OGE Options History — March 2010

In March 2010, OGE traded between $18.41 and $19.59. ATM implied volatility averaged 21.7%, placing in the 8.5% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 9.1% (HV 20d: 12.7%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 22 of 23 trading days. Term structure was in contango for 5 of 23 days. Put/call ratio averaged 0.29.

Notable Days

2010-03-31: Highest Volume — 232 contracts
2010-03-22: Largest IV drop — 69.8% change
2010-03-19: Highest IV Rank — 27.2%
2010-03-24: Largest Expected Move — 6.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$19.05	$18.41	$19.59	$18.41	$19.47
Max Pain	$16.96	$15.00	$17.50	$17.50	$15.00
ATM IV	21.7%	12.8%	48.0%	19.9%	15.3%
Expected Move	5.0%	3.6%	6.5%	5.7%	4.4%
HV 20d	12.7%	7.9%	18.8%	18.7%	11.3%
HV 60d	16.5%	16.0%	16.8%	16.8%	16.4%
IV Rank	8.5%	2.0%	27.2%	7.1%	3.9%
IV Percentile	45.3%	4.8%	94.0%	46.0%	13.9%
Term Structure	-2.4%	-9.3%	4.5%	0.4%	-0.4%
VWIV	16.0%	13.8%	18.1%	18.1%	15.3%
Bid-Ask Spread %	105.76	66.22	200.00	110.11	97.52
Gamma HHI	0.72	0.50	1.00	0.87	0.71
Net GEX	20.0K	-873	32.4K	22.8K	28.2K
Net DEX	-589.5K	-795.6K	8.1K	-567.2K	-611.8K
Net VEX	-1.2K	-1.5K	-74	-1.4K	-947
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.29	0.00	2.00	0.00	0.02
Total Volume	22.261	0	232	0	232
Total OI	575.652	56	748	604	558

Daily Data (23 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
2010-03-01	$18.41	$17.50	19.9%	5.7%	18.7%	7.1%	0.0%	0.0%	0.4%	22.8K	-567.2K	-1.4K	0.00	110.11	0	0	444	160
2010-03-02	$18.64	$17.50	14.8%	4.2%	18.8%	3.5%	0.0%	0.0%	4.5%	19.3K	-623.9K	-1.2K	0.00	66.50	0	0	444	160
2010-03-03	$18.63	$17.50	22.4%	6.4%	18.6%	8.9%	0.0%	0.0%	-4.5%	19.8K	-616.9K	-1.3K	0.00	118.14	0	0	444	160
2010-03-04	$18.64	$17.50	21.2%	6.1%	18.4%	8.1%	18.1%	0.0%	0.8%	19.5K	-621.4K	-1.2K	0.00	111.69	16	0	444	160
2010-03-05	$18.80	$17.50	19.9%	5.7%	14.2%	7.1%	0.0%	0.0%	-7.0%	17.4K	-646.7K	-1.2K	0.00	114.97	0	0	444	160
2010-03-08	$18.75	$17.50	22.3%	6.4%	14.3%	8.9%	0.0%	0.0%	-7.0%	17.8K	-643.3K	-1.2K	0.00	115.45	0	20	444	160
2010-03-09	$18.77	$17.50	21.1%	6.1%	13.4%	8.0%	0.0%	0.0%	-1.9%	15.8K	-631.7K	-1.3K	0.00	66.22	0	0	444	180
2010-03-10	$18.95	$17.50	21.7%	6.2%	13.6%	8.4%	0.0%	0.0%	-8.6%	17.5K	-639.7K	-1.3K	0.00	114.03	0	0	444	180
2010-03-11	$19.02	$17.50	19.2%	5.5%	13.1%	6.6%	0.0%	0.0%	-5.4%	13.5K	-694.9K	-1.1K	0.00	112.06	0	0	444	180
2010-03-12	$19.11	$17.50	22.4%	6.4%	13.0%	8.9%	0.0%	0.0%	-9.3%	13.8K	-702.0K	-1.1K	0.00	110.80	0	0	444	180
2010-03-15	$18.97	$17.50	27.6%	3.6%	13.5%	12.6%	16.7%	0.0%	3.7%	15.5K	-682.6K	-1.1K	0.00	122.29	10	0	444	180
2010-03-16	$19.11	$17.50	30.8%	4.3%	10.8%	14.9%	0.0%	0.0%	-1.0%	14.6K	-700.5K	-1.0K	0.00	100.89	0	0	444	180
2010-03-17	$19.25	$17.50	30.9%	4.7%	10.9%	15.0%	16.7%	0.0%	-4.1%	12.2K	-731.7K	-945	0.00	93.10	124	0	444	180
2010-03-18	$19.30	$17.50	35.0%	3.6%	10.5%	17.9%	0.0%	0.0%	-1.0%	24.6K	-795.6K	-1.3K	0.00	106.82	0	0	568	180
2010-03-19	$19.32	$17.50	48.0%	4.6%	10.5%	27.2%	0.0%	0.0%	-2.5%	22.4K	-793.6K	-1.4K	0.00	82.48	0	0	568	180
2010-03-22	$19.30	$17.50	14.5%	4.2%	10.3%	3.3%	0.0%	0.0%	-1.7%	23.8K	-451.3K	-1.3K	0.00	104.33	0	0	390	98
2010-03-23	$19.38	$17.50	14.3%	4.1%	7.9%	3.1%	14.3%	0.0%	-1.3%	24.1K	-457.3K	-1.3K	0.00	101.19	60	0	390	98
2010-03-24	$19.21	$15.00	22.9%	6.5%	8.8%	9.2%	0.0%	0.0%	0.0%	-873	8.1K	-74	0.00	200.00	0	0	0	56
2010-03-25	$19.05	$17.50	12.8%	3.7%	9.2%	2.0%	17.1%	0.0%	-1.1%	28.0K	-446.8K	-1.5K	2.00	94.83	10	20	450	98
2010-03-26	$19.01	$15.00	15.1%	4.3%	9.3%	3.7%	0.0%	0.0%	-1.6%	28.7K	-424.8K	-1.5K	0.00	104.74	0	0	460	78
2010-03-29	$19.39	$15.00	14.7%	4.2%	11.1%	3.5%	0.0%	0.0%	-2.9%	32.4K	-486.3K	-1.5K	0.00	85.90	0	0	460	78
2010-03-30	$19.59	$15.00	13.4%	3.8%	11.0%	2.5%	13.8%	0.0%	0.2%	29.9K	-596.5K	-767	0.00	98.33	20	0	460	78
2010-03-31	$19.47	$15.00	15.3%	4.4%	11.3%	3.9%	15.3%	0.0%	-0.4%	28.2K	-611.8K	-947	0.02	97.52	228	4	480	78