OGE Options History — May 2010

In May 2010, OGE traded between $17.55 and $20.93. ATM implied volatility averaged 31.5%, placing in the 15.4% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded below realized volatility by 3.1% (HV 20d: 34.6%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.03.

Notable Days

2010-05-12: Highest Volume — 42 contracts
2010-05-19: Largest IV spike — 418.2% change
2010-05-28: Highest IV Rank — 42.8%
2010-05-28: Largest Expected Move — 20.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$18.96	$17.55	$20.93	$20.93	$18.22
Max Pain	$17.75	$17.50	$20.00	$17.50	$17.50
ATM IV	31.5%	11.2%	69.9%	12.2%	69.9%
Expected Move	9.0%	3.2%	20.0%	3.5%	20.0%
HV 20d	34.6%	13.8%	43.9%	13.8%	43.8%
HV 60d	22.7%	13.2%	27.8%	13.2%	27.8%
IV Rank	15.4%	0.9%	42.8%	1.7%	42.8%
IV Percentile	56.5%	0.8%	97.2%	4.0%	97.2%
Term Structure	-8.9%	-39.9%	8.5%	8.5%	-31.2%
VWIV	30.8%	9.9%	69.3%	11.6%	69.3%
Bid-Ask Spread %	133.01	56.56	200.00	114.08	168.81
Gamma HHI	0.82	0.61	0.96	0.95	0.86
Net GEX	23.8K	1.7K	57.7K	30.4K	13.7K
Net DEX	-235.7K	-572.8K	4.7K	-572.8K	-172.0K
Net VEX	-686	-961	-44	-568	-797
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.03	0.00	0.20	0.20	0.00
Total Volume	11.1	0	42	12	0
Total OI	429.3	382	518	384	498

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
2010-05-03	$20.93	$17.50	12.2%	3.5%	13.8%	1.7%	11.6%	0.0%	8.5%	30.4K	-572.8K	-568	0.20	114.08	10	2	322	62
2010-05-04	$20.50	$17.50	12.6%	3.6%	16.0%	1.9%	11.2%	0.0%	5.4%	44.2K	-476.9K	-762	0.00	113.43	10	0	322	60
2010-05-05	$20.32	$17.50	42.9%	12.3%	16.2%	23.5%	0.0%	0.0%	-11.4%	16.9K	-393.5K	-935	0.00	146.30	0	0	322	60
2010-05-06	$19.23	$17.50	46.1%	13.2%	25.6%	25.8%	53.6%	0.0%	-30.3%	11.6K	-293.8K	-961	0.00	166.43	24	0	322	60
2010-05-07	$18.37	$17.50	50.1%	14.4%	29.9%	28.7%	0.0%	0.0%	-17.0%	12.7K	-224.2K	-926	0.00	170.69	0	0	346	60
2010-05-10	$19.25	$17.50	13.5%	3.9%	34.8%	2.6%	13.2%	0.0%	3.0%	37.1K	-208.7K	-699	0.00	120.71	6	0	346	60
2010-05-11	$19.44	$17.50	15.0%	4.3%	35.1%	3.7%	0.0%	0.0%	-0.9%	41.6K	-276.5K	-779	0.00	114.73	0	0	346	60
2010-05-12	$19.80	$17.50	15.9%	4.6%	35.7%	4.3%	16.1%	0.0%	1.6%	47.6K	-362.5K	-855	0.00	110.60	42	0	346	60
2010-05-13	$19.82	$17.50	14.9%	4.3%	35.5%	3.6%	0.0%	0.0%	6.6%	56.3K	-360.2K	-928	0.00	56.56	0	0	378	60
2010-05-14	$19.34	$17.50	39.6%	11.4%	36.5%	21.2%	0.0%	0.0%	-39.9%	21.9K	-398.9K	-957	0.00	107.13	0	0	378	60
2010-05-17	$19.64	$17.50	14.1%	4.0%	37.0%	3.0%	0.0%	0.0%	4.7%	57.7K	-289.4K	-793	0.00	95.87	0	0	378	60
2010-05-18	$19.05	$17.50	11.2%	3.2%	38.0%	0.9%	9.9%	0.0%	5.0%	31.8K	-135.9K	-423	0.00	90.66	0	4	378	60
2010-05-19	$18.63	$17.50	58.1%	16.7%	38.5%	34.4%	0.0%	0.0%	-19.7%	14.5K	-264.1K	-905	0.00	172.83	10	0	378	64
2010-05-20	$17.62	$17.50	61.3%	17.6%	42.5%	36.6%	62.8%	0.0%	-28.8%	11.6K	-178.1K	-830	0.00	165.79	0	40	388	64
2010-05-21	$17.79	$17.50	29.1%	8.3%	42.4%	13.7%	29.1%	0.0%	-5.1%	6.7K	-34.9K	-449	0.00	91.56	0	34	388	100
2010-05-24	$17.83	$20.00	19.1%	5.5%	42.5%	6.5%	0.0%	0.0%	0.0%	3.9K	-950	-77	0.00	200.00	0	0	332	60
2010-05-25	$17.61	$20.00	20.9%	6.0%	42.3%	7.9%	0.0%	0.0%	0.0%	1.7K	4.7K	-44	0.00	200.00	0	0	332	60
2010-05-26	$17.55	$17.50	52.5%	15.0%	41.6%	30.4%	69.3%	0.0%	-3.4%	6.5K	-30.6K	-519	0.00	158.84	0	20	388	110
2010-05-27	$18.18	$17.50	30.9%	8.9%	43.9%	15.0%	0.0%	0.0%	-7.7%	7.6K	-44.0K	-504	0.00	95.09	0	20	388	130
2010-05-28	$18.22	$17.50	69.9%	20.0%	43.8%	42.8%	0.0%	0.0%	-31.2%	13.7K	-172.0K	-797	0.00	168.81	0	0	388	110