OGE Options History — June 2009

In June 2009, OGE traded between $13.10 and $14.19. ATM implied volatility averaged 34.1%, placing in the 14.5% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded above realized volatility by 9.0% (HV 20d: 25.1%). Max pain ranged from $11.25 to $12.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 0.09.

Notable Days

2009-06-26: Highest Volume — 266 contracts
2009-06-22: Largest IV spike — 121.7% change
2009-06-22: Highest IV Rank — 53.6%
2009-06-22: Largest Expected Move — 25.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$13.62	$13.10	$14.19	$13.46	$14.16
Max Pain	$12.27	$11.25	$12.50	$11.25	$12.50
ATM IV	34.1%	18.1%	89.9%	18.1%	44.6%
Expected Move	10.0%	5.2%	25.8%	5.2%	12.8%
HV 20d	25.1%	22.1%	28.6%	24.7%	24.9%
HV 60d	25.0%	22.8%	28.1%	28.1%	23.3%
IV Rank	14.5%	3.3%	53.6%	3.3%	21.8%
IV Percentile	38.7%	11.1%	95.2%	11.1%	65.9%
Term Structure	-3.5%	-52.0%	12.2%	10.7%	11.5%
VWIV	74.9%	74.9%	74.9%	74.9%	74.9%
Bid-Ask Spread %	150.94	83.55	177.67	143.58	158.55
Gamma HHI	0.76	0.56	0.86	0.78	0.82
Net GEX	48.9K	33.5K	62.3K	40.6K	62.3K
Net DEX	-1.0M	-1.4M	-576.2K	-978.1K	-1.2M
Net VEX	-8.2K	-9.5K	-7.2K	-8.1K	-9.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.09	0.00	0.60	0.50	0.00
Total Volume	38.818	0	266	60	0
Total OI	3,144.545	2,726	3,268	3,210	3,250

Daily Data (22 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
2009-06-01	$13.46	$11.25	18.1%	5.2%	24.7%	3.3%	0.0%	0.0%	10.7%	40.6K	-978.1K	-8.1K	0.50	143.58	40	20	2,374	836
2009-06-02	$13.43	$11.25	20.5%	5.9%	24.7%	5.0%	0.0%	0.0%	2.6%	45.7K	-1.0M	-8.3K	0.00	144.09	8	0	2,414	816
2009-06-03	$13.21	$11.25	21.0%	6.0%	24.0%	5.3%	0.0%	0.0%	3.0%	48.5K	-895.5K	-8.1K	0.00	147.10	0	6	2,422	816
2009-06-04	$13.23	$11.25	18.4%	5.3%	22.4%	3.5%	0.0%	0.0%	6.7%	46.3K	-917.0K	-8.0K	0.00	135.91	0	0	2,422	822
2009-06-05	$13.27	$12.50	20.6%	7.8%	22.1%	5.0%	0.0%	0.0%	0.9%	46.7K	-941.6K	-8.0K	0.00	83.55	0	0	2,422	822
2009-06-08	$13.13	$12.50	21.4%	7.4%	22.3%	5.6%	0.0%	0.0%	1.5%	48.6K	-851.9K	-7.5K	0.00	103.19	0	0	2,422	822
2009-06-09	$13.10	$12.50	24.5%	7.4%	22.3%	7.7%	0.0%	0.0%	2.1%	49.4K	-772.4K	-7.2K	0.00	105.11	0	0	2,422	822
2009-06-10	$13.26	$12.50	19.7%	7.2%	22.6%	4.4%	0.0%	0.0%	1.9%	41.8K	-898.4K	-7.4K	0.00	112.78	0	0	2,422	822
2009-06-11	$13.79	$12.50	30.8%	8.8%	25.6%	12.2%	0.0%	0.0%	9.8%	54.5K	-1.2M	-8.5K	0.00	168.59	24	0	2,422	822
2009-06-12	$13.95	$12.50	29.8%	8.5%	25.7%	11.5%	0.0%	0.0%	10.6%	56.5K	-1.4M	-8.7K	0.00	165.88	10	0	2,442	822
2009-06-15	$13.76	$12.50	32.5%	9.3%	25.9%	13.4%	0.0%	0.0%	9.1%	55.1K	-1.3M	-8.3K	0.00	164.86	0	0	2,442	822
2009-06-16	$13.76	$12.50	33.0%	9.5%	26.0%	13.7%	0.0%	0.0%	9.1%	54.5K	-1.3M	-8.3K	0.00	173.47	0	0	2,442	822
2009-06-17	$13.74	$12.50	38.8%	11.1%	26.0%	17.8%	0.0%	0.0%	-36.1%	54.0K	-1.2M	-8.2K	0.00	174.08	0	0	2,442	822
2009-06-18	$13.89	$12.50	32.4%	9.3%	25.6%	13.3%	0.0%	0.0%	8.9%	45.9K	-1.4M	-8.0K	0.00	164.93	10	0	2,442	822
2009-06-19	$13.69	$12.50	40.6%	11.6%	26.4%	19.0%	0.0%	0.0%	-40.1%	42.8K	-1.2M	-8.1K	0.00	176.97	24	0	2,446	822
2009-06-22	$13.57	$12.50	89.9%	25.8%	26.7%	53.6%	0.0%	0.0%	-26.4%	33.5K	-778.8K	-8.6K	0.00	177.67	16	0	2,050	676
2009-06-23	$13.36	$12.50	47.3%	13.6%	25.8%	23.8%	0.0%	0.0%	-52.0%	37.2K	-576.2K	-7.4K	0.00	170.46	10	0	2,066	676
2009-06-24	$13.53	$12.50	43.9%	12.6%	25.6%	21.3%	0.0%	0.0%	-45.2%	40.0K	-658.6K	-7.7K	0.00	175.18	174	0	2,066	676
2009-06-25	$14.06	$12.50	38.9%	11.1%	28.6%	17.8%	74.9%	0.0%	10.4%	57.0K	-1.0M	-8.3K	0.00	161.34	46	0	2,236	676
2009-06-26	$14.07	$12.50	38.9%	11.2%	28.5%	17.9%	0.0%	0.0%	11.8%	54.8K	-1.1M	-8.5K	0.60	156.19	166	100	2,236	676
2009-06-29	$14.19	$12.50	43.5%	12.5%	24.9%	21.1%	0.0%	0.0%	12.2%	59.5K	-1.2M	-9.2K	0.00	157.09	200	0	2,390	776
2009-06-30	$14.16	$12.50	44.6%	12.8%	24.9%	21.8%	0.0%	0.0%	11.5%	62.3K	-1.2M	-9.5K	0.00	158.55	0	0	2,474	776