OGE Options History — November 2010

In November 2010, OGE traded between $22.02 and $22.95. ATM implied volatility averaged 21.2%, placing in the 14.3% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 4.4% (HV 20d: 16.8%). Max pain ranged from $17.50 to $22.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.48.

Notable Days

2010-11-04: Highest Volume — 74 contracts
2010-11-09: Largest IV spike — 401.3% change
2010-11-09: Highest IV Rank — 91.2%
2010-11-09: Largest Expected Move — 12.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$22.53	$22.02	$22.95	$22.27	$22.25
Max Pain	$20.00	$17.50	$22.50	$17.50	$20.00
ATM IV	21.2%	14.0%	79.9%	18.4%	18.7%
Expected Move	5.7%	4.5%	12.2%	5.3%	5.4%
HV 20d	16.8%	15.0%	18.3%	17.9%	18.3%
HV 60d	17.4%	16.7%	18.1%	18.0%	17.2%
IV Rank	14.3%	4.8%	91.2%	10.5%	10.9%
IV Percentile	51.8%	8.7%	99.6%	51.6%	51.6%
Term Structure	1.8%	-28.0%	5.3%	1.8%	3.2%
VWIV	18.7%	17.7%	19.6%	17.8%	19.1%
Bid-Ask Spread %	89.33	67.37	155.65	80.32	68.73
Gamma HHI	0.64	0.49	0.72	0.67	0.60
Net GEX	48.3K	36.1K	62.6K	43.5K	46.5K
Net DEX	-1.1M	-1.2M	-930.6K	-947.8K	-1.1M
Net VEX	-4.4K	-4.8K	-3.7K	-3.8K	-4.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.48	0.00	4.00	0.00	0.00
Total Volume	19.333	0	74	28	0
Total OI	1,330.667	1,158	1,494	1,236	1,218

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
2010-11-01	$22.27	$17.50	18.4%	5.3%	17.9%	10.5%	0.0%	0.0%	1.8%	43.5K	-947.8K	-3.8K	0.00	80.32	28	0	762	474
2010-11-02	$22.67	$17.50	17.8%	5.1%	17.8%	9.7%	17.8%	0.0%	0.9%	45.7K	-1.1M	-3.7K	4.00	80.60	2	8	788	474
2010-11-03	$22.64	$22.50	17.7%	5.1%	15.0%	9.6%	17.7%	0.0%	1.8%	44.4K	-1.1M	-3.8K	0.00	94.91	64	0	788	482
2010-11-04	$22.95	$22.50	15.5%	4.5%	15.5%	6.8%	0.0%	0.0%	5.0%	45.4K	-1.2M	-4.0K	1.18	91.92	34	40	836	482
2010-11-05	$22.87	$20.00	14.0%	5.3%	15.4%	4.8%	0.0%	0.0%	5.0%	46.3K	-1.1M	-4.3K	0.00	109.49	20	0	860	522
2010-11-08	$22.75	$20.00	15.9%	5.7%	15.3%	7.3%	0.0%	0.0%	3.6%	45.6K	-1.1M	-4.4K	0.00	108.23	0	0	876	522
2010-11-09	$22.73	$20.00	79.9%	12.2%	15.4%	91.2%	0.0%	0.0%	-28.0%	36.1K	-1.1M	-4.6K	0.00	155.65	2	0	876	522
2010-11-10	$22.59	$20.00	16.9%	6.0%	15.7%	8.6%	0.0%	0.0%	2.4%	47.8K	-1.1M	-4.4K	0.00	89.26	0	0	878	522
2010-11-11	$22.64	$20.00	19.3%	5.5%	15.4%	11.7%	19.3%	0.0%	3.9%	49.1K	-1.1M	-4.3K	0.00	88.29	0	2	878	522
2010-11-12	$22.41	$20.00	19.9%	5.7%	16.0%	12.5%	0.0%	0.0%	4.0%	48.2K	-1.0M	-4.4K	0.00	87.76	4	0	878	524
2010-11-15	$22.65	$20.00	19.8%	5.7%	16.2%	12.4%	0.0%	0.0%	3.7%	49.2K	-1.1M	-4.3K	0.00	70.53	40	0	882	524
2010-11-16	$22.02	$20.00	19.6%	5.6%	18.1%	12.1%	0.0%	0.0%	4.9%	47.5K	-930.6K	-4.5K	0.57	95.55	14	8	922	524
2010-11-17	$22.04	$20.00	19.9%	5.7%	16.8%	12.5%	0.0%	0.0%	3.5%	48.9K	-939.6K	-4.5K	0.00	97.55	68	0	936	524
2010-11-18	$22.45	$20.00	19.1%	5.5%	17.3%	11.5%	0.0%	0.0%	4.4%	62.6K	-1.1M	-4.7K	0.00	70.13	10	0	960	524
2010-11-19	$22.39	$20.00	18.7%	5.4%	17.4%	10.9%	0.0%	0.0%	5.3%	59.6K	-1.1M	-4.7K	0.00	76.21	0	0	970	524
2010-11-22	$22.61	$20.00	18.5%	5.3%	17.6%	10.7%	0.0%	0.0%	3.2%	49.4K	-1.2M	-4.5K	0.00	76.59	40	0	942	216
2010-11-23	$22.38	$20.00	18.8%	5.4%	17.9%	11.1%	0.0%	0.0%	2.8%	49.3K	-1.1M	-4.7K	0.00	84.17	0	0	982	216
2010-11-24	$22.67	$20.00	18.8%	5.4%	18.1%	11.0%	0.0%	0.0%	2.6%	50.8K	-1.2M	-4.8K	0.00	84.04	0	0	982	216
2010-11-26	$22.61	$20.00	19.5%	5.6%	18.0%	12.0%	19.6%	0.0%	2.1%	51.0K	-1.2M	-4.7K	0.00	98.63	0	20	982	216
2010-11-29	$22.54	$20.00	19.1%	5.5%	17.9%	11.4%	19.1%	0.0%	2.5%	47.2K	-1.2M	-4.7K	0.00	67.37	0	2	982	236
2010-11-30	$22.25	$20.00	18.7%	5.4%	18.3%	10.9%	0.0%	0.0%	3.2%	46.5K	-1.1M	-4.7K	0.00	68.73	0	0	982	236