OGE Options History — April 2009

In April 2009, OGE traded between $11.82 and $12.86. ATM implied volatility averaged 28.2%, placing in the 10.4% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded below realized volatility by 1.4% (HV 20d: 29.6%). Max pain ranged from $11.25 to $12.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.21.

Notable Days

2009-04-02: Highest Volume — 86 contracts
2009-04-06: Largest IV spike — 240.1% change
2009-04-07: Highest IV Rank — 46.6%
2009-04-01: Largest Expected Move — 11.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$12.18	$11.82	$12.86	$11.82	$12.86
Max Pain	$11.31	$11.25	$12.50	$11.25	$11.25
ATM IV	28.2%	14.4%	80.0%	40.4%	14.4%
Expected Move	6.8%	4.1%	11.6%	11.6%	4.1%
HV 20d	29.6%	22.0%	44.7%	44.7%	22.8%
HV 60d	39.8%	39.5%	40.2%	39.8%	39.8%
IV Rank	10.4%	0.7%	46.6%	18.9%	0.7%
IV Percentile	28.2%	1.2%	92.1%	51.2%	1.2%
Term Structure	6.6%	-3.0%	17.2%	-3.0%	17.2%
VWIV	30.2%	21.5%	39.0%	39.0%	21.5%
Bid-Ask Spread %	101.37	58.01	200.00	89.38	142.99
Gamma HHI	0.82	0.72	0.98	0.82	0.87
Net GEX	39.3K	14.1K	58.2K	26.9K	58.2K
Net DEX	-448.7K	-858.7K	-176.9K	-359.6K	-858.7K
Net VEX	-2.2K	-2.4K	-679	-2.2K	-2.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.21	0.00	1.43	0.54	0.00
Total Volume	17.905	0	86	44	0
Total OI	1,280.952	332	1,414	1,308	1,350

Daily Data (21 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
2009-04-01	$11.82	$11.25	40.4%	11.6%	44.7%	18.9%	39.0%	0.0%	-3.0%	26.9K	-359.6K	-2.2K	0.00	89.38	0	44	1,112	196
2009-04-02	$12.14	$11.25	16.6%	4.7%	35.9%	2.2%	0.0%	0.0%	13.0%	31.2K	-446.4K	-2.3K	0.54	96.73	56	30	1,112	216
2009-04-03	$12.15	$11.25	20.7%	6.1%	35.3%	5.1%	0.0%	0.0%	4.6%	33.2K	-437.5K	-2.4K	1.43	74.27	14	20	1,136	234
2009-04-06	$12.10	$11.25	70.3%	5.8%	35.6%	39.9%	0.0%	0.0%	5.2%	35.1K	-409.4K	-2.4K	0.00	77.13	0	0	1,140	254
2009-04-07	$11.96	$11.25	80.0%	7.6%	35.1%	46.6%	0.0%	0.0%	3.2%	31.8K	-381.8K	-2.3K	0.00	72.28	20	0	1,104	254
2009-04-08	$12.10	$11.25	19.9%	7.5%	34.5%	4.6%	0.0%	0.0%	3.6%	40.9K	-419.0K	-2.4K	0.00	77.98	10	0	1,124	254
2009-04-09	$12.34	$11.25	26.1%	7.5%	30.6%	8.9%	0.0%	0.0%	3.2%	52.8K	-515.9K	-2.4K	0.00	81.32	26	0	1,134	254
2009-04-13	$12.13	$11.25	26.8%	7.7%	30.9%	9.4%	0.0%	0.0%	3.8%	38.0K	-463.2K	-2.4K	0.00	80.96	0	0	1,160	254
2009-04-14	$11.88	$11.25	30.9%	8.9%	31.9%	12.3%	0.0%	0.0%	8.0%	28.9K	-326.9K	-2.2K	0.00	82.59	0	0	1,160	254
2009-04-15	$12.04	$11.25	24.7%	7.1%	32.1%	7.9%	0.0%	0.0%	5.8%	37.5K	-406.1K	-2.3K	0.00	83.52	0	0	1,160	234
2009-04-16	$12.12	$11.25	24.4%	7.0%	28.2%	7.7%	0.0%	0.0%	5.8%	36.8K	-427.3K	-2.2K	0.30	58.01	20	6	1,034	190
2009-04-17	$12.30	$12.50	16.7%	4.8%	28.6%	2.3%	0.0%	0.0%	0.0%	14.1K	-176.9K	-679	0.00	200.00	0	0	312	20
2009-04-20	$12.07	$11.25	25.1%	7.2%	29.0%	8.2%	0.0%	0.0%	5.2%	36.4K	-408.9K	-2.2K	0.00	68.47	18	0	1,044	196
2009-04-21	$12.24	$11.25	24.5%	7.0%	27.0%	7.7%	0.0%	0.0%	5.7%	41.4K	-467.0K	-2.2K	0.00	112.94	2	0	1,056	196
2009-04-22	$12.07	$11.25	23.4%	6.7%	24.8%	7.0%	0.0%	0.0%	6.2%	39.1K	-399.9K	-2.2K	0.00	82.81	0	20	1,058	196
2009-04-23	$12.13	$11.25	22.5%	6.5%	24.8%	6.4%	0.0%	0.0%	7.4%	41.3K	-410.0K	-2.2K	0.00	131.48	0	0	1,058	216
2009-04-24	$12.14	$11.25	21.1%	6.0%	23.2%	5.4%	0.0%	0.0%	8.7%	43.2K	-413.3K	-2.2K	0.00	138.78	42	0	1,058	216
2009-04-27	$12.22	$11.25	21.5%	6.2%	22.0%	5.7%	21.5%	0.0%	9.3%	48.1K	-467.7K	-2.3K	0.00	127.27	10	0	1,098	216
2009-04-28	$12.41	$11.25	21.8%	6.2%	22.1%	5.8%	0.0%	0.0%	9.2%	53.5K	-564.9K	-2.3K	0.00	124.85	0	0	1,104	216
2009-04-29	$12.62	$11.25	20.9%	6.0%	22.5%	5.2%	0.0%	0.0%	10.5%	58.2K	-662.4K	-2.3K	0.00	125.06	38	0	1,104	216
2009-04-30	$12.86	$11.25	14.4%	4.1%	22.8%	0.7%	0.0%	0.0%	17.2%	58.2K	-858.7K	-2.2K	0.00	142.99	0	0	1,134	216