OGE Options History — October 2010

In October 2010, OGE traded between $20.25 and $22.08. ATM implied volatility averaged 26.4%, placing in the 21.1% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 8.3% (HV 20d: 18.2%). 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 17 of 21 days. Put/call ratio averaged 0.30.

Notable Days

2010-10-15: Highest Volume — 90 contracts
2010-10-12: Largest IV spike — 120.7% change
2010-10-13: Highest IV Rank — 79.2%
2010-10-04: Largest Expected Move — 6.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$21.39	$20.25	$22.08	$20.29	$22.08
Max Pain	$17.50	$17.50	$17.50	$17.50	$17.50
ATM IV	26.4%	15.2%	70.7%	18.5%	15.2%
Expected Move	5.2%	4.4%	6.3%	5.3%	4.4%
HV 20d	18.2%	15.1%	19.6%	15.1%	18.0%
HV 60d	19.0%	17.8%	20.7%	19.5%	18.0%
IV Rank	21.1%	6.4%	79.2%	10.6%	6.4%
IV Percentile	55.8%	20.2%	99.2%	49.6%	20.2%
Term Structure	1.4%	-0.7%	5.2%	3.1%	1.1%
VWIV	26.9%	19.2%	49.2%	49.2%	19.2%
Bid-Ask Spread %	90.81	57.61	123.37	82.35	69.50
Gamma HHI	0.52	0.41	0.65	0.41	0.65
Net GEX	30.1K	12.0K	41.6K	19.5K	41.6K
Net DEX	-622.9K	-870.5K	-188.7K	-553.7K	-870.5K
Net VEX	-2.8K	-3.6K	-435	-2.5K	-3.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.30	0.00	4.00	0.00	0.00
Total Volume	28.762	0	90	40	42
Total OI	984.762	502	1,194	954	1,194

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
2010-10-01	$20.29	$17.50	18.5%	5.3%	15.1%	10.6%	49.2%	0.0%	3.1%	19.5K	-553.7K	-2.5K	0.00	82.35	40	0	572	382
2010-10-04	$20.25	$17.50	18.3%	6.3%	15.2%	10.4%	0.0%	0.0%	0.1%	20.2K	-530.6K	-2.5K	0.00	114.66	40	0	566	382
2010-10-05	$20.64	$17.50	20.7%	6.3%	16.3%	13.6%	0.0%	0.0%	0.6%	22.4K	-464.4K	-2.4K	0.00	123.37	4	0	492	382
2010-10-06	$21.27	$17.50	39.2%	4.9%	18.7%	37.8%	19.4%	0.0%	0.9%	20.5K	-500.7K	-2.2K	0.00	59.58	86	0	438	382
2010-10-07	$21.42	$17.50	41.2%	5.0%	18.8%	40.4%	0.0%	0.0%	-0.5%	26.8K	-568.4K	-2.5K	0.00	60.57	30	0	504	382
2010-10-08	$21.31	$17.50	44.0%	5.0%	18.8%	44.2%	0.0%	0.0%	-0.1%	27.6K	-565.4K	-2.5K	0.00	57.61	12	0	528	382
2010-10-11	$21.18	$17.50	29.7%	5.7%	18.5%	25.4%	0.0%	0.0%	5.2%	27.4K	-554.4K	-2.5K	0.00	61.69	4	0	540	382
2010-10-12	$21.24	$17.50	65.6%	5.8%	18.5%	72.4%	0.0%	0.0%	5.2%	27.9K	-555.7K	-2.5K	0.00	67.79	4	0	536	382
2010-10-13	$21.35	$17.50	70.7%	5.2%	18.5%	79.2%	0.0%	0.0%	0.5%	28.8K	-578.1K	-2.5K	0.00	66.73	50	0	536	382
2010-10-14	$21.59	$17.50	17.4%	5.0%	18.0%	9.2%	20.0%	0.0%	1.1%	32.4K	-664.6K	-2.7K	4.00	85.93	10	40	580	382
2010-10-15	$21.65	$17.50	17.6%	5.0%	18.0%	9.5%	0.0%	0.0%	0.7%	30.6K	-645.4K	-2.8K	0.00	96.43	90	0	590	422
2010-10-18	$21.81	$17.50	16.3%	4.7%	17.4%	7.8%	0.0%	0.0%	1.0%	33.8K	-732.1K	-3.1K	0.00	98.70	6	0	620	422
2010-10-19	$21.41	$17.50	19.2%	5.5%	18.8%	11.6%	19.2%	0.0%	0.0%	12.0K	-188.7K	-435	0.14	105.45	14	2	160	342
2010-10-20	$21.84	$17.50	19.0%	5.4%	19.6%	11.3%	0.0%	0.0%	0.1%	36.1K	-751.0K	-3.1K	0.00	103.39	0	0	640	424
2010-10-21	$21.59	$17.50	15.7%	4.5%	19.5%	7.0%	0.0%	0.0%	3.4%	35.8K	-684.8K	-3.1K	1.00	103.39	20	20	640	424
2010-10-22	$21.55	$17.50	17.0%	4.9%	18.9%	8.7%	0.0%	0.0%	1.9%	35.7K	-682.5K	-3.3K	0.00	109.68	20	0	660	444
2010-10-25	$21.61	$17.50	17.0%	4.9%	18.8%	8.7%	0.0%	0.0%	2.0%	37.0K	-710.0K	-3.4K	0.00	115.12	0	0	680	444
2010-10-26	$21.47	$17.50	18.8%	5.4%	18.7%	11.0%	0.0%	0.0%	-0.7%	35.9K	-685.1K	-3.4K	0.00	109.25	40	0	680	444
2010-10-27	$21.70	$17.50	17.0%	4.9%	18.6%	8.7%	0.0%	0.0%	2.2%	39.7K	-770.5K	-3.6K	0.00	108.11	0	10	720	444
2010-10-28	$21.89	$17.50	17.0%	4.9%	18.6%	8.8%	0.0%	0.0%	1.2%	40.0K	-823.5K	-3.6K	0.00	107.60	0	20	720	454
2010-10-29	$22.08	$17.50	15.2%	4.4%	18.0%	6.4%	0.0%	0.0%	1.1%	41.6K	-870.5K	-3.6K	0.00	69.50	42	0	720	474