OGE Options History — October 2009

In October 2009, OGE traded between $16.25 and $17.43. ATM implied volatility averaged 23.2%, placing in the 9.5% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 3.7% (HV 20d: 19.5%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.68.

Notable Days

2009-10-07: Highest Volume — 92 contracts
2009-10-06: Largest IV spike — 51.8% change
2009-10-12: Highest IV Rank — 16.1%
2009-10-19: Largest Expected Move — 7.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$16.89	$16.25	$17.43	$16.27	$16.61
Max Pain	$15.13	$15.00	$17.50	$15.00	$15.00
ATM IV	23.2%	14.3%	32.5%	19.9%	15.6%
Expected Move	6.2%	4.1%	7.0%	5.7%	4.5%
HV 20d	19.5%	17.0%	25.4%	17.0%	25.4%
HV 60d	17.8%	16.8%	19.7%	17.1%	19.7%
IV Rank	9.5%	3.1%	16.1%	7.1%	4.1%
IV Percentile	27.3%	4.4%	43.7%	17.5%	6.0%
Term Structure	-2.7%	-5.6%	4.5%	1.1%	2.6%
VWIV	20.1%	15.0%	22.6%	15.0%	22.4%
Skew 25d	1.3%	-6.3%	18.9%	4.3%	1.9%
Skew 10d	3.0%	-7.3%	28.8%	-0.6%	1.9%
Call IV 25d	22.5%	15.2%	24.2%	15.2%	17.9%
Put IV 25d	23.8%	16.7%	40.8%	19.6%	19.9%
Bid-Ask Spread %	100.02	82.69	120.02	120.02	110.14
Gamma HHI	0.60	0.42	0.85	0.85	0.55
Net GEX	21.0K	-945	90.1K	86.3K	9.7K
Net DEX	-613.8K	-2.8M	-38.8K	-2.4M	-132.3K
Net VEX	-2.3K	-5.2K	-1.5K	-5.2K	-2.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.68	0.00	3.60	0.06	1.00
Total Volume	23.333	0	92	0	0
Total OI	1,553.429	1,070	2,854	2,854	1,366

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
2009-10-01	$16.27	$15.00	19.9%	5.7%	17.0%	7.1%	0.0%	0.0%	1.1%	86.3K	-2.4M	-5.2K	0.00	120.02	0	0	2,072	782
2009-10-02	$16.25	$15.00	17.8%	5.1%	17.1%	5.6%	0.0%	0.0%	4.5%	90.1K	-2.3M	-5.2K	0.00	119.62	0	0	2,072	782
2009-10-05	$16.60	$15.00	14.3%	4.1%	18.4%	3.1%	0.0%	0.0%	1.4%	76.6K	-2.7M	-4.2K	0.00	84.39	0	0	2,072	782
2009-10-06	$16.81	$0.00	21.6%	4.9%	18.0%	8.4%	15.0%	4.3%	3.5%	69.2K	-2.8M	-3.9K	0.06	111.06	64	4	2,072	782
2009-10-07	$16.32	$17.50	23.5%	5.7%	21.3%	9.7%	20.5%	-6.3%	-4.5%	685	-38.8K	-1.5K	3.60	102.42	20	72	284	786
2009-10-08	$16.48	$15.00	24.6%	6.7%	21.1%	10.5%	0.0%	-5.5%	-4.3%	845	-56.0K	-1.6K	0.00	100.62	6	0	304	858
2009-10-09	$16.50	$15.00	24.0%	6.6%	21.0%	10.1%	0.0%	-5.4%	-4.7%	592	-71.2K	-1.6K	1.00	102.04	20	20	310	858
2009-10-12	$16.55	$15.00	32.5%	6.6%	18.9%	16.1%	0.0%	-5.6%	-5.0%	-945	-68.0K	-1.6K	0.67	101.21	30	20	310	878
2009-10-13	$16.70	$15.00	28.3%	6.9%	18.8%	13.1%	0.0%	-4.2%	-5.3%	1.5K	-96.3K	-1.7K	0.00	99.00	0	6	320	898
2009-10-14	$16.75	$15.00	31.6%	6.8%	18.6%	15.5%	0.0%	-4.0%	-4.8%	-112	-152.0K	-1.8K	0.00	98.78	20	0	320	904
2009-10-15	$17.07	$15.00	24.1%	6.9%	19.5%	10.2%	0.0%	-1.8%	-5.0%	4.5K	-153.0K	-1.6K	0.00	94.94	0	0	320	904
2009-10-19	$17.19	$15.00	24.5%	7.0%	19.2%	10.4%	0.0%	-1.7%	-5.6%	7.2K	-178.1K	-1.5K	0.00	98.09	6	0	320	880
2009-10-20	$17.20	$15.00	23.7%	6.8%	19.2%	9.9%	0.0%	-1.1%	-5.2%	7.7K	-179.1K	-1.5K	0.00	96.26	0	20	324	880
2009-10-21	$17.34	$15.00	24.2%	6.9%	19.3%	10.2%	0.0%	-0.3%	-4.9%	8.0K	-196.8K	-1.6K	0.50	98.31	40	20	324	900
2009-10-22	$17.43	$15.00	22.6%	6.5%	19.0%	9.0%	22.6%	16.1%	-3.4%	10.1K	-228.2K	-1.8K	0.63	95.70	38	24	364	920
2009-10-23	$17.30	$15.00	23.0%	6.6%	19.4%	9.3%	0.0%	0.5%	-4.0%	11.1K	-218.9K	-1.9K	0.00	82.69	0	0	374	940
2009-10-26	$17.20	$15.00	24.1%	6.9%	19.5%	10.1%	0.0%	-0.5%	-4.7%	10.4K	-207.3K	-1.9K	0.00	96.21	0	0	374	940
2009-10-27	$17.41	$15.00	22.4%	6.4%	19.4%	8.9%	22.4%	17.9%	-3.1%	13.1K	-227.4K	-1.8K	0.00	94.26	52	0	374	940
2009-10-28	$17.27	$15.00	23.7%	6.8%	19.6%	9.8%	0.0%	0.3%	-4.7%	14.9K	-258.0K	-2.1K	1.00	95.87	4	4	426	940
2009-10-29	$17.43	$15.00	20.5%	5.9%	18.9%	7.6%	0.0%	18.9%	-1.4%	19.9K	-276.3K	-1.9K	0.00	98.86	0	0	426	940
2009-10-30	$16.61	$15.00	15.6%	4.5%	25.4%	4.1%	0.0%	1.9%	2.6%	9.7K	-132.3K	-2.0K	0.00	110.14	0	0	426	940