OGE Options History — September 2010

In September 2010, OGE traded between $19.55 and $20.23. ATM implied volatility averaged 19.7%, placing in the 10.4% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 2.1% (HV 20d: 17.7%). 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 20 of 21 days. Put/call ratio averaged 18.88.

Notable Days

2010-09-20: Highest Volume — 302 contracts
2010-09-09: Largest IV spike — 33.2% change
2010-09-22: Highest IV Rank — 13.5%
2010-09-14: Largest Expected Move — 6.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$19.92	$19.55	$20.23	$19.89	$19.93
Max Pain	$17.50	$17.50	$17.50	$17.50	$17.50
ATM IV	19.7%	15.8%	22.8%	17.2%	17.8%
Expected Move	5.9%	4.7%	6.5%	4.9%	5.1%
HV 20d	17.7%	14.0%	20.5%	20.4%	14.0%
HV 60d	20.8%	19.2%	22.5%	22.5%	19.2%
IV Rank	10.4%	5.7%	13.5%	7.1%	9.8%
IV Percentile	56.0%	28.6%	70.6%	40.5%	42.5%
Term Structure	1.7%	-0.5%	5.7%	5.7%	2.9%
VWIV	25.8%	24.1%	27.5%	24.1%	27.5%
Bid-Ask Spread %	84.45	63.88	99.37	63.88	87.11
Gamma HHI	0.53	0.37	0.73	0.56	0.39
Net GEX	28.6K	13.6K	51.5K	31.9K	16.2K
Net DEX	-561.5K	-704.6K	-466.0K	-564.1K	-488.7K
Net VEX	-2.5K	-2.7K	-2.4K	-2.5K	-2.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	18.88	0.00	150.00	0.00	0.00
Total Volume	23.238	0	302	8	0
Total OI	891.048	650	954	808	954

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
2010-09-01	$19.89	$17.50	17.2%	4.9%	20.4%	7.1%	0.0%	0.0%	5.7%	31.9K	-564.1K	-2.5K	0.00	63.88	8	0	602	206
2010-09-02	$19.77	$17.50	18.5%	5.3%	20.5%	8.3%	0.0%	0.0%	4.1%	30.4K	-558.3K	-2.5K	0.00	87.70	0	0	610	206
2010-09-03	$19.76	$17.50	15.8%	6.3%	20.3%	5.7%	24.1%	0.0%	1.1%	31.9K	-552.9K	-2.5K	0.00	76.74	40	0	610	206
2010-09-07	$19.70	$17.50	19.2%	6.4%	19.6%	9.0%	27.5%	0.0%	0.3%	31.3K	-535.3K	-2.4K	1.05	69.52	40	42	610	206
2010-09-08	$19.57	$17.50	16.9%	6.3%	19.5%	6.8%	0.0%	0.0%	1.0%	30.6K	-563.5K	-2.5K	0.00	86.63	0	0	644	248
2010-09-09	$19.64	$17.50	22.5%	6.4%	17.3%	12.2%	0.0%	0.0%	0.5%	32.7K	-571.6K	-2.5K	0.00	94.83	0	0	644	248
2010-09-10	$19.55	$17.50	21.6%	6.2%	17.0%	11.4%	0.0%	0.0%	1.4%	30.7K	-545.8K	-2.4K	0.00	99.15	0	0	644	248
2010-09-13	$19.89	$17.50	22.4%	6.4%	18.0%	12.2%	0.0%	0.0%	1.0%	38.2K	-623.2K	-2.4K	0.00	97.12	36	0	644	248
2010-09-14	$20.02	$17.50	22.8%	6.5%	18.1%	12.5%	0.0%	0.0%	0.2%	44.0K	-681.3K	-2.5K	0.00	87.90	6	0	654	248
2010-09-15	$20.09	$17.50	22.4%	6.4%	17.5%	12.2%	0.0%	0.0%	-0.5%	44.0K	-704.6K	-2.5K	0.00	92.31	0	0	660	248
2010-09-16	$19.89	$17.50	21.4%	6.1%	17.8%	11.2%	0.0%	0.0%	1.6%	51.3K	-645.9K	-2.4K	0.00	91.11	0	0	660	248
2010-09-17	$19.91	$17.50	22.3%	6.4%	16.4%	12.1%	0.0%	0.0%	0.9%	51.5K	-649.3K	-2.4K	0.00	91.58	0	0	660	248
2010-09-20	$20.23	$17.50	21.2%	6.1%	17.2%	11.0%	0.0%	0.0%	1.3%	23.8K	-570.1K	-2.4K	150.00	72.66	2	300	568	82
2010-09-21	$20.10	$17.50	19.6%	5.6%	17.4%	9.4%	0.0%	0.0%	0.7%	15.6K	-505.9K	-2.7K	0.00	81.94	0	2	568	382
2010-09-22	$20.11	$17.50	20.3%	5.8%	16.9%	13.5%	0.0%	0.0%	1.5%	15.0K	-508.9K	-2.7K	0.00	87.34	0	2	568	384
2010-09-23	$19.85	$17.50	18.9%	5.4%	17.4%	11.1%	0.0%	0.0%	2.5%	13.6K	-466.0K	-2.7K	0.00	77.14	0	0	568	382
2010-09-24	$20.22	$17.50	19.1%	5.5%	18.3%	11.5%	0.0%	0.0%	2.3%	17.0K	-536.3K	-2.6K	0.00	99.37	0	0	568	382
2010-09-27	$20.21	$17.50	19.2%	5.5%	16.6%	11.5%	0.0%	0.0%	2.4%	17.7K	-522.0K	-2.5K	0.00	84.09	8	0	568	382
2010-09-28	$20.05	$17.50	19.1%	5.5%	15.3%	11.5%	0.0%	0.0%	2.4%	16.5K	-501.9K	-2.6K	0.00	70.08	2	0	570	382
2010-09-29	$19.95	$17.50	16.3%	4.7%	15.5%	7.8%	0.0%	0.0%	3.1%	16.7K	-495.1K	-2.5K	0.00	75.17	0	0	572	382
2010-09-30	$19.93	$17.50	17.8%	5.1%	14.0%	9.8%	0.0%	0.0%	2.9%	16.2K	-488.7K	-2.5K	0.00	87.11	0	0	572	382