OGE Options History — April 2010

In April 2010, OGE traded between $19.74 and $20.69. ATM implied volatility averaged 14.8%, placing in the 3.5% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 1.8% (HV 20d: 13.0%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.01.

Notable Days

2010-04-07: Highest Volume — 222 contracts
2010-04-26: Largest IV drop — 19.1% change
2010-04-23: Highest IV Rank — 4.6%
2010-04-23: Largest Expected Move — 4.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$20.09	$19.74	$20.69	$19.75	$20.69
Max Pain	$17.50	$17.50	$17.50	$17.50	$17.50
ATM IV	14.8%	13.2%	16.3%	15.2%	15.3%
Expected Move	4.3%	3.8%	4.7%	4.3%	4.4%
HV 20d	13.0%	12.0%	14.3%	12.1%	13.6%
HV 60d	15.4%	14.1%	16.5%	16.5%	14.7%
IV Rank	3.5%	2.4%	4.6%	3.8%	3.8%
IV Percentile	15.2%	6.3%	26.2%	13.9%	19.4%
Term Structure	1.1%	-2.7%	11.4%	-1.4%	11.4%
VWIV	16.8%	13.9%	28.3%	13.9%	15.5%
Bid-Ask Spread %	95.88	79.24	118.88	97.53	106.06
Gamma HHI	0.91	0.68	0.98	0.75	0.94
Net GEX	33.9K	25.5K	43.5K	36.1K	31.8K
Net DEX	-390.5K	-718.9K	-223.1K	-679.6K	-508.8K
Net VEX	-912	-1.5K	-736	-1.1K	-736
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.01	0.00	0.10	0.00	0.00
Total Volume	17.524	0	222	0	10
Total OI	385.81	296	614	614	378

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
2010-04-01	$19.75	$17.50	15.2%	4.3%	12.1%	3.8%	0.0%	0.0%	-1.4%	36.1K	-679.6K	-1.1K	0.00	97.53	0	0	532	82
2010-04-05	$19.93	$17.50	14.2%	4.1%	12.1%	3.1%	0.0%	0.0%	1.6%	39.8K	-718.9K	-1.0K	0.00	96.44	0	0	532	82
2010-04-06	$20.04	$17.50	14.9%	4.3%	12.0%	3.5%	0.0%	0.0%	-1.6%	43.5K	-694.7K	-1.5K	0.00	89.82	50	0	532	82
2010-04-07	$19.88	$17.50	13.9%	4.0%	12.6%	2.8%	13.9%	0.0%	0.4%	38.5K	-307.2K	-1.1K	0.10	94.59	202	20	320	82
2010-04-08	$19.74	$17.50	14.8%	4.3%	12.8%	3.5%	0.0%	0.0%	-0.3%	34.2K	-285.2K	-1.2K	0.00	94.35	0	0	320	82
2010-04-09	$19.82	$17.50	14.5%	4.1%	12.8%	3.3%	0.0%	0.0%	-1.1%	26.8K	-223.1K	-786	0.00	93.98	0	0	234	62
2010-04-12	$19.85	$17.50	13.7%	3.9%	12.8%	2.7%	0.0%	0.0%	1.7%	27.8K	-242.1K	-756	0.00	94.76	0	0	234	62
2010-04-13	$19.82	$17.50	15.0%	4.3%	12.4%	3.6%	0.0%	0.0%	-2.4%	25.5K	-235.0K	-784	0.00	79.24	0	0	234	62
2010-04-14	$19.84	$17.50	14.0%	4.0%	12.3%	2.9%	14.0%	0.0%	-0.2%	28.3K	-228.3K	-753	0.00	100.82	4	0	234	62
2010-04-15	$20.05	$17.50	14.4%	4.1%	12.5%	3.2%	14.3%	0.0%	-0.7%	29.9K	-265.8K	-743	0.00	95.37	40	0	238	62
2010-04-16	$19.91	$17.50	14.9%	4.3%	12.9%	3.6%	0.0%	0.0%	4.7%	32.1K	-303.7K	-926	0.00	93.61	0	0	278	62
2010-04-19	$19.84	$17.50	15.9%	4.6%	13.1%	4.3%	15.9%	0.0%	-1.9%	30.7K	-276.6K	-890	0.00	86.25	12	0	278	62
2010-04-20	$20.14	$17.50	15.6%	4.5%	13.9%	4.1%	0.0%	0.0%	-2.0%	34.5K	-328.8K	-904	0.00	91.85	0	0	286	62
2010-04-21	$20.21	$17.50	13.5%	3.9%	13.9%	2.6%	0.0%	0.0%	3.3%	40.2K	-351.4K	-866	0.00	104.08	0	0	286	62
2010-04-22	$20.30	$17.50	15.6%	4.5%	13.3%	4.1%	15.6%	0.0%	-1.6%	34.5K	-365.7K	-832	0.00	90.72	20	0	286	62
2010-04-23	$20.51	$17.50	16.3%	4.7%	12.9%	4.6%	0.0%	0.0%	-2.7%	34.2K	-431.4K	-858	0.00	92.52	0	0	306	62
2010-04-26	$20.48	$17.50	13.2%	3.8%	12.9%	2.4%	28.3%	0.0%	6.0%	36.2K	-439.9K	-830	0.00	118.88	10	0	306	62
2010-04-27	$20.09	$17.50	14.8%	4.2%	13.9%	3.5%	0.0%	0.0%	11.1%	38.5K	-401.9K	-938	0.00	97.27	0	0	316	62
2010-04-28	$20.39	$17.50	16.0%	4.6%	14.3%	4.3%	0.0%	0.0%	-1.4%	35.7K	-438.7K	-829	0.00	97.52	0	0	316	62
2010-04-29	$20.57	$17.50	16.2%	4.6%	14.2%	4.5%	0.0%	0.0%	-0.0%	33.3K	-474.7K	-787	0.00	97.87	0	0	316	62
2010-04-30	$20.69	$17.50	15.3%	4.4%	13.6%	3.8%	15.5%	0.0%	11.4%	31.8K	-508.8K	-736	0.00	106.06	10	0	316	62