OGE Options History — November 2009 In November 2009, OGE traded between $16.25 and $17.45. ATM implied volatility averaged 17.0%, placing in the 5.1% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded below realized volatility by 8.5% (HV 20d: 25.5%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.07.
Notable Days 2009-11-06 : Highest Volume — 80 contracts2009-11-12 : Largest IV spike — 41.5% change2009-11-03 : Highest IV Rank — 7.6%2009-11-03 : Largest Expected Move — 5.9%Monthly Statistics Metric Avg Min Max Open Close Price $16.94 $16.25 $17.45 $16.38 $17.30 Max Pain $15.00 $15.00 $15.00 $15.00 $15.00 ATM IV 17.0% 12.7% 20.5% 18.4% 17.3% Expected Move 4.9% 3.6% 5.9% 5.3% 5.0% HV 20d 25.5% 21.0% 27.4% 26.0% 21.0% HV 60d 20.9% 19.7% 21.6% 19.9% 21.1% IV Rank 5.1% 2.0% 7.6% 6.1% 5.3% IV Percentile 12.9% 3.6% 21.4% 14.7% 13.9% Term Structure -0.2% -5.9% 6.5% -4.9% 1.2% VWIV 18.3% 15.9% 22.5% 22.5% 18.1% Skew 25d 4.8% -4.6% 24.6% 2.4% 24.6% Skew 10d 5.5% -11.1% 32.0% 3.6% 32.0% Call IV 25d 18.4% 13.5% 23.9% 18.3% 20.6% Put IV 25d 23.3% 15.4% 45.2% 20.8% 45.2% Bid-Ask Spread % 102.61 86.06 114.38 109.17 103.76 Gamma HHI 0.75 0.48 0.91 0.51 0.91 Net GEX 19.1K 3.0K 27.5K 5.8K 26.8K Net DEX -209.7K -319.2K -62.1K -72.6K -281.1K Net VEX -2.0K -2.2K -1.8K -1.9K -1.9K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.07 0.00 0.33 0.00 0.00 Total Volume 8.4 0 80 22 0 Total OI 1,403.3 1,364 1,428 1,366 1,400
Daily Data (20 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 2009-11-02 $16.38 $15.00 18.4% 5.3% 26.0% 6.1% 22.5% 2.4% -4.9% 5.8K -72.6K -1.9K 0.00 109.17 22 0 426 940 2009-11-03 $16.25 $15.00 20.5% 5.9% 24.9% 7.6% 0.0% 1.0% -5.9% 3.0K -62.1K -1.8K 0.00 108.91 0 0 428 940 2009-11-04 $16.38 $15.00 16.4% 4.7% 24.6% 4.7% 0.0% 1.2% -3.0% 5.8K -87.6K -1.9K 0.00 109.09 0 0 428 940 2009-11-05 $16.57 $15.00 17.7% 5.1% 22.5% 5.6% 0.0% 4.8% -3.4% 10.4K -126.2K -1.8K 0.00 108.25 0 0 428 940 2009-11-06 $16.39 $15.00 19.7% 3.9% 22.6% 7.0% 15.9% 2.0% 6.5% 6.8K -83.5K -1.8K 0.33 108.10 60 20 428 940 2009-11-09 $16.77 $15.00 17.8% 4.4% 24.0% 5.7% 0.0% 14.3% 0.5% 19.1K -170.3K -1.9K 0.00 105.48 0 0 488 940 2009-11-10 $17.21 $15.00 14.3% 5.4% 25.6% 3.1% 0.0% -0.3% -0.8% 24.7K -264.0K -2.1K 0.00 97.85 0 0 488 940 2009-11-11 $17.24 $15.00 12.8% 5.2% 25.5% 2.1% 18.1% 0.1% -0.0% 26.8K -282.1K -2.2K 0.00 97.08 20 0 488 940 2009-11-12 $16.87 $15.00 18.1% 5.2% 26.8% 5.9% 0.0% -0.8% -1.0% 18.2K -204.5K -2.1K 0.00 107.22 0 0 488 940 2009-11-13 $17.02 $15.00 17.2% 4.9% 26.2% 5.2% 0.0% -0.3% -0.6% 22.2K -223.8K -2.0K 0.00 101.40 0 0 488 940 2009-11-16 $17.15 $15.00 18.2% 5.2% 26.2% 6.0% 0.0% -4.6% 0.8% 24.7K -267.1K -2.1K 0.00 91.52 0 0 488 940 2009-11-17 $17.20 $15.00 18.2% 5.2% 26.2% 5.9% 0.0% 0.4% -0.2% 27.5K -269.5K -2.1K 0.00 99.97 0 0 488 940 2009-11-18 $17.02 $15.00 17.5% 5.0% 26.3% 5.5% 0.0% 0.3% 0.3% 22.9K -260.4K -2.0K 0.00 101.14 0 0 488 940 2009-11-19 $16.82 $15.00 12.8% 3.7% 26.4% 2.1% 0.0% 3.6% 4.1% 20.8K -180.7K -1.9K 0.00 108.71 0 0 488 940 2009-11-20 $17.00 $15.00 17.8% 5.1% 26.7% 5.6% 0.0% 0.6% -1.1% 23.3K -213.8K -1.9K 0.00 103.28 0 0 488 940 2009-11-23 $17.28 $15.00 16.8% 4.8% 27.3% 4.9% 16.8% 20.3% 1.5% 20.3K -268.3K -1.9K 0.00 86.06 38 0 444 920 2009-11-24 $17.31 $15.00 18.2% 5.2% 27.0% 5.9% 0.0% 19.2% -0.2% 23.0K -288.8K -2.0K 0.00 91.52 0 0 472 920 2009-11-25 $17.45 $15.00 18.1% 5.2% 27.0% 5.9% 18.1% 1.6% -1.4% 24.2K -319.2K -1.9K 0.00 99.38 8 0 472 920 2009-11-27 $17.18 $15.00 12.7% 3.6% 27.4% 2.0% 0.0% 6.1% 3.5% 26.5K -268.0K -2.0K 0.00 114.38 0 0 480 920 2009-11-30 $17.30 $15.00 17.3% 5.0% 21.0% 5.3% 0.0% 24.6% 1.2% 26.8K -281.1K -1.9K 0.00 103.76 0 0 480 920
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