K	0.00	154.05	0	0	982	722
2009-02-12	$12.27	$12.50	57.5%	16.5%	24.0%	30.9%	0.0%	64.9%	0.7%	-13.0K	145.4K	-1.7K	0.00	145.22	24	0	982	722
2009-02-13	$12.73	$12.50	53.5%	15.3%	27.3%	28.1%	0.0%	67.5%	11.5%	-11.1K	-46.4K	-1.4K	0.00	143.09	30	0	996	722
2009-02-17	$12.10	$12.50	60.3%	17.3%	33.0%	32.8%	0.0%	82.9%	0.8%	-3.7K	164.3K	-1.9K	0.00	159.05	0	0	1,024	722
2009-02-18	$11.88	$12.50	93.7%	26.9%	33.1%	56.2%	113.2%	95.8%	-36.8%	2.3K	78.2K	-2.3K	0.00	153.81	0	2	1,024	722
2009-02-19	$11.82	$12.50	40.6%	11.6%	32.6%	19.0%	41.1%	-1.2%	-4.4%	-14.9K	265.2K	-1.5K	0.50	83.32	40	20	1,024	722
2009-02-20	$11.51	$12.50	42.0%	12.1%	33.5%	20.0%	41.9%	4.0%	-5.7%	-16.8K	348.2K	-1.4K	0.00	97.24	0	24	1,024	722
2009-02-23	$11.15	$12.50	37.5%	10.8%	35.1%	16.9%	0.0%	-1.0%	-2.1%	-20.6K	449.6K	-1.2K	0.05	82.01	86	4	992	730
2009-02-24	$11.33	$12.50	32.7%	9.4%	33.3%	13.5%	0.0%	12.3%	6.9%	-23.5K	415.1K	-1.3K	0.37	120.28	86	32	1,050	734
2009-02-25	$11.22	$12.50	38.0%	10.9%	32.3%	17.2%	38.0%	3.8%	-1.9%	-19.2K	399.5K	-1.5K	0.13	107.28	160	20	1,116	766
2009-02-26	$10.96	$12.50	81.2%	23.3%	32.7%	47.5%	70.7%	103.6%	26.8%	-6.2K	267.2K	-2.1K	0.00	144.62	16	0	1,276	786
2009-02-27	$10.96	$12.50	41.7%	12.0%	32.9%	19.8%	35.6%	9.5%	-6.5%	-13.2K	394.9K	-1.8K	1.43	97.09	14	20	1,292	786