OGE Options History — December 2010

In December 2010, OGE traded between $22.35 and $22.98. ATM implied volatility averaged 22.6%, placing in the 15.4% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 7.9% (HV 20d: 14.7%). Max pain ranged from $20.00 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 0.37.

Notable Days

2010-12-29: Highest Volume — 68 contracts
2010-12-08: Largest IV spike — 435.2% change
2010-12-08: Highest IV Rank — 100.0%
2010-12-08: Largest Expected Move — 11.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$22.66	$22.35	$22.98	$22.50	$22.77
Max Pain	$20.12	$20.00	$22.50	$20.00	$20.00
ATM IV	22.6%	16.9%	90.4%	17.9%	20.5%
Expected Move	5.9%	4.9%	11.3%	5.1%	5.9%
HV 20d	14.7%	10.8%	17.6%	17.5%	10.9%
HV 60d	16.7%	15.8%	17.3%	17.2%	15.8%
IV Rank	15.4%	8.6%	100.0%	9.9%	12.7%
IV Percentile	57.3%	31.3%	100.0%	43.3%	65.9%
Term Structure	2.6%	-13.8%	4.5%	3.1%	3.1%
VWIV	32.6%	17.9%	42.2%	17.9%	42.2%
Bid-Ask Spread %	97.14	66.88	164.85	70.70	73.67
Gamma HHI	0.57	0.50	0.65	0.62	0.51
Net GEX	49.8K	43.7K	63.1K	48.2K	44.0K
Net DEX	-1.2M	-1.5M	-1.1M	-1.1M	-1.1M
Net VEX	-4.6K	-5.1K	-4.4K	-4.7K	-4.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.37	0.00	1.80	1.00	0.42
Total Volume	19.143	0	68	40	0
Total OI	1,273.81	1,158	1,390	1,218	1,186

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
2010-12-01	$22.50	$20.00	17.9%	5.1%	17.5%	9.9%	17.9%	0.0%	3.1%	48.2K	-1.1M	-4.7K	1.00	70.70	20	20	982	236
2010-12-02	$22.35	$20.00	18.8%	5.4%	17.6%	11.0%	0.0%	0.0%	2.5%	48.2K	-1.1M	-4.7K	1.80	66.88	20	36	982	256
2010-12-03	$22.54	$20.00	17.0%	4.9%	17.1%	8.7%	0.0%	0.0%	4.0%	48.3K	-1.1M	-4.9K	0.00	72.83	20	0	992	292
2010-12-06	$22.54	$22.50	17.8%	5.9%	17.1%	9.7%	37.5%	0.0%	3.7%	49.6K	-1.2M	-4.9K	0.00	100.04	60	0	1,012	292
2010-12-07	$22.66	$20.00	16.9%	6.0%	17.1%	8.6%	0.0%	0.0%	3.9%	50.9K	-1.3M	-4.9K	0.00	115.05	0	0	1,072	292
2010-12-08	$22.56	$20.00	90.4%	11.3%	17.2%	100.0%	42.2%	0.0%	-13.8%	47.4K	-1.2M	-5.1K	0.00	164.85	20	0	1,072	292
2010-12-09	$22.46	$20.00	18.7%	6.0%	17.2%	10.5%	0.0%	0.0%	3.0%	54.4K	-1.3M	-4.8K	0.00	95.89	0	0	1,092	292
2010-12-10	$22.45	$20.00	18.4%	5.6%	17.1%	10.0%	0.0%	0.0%	4.5%	55.2K	-1.3M	-4.8K	0.00	96.59	0	0	1,092	292
2010-12-13	$22.50	$20.00	20.9%	5.9%	16.8%	13.2%	0.0%	0.0%	3.6%	55.0K	-1.3M	-4.5K	0.00	99.12	0	0	1,052	292
2010-12-14	$22.64	$20.00	18.8%	5.8%	16.5%	10.6%	0.0%	0.0%	4.1%	57.6K	-1.3M	-4.4K	0.00	99.43	28	0	1,052	292
2010-12-15	$22.36	$20.00	19.5%	5.6%	13.6%	11.4%	0.0%	0.0%	3.9%	54.8K	-1.2M	-4.5K	0.00	98.67	56	0	1,080	292
2010-12-16	$22.62	$20.00	20.7%	5.9%	14.1%	12.9%	0.0%	0.0%	3.5%	63.1K	-1.3M	-4.6K	1.25	100.87	8	10	1,092	292
2010-12-17	$22.85	$20.00	20.3%	5.8%	13.0%	12.4%	0.0%	0.0%	3.3%	44.9K	-1.5M	-4.6K	0.00	77.70	12	0	1,088	302
2010-12-21	$22.76	$20.00	19.3%	5.5%	13.0%	11.2%	0.0%	0.0%	3.1%	45.3K	-1.1M	-4.5K	0.00	81.92	0	0	962	196
2010-12-22	$22.98	$20.00	18.9%	5.4%	13.0%	10.7%	0.0%	0.0%	3.8%	46.4K	-1.2M	-4.4K	0.00	94.03	4	0	962	196
2010-12-23	$22.80	$20.00	19.2%	5.5%	12.8%	11.0%	0.0%	0.0%	3.0%	46.9K	-1.2M	-4.4K	0.00	155.69	0	0	966	196
2010-12-27	$22.76	$20.00	20.2%	5.8%	12.0%	12.3%	0.0%	0.0%	3.1%	45.8K	-1.1M	-4.4K	0.00	94.39	20	0	966	196
2010-12-28	$22.86	$20.00	20.3%	5.8%	12.0%	12.4%	0.0%	0.0%	3.1%	48.1K	-1.2M	-4.4K	0.00	92.37	0	0	986	196
2010-12-29	$22.91	$20.00	20.2%	5.8%	11.9%	12.3%	0.0%	0.0%	3.4%	47.6K	-1.2M	-4.4K	0.42	97.00	48	20	986	196
2010-12-30	$22.98	$20.00	20.3%	5.8%	10.8%	12.5%	0.0%	0.0%	3.3%	43.7K	-1.2M	-4.4K	0.00	92.23	0	0	970	216
2010-12-31	$22.77	$20.00	20.5%	5.9%	10.9%	12.7%	0.0%	0.0%	3.1%	44.0K	-1.1M	-4.4K	0.00	73.67	0	0	970	216