OGE Options History — February 2010

In February 2010, OGE traded between $17.69 and $18.70. ATM implied volatility averaged 17.7%, placing in the 5.6% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded below realized volatility by 2.7% (HV 20d: 20.5%). Max pain ranged from $15.00 to $20.00. Net GEX was positive for 17 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 1.94.

Notable Days

2010-02-19: Highest Volume — 106 contracts
2010-02-03: Largest IV spike — 33.9% change
2010-02-03: Highest IV Rank — 8.2%
2010-02-03: Largest Expected Move — 6.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$18.20	$17.69	$18.70	$18.32	$18.28
Max Pain	$17.37	$15.00	$20.00	$20.00	$17.50
ATM IV	17.7%	13.8%	21.4%	18.5%	17.4%
Expected Move	5.2%	4.0%	6.1%	5.3%	5.0%
HV 20d	20.5%	18.5%	23.1%	18.5%	18.7%
HV 60d	17.4%	17.0%	18.6%	17.6%	17.0%
IV Rank	5.6%	2.8%	8.2%	6.1%	5.3%
IV Percentile	26.9%	6.7%	46.8%	32.1%	24.2%
Term Structure	2.7%	-6.3%	7.8%	-1.1%	2.4%
VWIV	20.5%	16.1%	26.5%	26.5%	16.1%
Skew 25d	3.9%	1.8%	5.3%	5.3%	3.3%
Skew 10d	14.5%	5.5%	20.1%	20.1%	5.5%
Call IV 25d	15.3%	13.1%	17.9%	13.1%	16.5%
Put IV 25d	19.2%	18.4%	19.9%	18.4%	19.9%
Bid-Ask Spread %	100.35	64.80	200.00	103.85	112.96
Gamma HHI	0.66	0.40	0.88	0.67	0.88
Net GEX	10.3K	-10.1K	24.8K	10.4K	24.8K
Net DEX	-387.9K	-616.9K	-161.0K	-260.8K	-543.3K
Net VEX	-1.3K	-1.5K	-1.1K	-1.4K	-1.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.94	0.00	10.00	2.20	0.00
Total Volume	17.684	0	106	32	0
Total OI	680.947	364	760	746	604

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
2010-02-01	$18.32	$20.00	18.5%	5.3%	18.5%	6.1%	26.5%	5.3%	-1.1%	10.4K	-260.8K	-1.4K	2.20	103.85	10	22	388	358
2010-02-02	$18.47	$20.00	16.0%	4.6%	18.8%	4.3%	0.0%	1.8%	-2.8%	9.4K	-338.4K	-1.3K	0.00	66.98	0	0	388	342
2010-02-03	$18.35	$20.00	21.4%	6.1%	18.8%	8.2%	0.0%	5.0%	-6.3%	5.5K	-291.5K	-1.5K	0.00	105.37	0	0	388	342
2010-02-04	$17.79	$20.00	18.6%	5.3%	21.6%	6.2%	0.0%	3.3%	0.8%	3.1K	-184.2K	-1.5K	0.00	103.86	0	0	388	342
2010-02-05	$17.91	$17.50	16.7%	5.5%	21.2%	4.9%	0.0%	0.0%	2.2%	126	-187.7K	-1.5K	10.00	64.80	2	20	388	342
2010-02-08	$17.71	$17.50	18.2%	5.5%	21.5%	6.0%	0.0%	0.0%	1.9%	1.0K	-161.0K	-1.5K	0.00	87.44	4	0	390	342
2010-02-09	$17.80	$15.00	17.4%	5.3%	21.0%	5.3%	0.0%	0.0%	2.7%	2.7K	-273.5K	-1.4K	0.00	88.47	6	0	394	280
2010-02-10	$17.69	$15.00	18.0%	5.4%	21.1%	5.8%	0.0%	0.0%	2.5%	-1.1K	-242.2K	-1.5K	0.00	88.78	0	0	400	280
2010-02-11	$17.84	$15.00	19.5%	5.6%	21.2%	6.8%	0.0%	0.0%	2.1%	-10.1K	-297.7K	-1.4K	0.50	67.25	40	20	400	280
2010-02-12	$17.93	$15.00	18.9%	5.4%	21.3%	6.4%	19.0%	0.0%	2.3%	1.4K	-390.2K	-1.3K	6.67	65.06	6	40	440	300
2010-02-16	$18.39	$17.50	17.2%	4.9%	23.1%	5.2%	0.0%	0.0%	6.2%	21.9K	-553.7K	-1.1K	0.00	101.78	14	0	446	300
2010-02-17	$18.48	$17.50	17.9%	5.1%	21.4%	5.7%	0.0%	0.0%	5.3%	16.3K	-558.2K	-1.2K	0.00	105.40	6	0	460	300
2010-02-18	$18.68	$17.50	18.0%	5.2%	21.3%	5.8%	0.0%	0.0%	7.2%	16.0K	-603.3K	-1.1K	0.00	103.77	0	0	460	300
2010-02-19	$18.70	$17.50	18.9%	5.4%	20.5%	6.4%	16.1%	0.0%	5.3%	16.2K	-616.9K	-1.1K	0.00	79.32	106	0	460	300
2010-02-22	$18.62	$15.00	13.8%	4.0%	19.6%	2.8%	0.0%	0.0%	6.9%	9.3K	-294.2K	-1.1K	0.00	200.00	0	0	246	118
2010-02-23	$18.32	$17.50	18.3%	5.3%	20.1%	6.0%	0.0%	0.0%	1.5%	21.1K	-497.8K	-1.3K	0.00	131.34	40	0	404	160
2010-02-24	$18.35	$17.50	15.6%	4.5%	19.6%	4.0%	0.0%	0.0%	7.8%	23.3K	-551.9K	-1.5K	0.00	116.47	0	0	444	160
2010-02-25	$18.25	$17.50	16.8%	4.8%	19.5%	4.9%	0.0%	0.0%	4.9%	24.8K	-523.9K	-1.5K	0.00	113.69	0	0	444	160
2010-02-26	$18.28	$17.50	17.4%	5.0%	18.7%	5.3%	0.0%	0.0%	2.4%	24.8K	-543.3K	-1.5K	0.00	112.96	0	0	444	160