OGE Options History — June 2010

In June 2010, OGE traded between $17.39 and $18.95. ATM implied volatility averaged 30.5%, placing in the 14.7% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded below realized volatility by 6.0% (HV 20d: 36.6%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 16 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 0.33.

Notable Days

2010-06-07: Highest Volume — 50 contracts
2010-06-04: Largest IV spike — 364.8% change
2010-06-04: Highest IV Rank — 54.7%
2010-06-04: Largest Expected Move — 24.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$18.28	$17.39	$18.95	$17.79	$18.28
Max Pain	$17.61	$17.50	$20.00	$17.50	$17.50
ATM IV	30.5%	13.6%	86.6%	28.0%	13.8%
Expected Move	7.8%	3.9%	24.8%	8.0%	4.0%
HV 20d	36.6%	29.3%	45.6%	43.7%	29.3%
HV 60d	31.0%	28.1%	32.2%	28.1%	32.2%
IV Rank	14.7%	2.6%	54.7%	12.9%	2.8%
IV Percentile	58.4%	9.9%	98.0%	81.7%	11.5%
Term Structure	-13.4%	-51.4%	7.8%	-4.9%	7.8%
VWIV	26.9%	23.4%	30.3%	30.3%	23.4%
Bid-Ask Spread %	163.04	86.79	200.00	102.95	200.00
Gamma HHI	0.85	0.50	1.00	0.51	1.00
Net GEX	3.1K	-5.4K	13.9K	1.6K	4.5K
Net DEX	-72.8K	-179.2K	13.0K	-22.7K	-59.9K
Net VEX	-224	-750	-91	-310	-131
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.33	0.00	0.67	0.67	0.00
Total Volume	3.182	0	50	0	0
Total OI	340.273	46	534	498	46

Daily Data (22 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
2010-06-01	$17.79	$17.50	28.0%	8.0%	43.7%	12.9%	0.0%	0.0%	-4.9%	1.6K	-22.7K	-310	0.00	102.95	0	0	388	110
2010-06-02	$18.27	$17.50	79.3%	22.7%	45.1%	49.5%	0.0%	0.0%	-38.2%	13.9K	-179.2K	-750	0.00	168.81	0	0	388	110
2010-06-03	$18.50	$20.00	18.6%	5.3%	45.6%	6.2%	0.0%	0.0%	0.0%	10.8K	-13.8K	-99	0.00	200.00	0	0	332	60
2010-06-04	$17.62	$17.50	86.6%	24.8%	44.7%	54.7%	0.0%	0.0%	-51.4%	10.4K	-120.0K	-665	0.00	165.79	0	0	388	110
2010-06-07	$17.52	$17.50	30.3%	8.7%	42.0%	14.6%	30.3%	0.0%	3.9%	-2.7K	-6.1K	-257	0.67	86.79	30	20	388	110
2010-06-08	$17.64	$17.50	33.0%	9.5%	38.0%	16.5%	0.0%	0.0%	0.6%	-3.4K	-1.3K	-287	0.00	100.21	0	0	388	130
2010-06-09	$17.39	$17.50	32.3%	9.2%	37.8%	16.0%	0.0%	0.0%	-13.3%	-3.7K	13.0K	-279	0.00	101.17	0	0	388	130
2010-06-10	$17.94	$17.50	25.2%	7.2%	39.1%	10.9%	0.0%	0.0%	-12.0%	-4.6K	-42.5K	-250	0.00	104.15	0	0	388	126
2010-06-11	$17.99	$17.50	24.5%	7.0%	39.1%	10.4%	23.4%	0.0%	7.8%	-5.4K	-49.4K	-239	0.00	100.92	20	0	388	126
2010-06-14	$18.11	$17.50	29.5%	9.6%	38.6%	14.0%	0.0%	0.0%	0.0%	-1.7K	-93.3K	-218	0.00	193.94	0	0	408	126
2010-06-15	$18.55	$17.50	35.2%	8.7%	39.3%	18.0%	0.0%	0.0%	0.0%	1.8K	-124.3K	-175	0.00	167.35	0	0	408	126
2010-06-16	$18.64	$17.50	41.8%	9.9%	37.9%	22.8%	0.0%	0.0%	0.0%	5.9K	-131.3K	-182	0.00	189.09	0	0	408	126
2010-06-17	$18.89	$17.50	40.3%	4.4%	37.4%	21.7%	0.0%	0.0%	0.0%	13.0K	-157.3K	-141	0.00	178.31	0	0	408	126
2010-06-18	$18.95	$17.50	53.2%	3.9%	30.9%	30.9%	0.0%	0.0%	0.0%	2.9K	-150.3K	-96	0.00	172.84	0	0	408	126
2010-06-21	$18.79	$17.50	14.3%	4.1%	31.1%	3.1%	0.0%	0.0%	0.0%	3.3K	-70.6K	-114	0.00	179.49	0	0	46	0
2010-06-22	$18.45	$17.50	15.9%	4.6%	32.0%	4.3%	0.0%	0.0%	0.0%	3.7K	-61.4K	-139	0.00	200.00	0	0	46	0
2010-06-23	$18.45	$17.50	13.6%	3.9%	31.5%	2.6%	0.0%	0.0%	0.0%	4.1K	-64.0K	-130	0.00	200.00	0	0	46	0
2010-06-24	$18.35	$17.50	13.9%	4.0%	31.6%	2.9%	0.0%	0.0%	0.0%	4.2K	-61.0K	-137	0.00	200.00	0	0	46	0
2010-06-25	$18.66	$17.50	14.2%	4.1%	29.6%	3.1%	0.0%	0.0%	0.0%	3.6K	-68.3K	-120	0.00	200.00	0	0	46	0
2010-06-28	$18.95	$17.50	14.5%	4.2%	30.1%	3.3%	0.0%	0.0%	0.0%	2.9K	-74.6K	-91	0.00	175.00	0	0	46	0
2010-06-29	$18.43	$17.50	13.8%	3.9%	30.5%	2.8%	0.0%	0.0%	0.0%	4.2K	-63.9K	-125	0.00	200.00	0	0	46	0
2010-06-30	$18.28	$17.50	13.8%	4.0%	29.3%	2.8%	0.0%	0.0%	0.0%	4.5K	-59.9K	-131	0.00	200.00	0	0	46	0