OGE Options History — August 2009

In August 2009, OGE traded between $15.13 and $16.08. ATM implied volatility averaged 18.0%, placing in the 3.3% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 0.4% (HV 20d: 17.6%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.58.

Notable Days

2009-08-12: Highest Volume — 60 contracts
2009-08-31: Largest IV drop — 35.7% change
2009-08-28: Highest IV Rank — 7.9%
2009-08-28: Largest Expected Move — 7.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$15.63	$15.13	$16.08	$15.35	$15.64
Max Pain	$12.50	$12.50	$12.50	$12.50	$12.50
ATM IV	18.0%	13.5%	24.3%	18.2%	15.6%
Expected Move	5.4%	3.9%	7.0%	5.2%	4.5%
HV 20d	17.6%	15.1%	22.8%	22.8%	15.5%
HV 60d	23.7%	22.1%	24.5%	24.3%	22.6%
IV Rank	3.3%	0.1%	7.9%	3.3%	1.5%
IV Percentile	9.7%	0.4%	26.6%	9.9%	1.6%
Term Structure	2.3%	-7.3%	10.2%	3.1%	1.2%
VWIV	24.0%	14.8%	47.4%	18.9%	25.8%
Skew 25d	-24.9%	-56.8%	8.7%	2.9%	6.5%
Skew 10d	-17.4%	-72.8%	33.7%	3.4%	8.0%
Call IV 25d	47.6%	12.1%	81.1%	17.2%	14.2%
Put IV 25d	22.8%	19.4%	37.1%	20.1%	20.6%
Bid-Ask Spread %	113.13	77.77	133.18	133.18	77.77
Gamma HHI	0.87	0.84	0.89	0.89	0.86
Net GEX	135.0K	102.5K	155.6K	145.0K	127.6K
Net DEX	-3.2M	-3.7M	-2.6M	-2.9M	-3.2M
Net VEX	-8.6K	-9.7K	-7.3K	-9.6K	-7.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.58	0.00	5.00	0.00	0.00
Total Volume	22.286	0	60	4	40
Total OI	3,932.381	3,766	4,068	3,924	3,824

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
2009-08-03	$15.35	$12.50	18.2%	5.2%	22.8%	3.3%	0.0%	2.9%	3.1%	145.0K	-2.9M	-9.6K	0.00	133.18	4	0	3,114	810
2009-08-04	$15.13	$12.50	19.5%	5.6%	20.7%	4.3%	0.0%	5.5%	0.8%	146.9K	-2.6M	-9.6K	5.00	123.20	8	40	3,098	810
2009-08-05	$15.16	$12.50	18.8%	5.4%	17.8%	3.8%	18.9%	5.8%	1.3%	152.2K	-2.7M	-9.7K	0.00	124.85	50	0	3,106	850
2009-08-06	$15.28	$12.50	17.4%	5.0%	17.8%	2.8%	0.0%	5.5%	1.2%	151.0K	-2.8M	-9.6K	1.00	130.37	20	20	3,146	850
2009-08-07	$15.54	$12.50	14.7%	5.8%	17.8%	0.9%	0.0%	-36.6%	2.2%	146.4K	-3.2M	-9.4K	0.00	112.37	0	0	3,186	870
2009-08-10	$15.40	$12.50	16.0%	6.0%	18.4%	1.8%	0.0%	-37.4%	1.8%	155.6K	-3.0M	-9.4K	0.00	109.32	0	0	3,186	870
2009-08-11	$15.47	$12.50	16.6%	6.0%	18.4%	2.2%	21.0%	-38.2%	1.6%	151.5K	-3.1M	-9.2K	0.00	110.91	20	0	3,186	870
2009-08-12	$15.63	$12.50	19.5%	6.1%	17.9%	4.3%	21.1%	-39.6%	1.5%	142.4K	-3.4M	-9.0K	0.00	124.69	60	0	3,198	870
2009-08-13	$15.57	$12.50	19.6%	5.6%	18.0%	4.3%	0.0%	8.2%	3.9%	148.5K	-3.2M	-8.9K	0.00	127.18	0	0	3,138	870
2009-08-14	$15.62	$12.50	17.7%	5.1%	18.0%	3.2%	0.0%	-41.7%	7.4%	141.9K	-3.3M	-8.7K	0.00	128.77	20	0	3,138	870
2009-08-17	$15.57	$12.50	20.9%	6.0%	17.6%	5.5%	0.0%	-39.5%	2.4%	146.1K	-3.2M	-8.9K	1.00	125.82	2	2	3,158	870
2009-08-18	$15.53	$12.50	21.0%	6.0%	17.5%	5.5%	0.0%	-27.5%	2.2%	151.3K	-3.2M	-8.8K	0.00	126.25	0	0	3,156	872
2009-08-19	$15.65	$12.50	18.7%	5.4%	17.5%	3.8%	0.0%	-45.0%	6.7%	136.1K	-3.2M	-8.5K	0.00	126.98	0	0	3,082	872
2009-08-20	$15.72	$12.50	18.4%	5.3%	16.0%	3.7%	0.0%	-45.5%	6.3%	127.8K	-3.3M	-8.2K	0.00	105.66	0	0	3,018	872
2009-08-21	$16.06	$12.50	13.5%	3.9%	17.0%	0.1%	0.0%	8.7%	10.2%	102.5K	-3.7M	-7.4K	0.00	99.38	20	0	3,018	872
2009-08-24	$15.95	$12.50	15.7%	4.5%	17.4%	1.7%	0.0%	-51.3%	4.8%	114.2K	-3.3M	-7.8K	0.00	97.67	0	0	2,932	852
2009-08-25	$16.08	$12.50	16.4%	4.7%	16.2%	2.1%	18.9%	-54.9%	-2.8%	113.4K	-3.5M	-7.4K	0.00	100.49	26	0	2,932	852
2009-08-26	$16.01	$12.50	16.6%	4.8%	16.2%	2.3%	14.8%	-56.8%	3.9%	111.1K	-3.4M	-7.5K	0.50	100.01	36	18	2,914	852
2009-08-27	$16.05	$12.50	17.9%	5.1%	15.1%	3.3%	47.4%	3.7%	-4.2%	108.1K	-3.4M	-7.3K	0.00	100.65	42	0	2,922	870
2009-08-28	$15.88	$12.50	24.3%	7.0%	15.6%	7.9%	25.8%	-54.9%	-7.3%	115.4K	-3.3M	-7.8K	0.00	90.21	40	0	2,934	870
2009-08-31	$15.64	$12.50	15.6%	4.5%	15.5%	1.5%	0.0%	6.5%	1.2%	127.6K	-3.2M	-7.8K	0.00	77.77	0	40	2,954	870