OGE Options History — January 2010

In January 2010, OGE traded between $17.95 and $18.84. ATM implied volatility averaged 18.5%, placing in the 6.1% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 3.0% (HV 20d: 15.5%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 17 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 0.42.

Notable Days

2010-01-15: Highest Volume — 52 contracts
2010-01-11: Largest IV spike — 57.8% change
2010-01-12: Highest IV Rank — 11.7%
2010-01-29: Largest Expected Move — 5.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$18.34	$17.95	$18.84	$18.48	$18.11
Max Pain	$19.21	$17.50	$20.00	$17.50	$20.00
ATM IV	18.5%	10.4%	26.3%	24.5%	20.3%
Expected Move	5.0%	3.0%	5.8%	5.6%	5.8%
HV 20d	15.5%	12.9%	18.9%	12.9%	18.9%
HV 60d	19.3%	17.6%	20.2%	19.9%	17.6%
IV Rank	6.1%	0.3%	11.7%	10.4%	7.4%
IV Percentile	27.8%	0.4%	59.1%	53.2%	39.7%
Term Structure	0.5%	-3.2%	4.4%	-0.4%	-1.7%
VWIV	17.8%	13.5%	20.8%	19.4%	20.8%
Skew 25d	5.0%	-2.0%	9.7%	7.1%	3.8%
Skew 10d	9.0%	0.7%	18.8%	7.3%	6.6%
Call IV 25d	13.7%	11.4%	19.1%	11.4%	14.9%
Put IV 25d	18.7%	12.2%	21.7%	18.5%	18.7%
Bid-Ask Spread %	99.10	54.06	200.00	94.50	78.55
Gamma HHI	0.63	0.38	0.76	0.76	0.65
Net GEX	8.1K	-2.6K	15.1K	14.2K	8.4K
Net DEX	-267.8K	-474.6K	49.8K	-474.6K	-236.4K
Net VEX	-1.5K	-1.8K	-243	-1.8K	-1.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.42	0.00	3.33	0.00	0.00
Total Volume	9.263	0	52	8	20
Total OI	670.526	164	772	772	726

Daily Data (19 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
2010-01-04	$18.48	$17.50	24.5%	5.6%	12.9%	10.4%	0.0%	7.1%	-0.4%	14.2K	-474.6K	-1.8K	0.00	94.50	8	0	484	288
2010-01-05	$18.37	$17.50	23.7%	5.5%	13.2%	9.9%	0.0%	9.7%	-0.4%	15.1K	-428.5K	-1.8K	0.00	91.06	36	0	484	288
2010-01-06	$18.20	$17.50	17.2%	5.5%	13.5%	5.2%	0.0%	5.9%	-0.2%	8.8K	-282.3K	-1.8K	0.00	93.68	6	0	382	288
2010-01-07	$17.95	$17.50	14.0%	5.6%	14.5%	2.9%	0.0%	6.0%	-1.1%	10.7K	-238.2K	-1.8K	0.00	64.19	0	0	388	288
2010-01-08	$17.98	$17.50	14.4%	5.6%	14.2%	3.2%	19.4%	4.7%	-0.7%	10.9K	-226.1K	-1.7K	0.00	65.34	2	0	388	288
2010-01-11	$18.21	$20.00	22.8%	3.8%	13.6%	9.2%	0.0%	0.0%	-3.1%	-2.6K	49.8K	-243	0.00	200.00	0	0	54	110
2010-01-12	$18.20	$17.50	26.3%	5.3%	13.2%	11.7%	18.1%	4.7%	0.5%	10.2K	-288.5K	-1.7K	0.00	96.92	0	28	390	288
2010-01-13	$18.32	$20.00	24.5%	4.6%	13.4%	10.4%	0.0%	6.3%	4.3%	8.9K	-283.2K	-1.6K	0.00	96.10	0	0	390	316
2010-01-14	$18.33	$20.00	16.8%	4.8%	13.3%	4.9%	0.0%	6.9%	4.4%	8.8K	-292.1K	-1.6K	0.00	102.18	0	0	390	316
2010-01-15	$18.19	$20.00	19.5%	5.6%	13.6%	6.9%	19.2%	8.9%	-0.7%	10.1K	-249.3K	-1.6K	3.33	69.34	12	40	390	316
2010-01-19	$18.64	$20.00	10.4%	3.0%	15.7%	0.3%	0.0%	0.0%	0.4%	-1.1K	-22.4K	-1.0K	0.00	200.00	0	0	174	232
2010-01-20	$18.84	$20.00	11.2%	3.2%	16.0%	1.0%	13.5%	-2.0%	3.4%	7.1K	-383.5K	-1.1K	0.00	108.33	16	0	390	348
2010-01-21	$18.54	$20.00	14.9%	4.3%	17.1%	3.6%	15.8%	5.6%	-2.9%	6.5K	-305.0K	-1.4K	0.00	110.43	2	0	384	348
2010-01-22	$18.23	$20.00	16.8%	4.8%	18.0%	4.9%	0.0%	-0.1%	3.5%	6.8K	-249.3K	-1.6K	0.00	106.71	0	2	384	336
2010-01-25	$18.45	$20.00	18.8%	5.4%	18.5%	6.3%	0.0%	3.0%	2.6%	6.5K	-289.6K	-1.5K	0.00	54.06	0	0	384	338
2010-01-26	$18.65	$20.00	19.9%	5.7%	17.9%	7.1%	0.0%	0.0%	-3.2%	6.3K	-330.8K	-1.4K	0.00	81.51	0	0	384	338
2010-01-27	$18.49	$20.00	17.9%	5.1%	18.2%	5.7%	0.0%	0.0%	0.1%	10.7K	-298.0K	-1.3K	0.00	84.47	4	0	384	338
2010-01-28	$18.20	$20.00	17.3%	5.0%	18.9%	5.3%	0.0%	4.8%	3.8%	7.2K	-259.2K	-1.5K	0.00	85.51	0	0	388	338
2010-01-29	$18.11	$20.00	20.3%	5.8%	18.9%	7.4%	20.8%	3.8%	-1.7%	8.4K	-236.4K	-1.5K	0.00	78.55	0	20	388	338