OGE Options History — August 2010

In August 2010, OGE traded between $19.40 and $20.45. ATM implied volatility averaged 32.5%, placing in the 22.0% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 10.9% (HV 20d: 21.6%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 7 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 0.12.

Notable Days

2010-08-20: Highest Volume — 280 contracts
2010-08-16: Largest IV spike — 75.0% change
2010-08-19: Highest IV Rank — 56.2%
2010-08-19: Largest Expected Move — 19.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$19.86	$19.40	$20.45	$20.14	$19.52
Max Pain	$17.50	$17.50	$17.50	$17.50	$17.50
ATM IV	32.5%	16.4%	67.7%	17.0%	18.5%
Expected Move	9.3%	4.7%	19.4%	4.9%	5.3%
HV 20d	21.6%	17.2%	25.4%	24.2%	19.2%
HV 60d	26.8%	22.3%	32.3%	32.3%	22.3%
IV Rank	22.0%	6.3%	56.2%	6.9%	8.4%
IV Percentile	73.2%	35.3%	98.4%	40.1%	53.2%
Term Structure	2.4%	0.7%	4.7%	1.4%	2.9%
VWIV	21.0%	19.2%	23.4%	23.4%	20.4%
Bid-Ask Spread %	121.21	63.78	153.85	105.66	69.76
Gamma HHI	0.86	0.43	1.00	1.00	0.63
Net GEX	3.6K	-4.2K	25.6K	-1.1K	24.8K
Net DEX	-164.6K	-520.0K	-209	-88.1K	-491.2K
Net VEX	-794	-2.5K	-35	-45	-2.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.12	0.00	0.63	0.00	0.00
Total Volume	27.636	0	280	0	0
Total OI	357.455	212	808	212	808

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
2010-08-02	$20.14	$17.50	17.0%	4.9%	24.2%	6.9%	0.0%	0.0%	0.0%	-1.1K	-88.1K	-45	0.00	105.66	0	0	46	166
2010-08-03	$20.07	$17.50	16.4%	4.7%	23.6%	6.3%	0.0%	0.0%	0.0%	-1.0K	-88.2K	-35	0.00	103.85	0	0	46	166
2010-08-04	$19.98	$17.50	17.7%	5.1%	22.9%	7.6%	0.0%	0.0%	0.0%	-1.6K	-84.9K	-68	0.00	108.00	0	0	46	166
2010-08-05	$19.93	$17.50	30.1%	8.6%	22.9%	19.7%	0.0%	0.0%	0.0%	-3.9K	-52.8K	-252	0.00	148.00	0	0	46	166
2010-08-06	$20.08	$17.50	31.2%	9.0%	22.9%	20.8%	0.0%	0.0%	0.0%	-3.6K	-56.6K	-219	0.00	146.67	0	0	46	166
2010-08-09	$20.34	$17.50	33.7%	9.7%	23.2%	23.1%	0.0%	0.0%	0.0%	-3.1K	-63.2K	-185	0.00	141.38	0	0	46	166
2010-08-10	$20.45	$17.50	35.1%	10.1%	23.1%	24.5%	0.0%	0.0%	0.0%	-3.0K	-64.7K	-183	0.00	140.50	0	0	46	166
2010-08-11	$19.90	$17.50	47.2%	13.5%	25.3%	36.3%	0.0%	0.0%	0.0%	-4.2K	-26.3K	-324	0.00	148.98	0	0	46	166
2010-08-12	$19.71	$17.50	60.4%	17.3%	25.4%	49.1%	0.0%	0.0%	0.0%	-4.1K	-209	-393	0.00	153.85	0	0	46	166
2010-08-13	$19.84	$17.50	37.4%	10.7%	23.4%	26.8%	0.0%	0.0%	0.0%	-4.2K	-46.1K	-256	0.00	150.51	0	0	46	166
2010-08-16	$19.88	$17.50	65.5%	18.8%	23.0%	54.1%	0.0%	0.0%	0.0%	-3.9K	-5.7K	-358	0.00	150.51	0	0	46	166
2010-08-17	$20.16	$17.50	43.0%	12.3%	23.4%	32.3%	0.0%	0.0%	0.0%	-3.6K	-53.7K	-216	0.00	144.95	0	0	46	166
2010-08-18	$20.08	$17.50	52.8%	15.1%	21.7%	41.8%	0.0%	0.0%	0.0%	-3.9K	-35.2K	-267	0.00	146.48	0	0	46	166
2010-08-19	$19.70	$17.50	67.7%	19.4%	20.9%	56.2%	0.0%	0.0%	0.0%	-4.1K	-280	-340	0.00	147.37	0	0	46	166
2010-08-20	$19.64	$17.50	23.4%	6.7%	20.3%	13.1%	23.4%	0.0%	1.4%	-3.9K	-63.4K	-153	0.00	108.54	280	0	46	166
2010-08-23	$19.61	$17.50	22.9%	6.6%	19.2%	12.7%	0.0%	0.0%	0.7%	10.1K	-299.0K	-1.4K	0.00	111.42	80	0	326	166
2010-08-24	$19.40	$17.50	17.1%	4.9%	17.6%	7.0%	19.2%	0.0%	4.7%	12.2K	-312.4K	-1.7K	0.00	100.94	16	0	406	166
2010-08-25	$19.57	$17.50	21.4%	6.1%	17.7%	11.2%	0.0%	0.0%	1.7%	14.1K	-342.0K	-1.7K	0.20	78.42	100	20	422	166
2010-08-26	$19.45	$17.50	19.2%	5.5%	17.2%	9.0%	0.0%	0.0%	2.3%	18.9K	-446.4K	-2.2K	0.63	110.78	32	20	522	186
2010-08-27	$19.89	$17.50	20.1%	5.7%	19.0%	9.9%	0.0%	0.0%	2.7%	25.6K	-520.0K	-2.3K	0.00	86.26	20	0	542	206
2010-08-30	$19.52	$17.50	17.8%	5.1%	19.2%	7.7%	20.4%	0.0%	2.6%	23.6K	-481.4K	-2.3K	0.00	63.78	40	0	562	206
2010-08-31	$19.52	$17.50	18.5%	5.3%	19.2%	8.4%	0.0%	0.0%	2.9%	24.8K	-491.2K	-2.5K	0.00	69.76	0	0	602	206