OGE Options History — January 2011

In January 2011, OGE traded between $22.46 and $23.23. ATM implied volatility averaged 21.5%, placing in the 13.5% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 9.9% (HV 20d: 11.6%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.09.

Notable Days

2011-01-05: Highest Volume — 350 contracts
2011-01-13: Largest IV spike — 40.5% change
2011-01-18: Highest IV Rank — 19.0%
2011-01-18: Largest Expected Move — 7.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$22.79	$22.46	$23.23	$23.13	$22.95
Max Pain	$22.08	$20.00	$22.50	$20.00	$22.50
ATM IV	21.5%	17.3%	25.6%	18.6%	22.2%
Expected Move	6.5%	5.3%	7.3%	5.3%	6.4%
HV 20d	11.6%	9.5%	13.3%	11.7%	13.0%
HV 60d	14.4%	13.7%	15.0%	14.9%	13.9%
IV Rank	13.5%	8.6%	19.0%	10.3%	13.8%
IV Percentile	65.1%	34.1%	79.8%	46.4%	69.8%
Term Structure	1.7%	-0.2%	7.1%	7.1%	1.9%
VWIV	27.4%	23.2%	36.1%	36.1%	23.2%
Bid-Ask Spread %	100.28	74.61	117.02	75.31	87.60
Gamma HHI	0.51	0.49	0.53	0.51	0.50
Net GEX	78.7K	41.9K	110.3K	45.4K	110.3K
Net DEX	-1.3M	-1.8M	-1.1M	-1.2M	-1.6M
Net VEX	-6.9K	-8.2K	-4.3K	-4.3K	-7.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.09	0.00	0.63	0.00	0.36
Total Volume	67	0	350	20	6
Total OI	1,761.8	1,166	2,112	1,186	2,112

Daily Data (20 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
2011-01-03	$23.13	$20.00	18.6%	5.3%	11.7%	10.3%	0.0%	0.0%	7.1%	45.4K	-1.2M	-4.3K	0.00	75.31	0	20	970	216
2011-01-04	$22.95	$20.00	19.8%	5.7%	11.9%	11.8%	0.0%	0.0%	4.2%	41.9K	-1.1M	-4.4K	0.00	74.61	70	0	930	236
2011-01-05	$22.90	$20.00	19.6%	5.6%	11.9%	11.5%	36.1%	0.0%	4.5%	44.6K	-1.1M	-4.6K	0.00	75.60	350	0	986	236
2011-01-06	$22.75	$22.50	19.3%	5.5%	12.1%	11.2%	0.0%	0.0%	4.9%	56.5K	-1.1M	-5.9K	0.00	94.30	192	0	1,166	236
2011-01-07	$22.82	$0.00	17.3%	6.9%	11.9%	8.6%	0.0%	0.0%	0.7%	64.3K	-1.2M	-6.6K	0.00	107.15	66	0	1,312	236
2011-01-10	$22.75	$0.00	20.2%	7.1%	11.9%	12.3%	24.8%	0.0%	0.2%	68.3K	-1.2M	-6.8K	0.11	103.06	180	20	1,378	236
2011-01-11	$22.74	$22.50	17.6%	7.0%	11.9%	9.0%	0.0%	0.0%	0.9%	74.7K	-1.3M	-7.7K	0.00	105.13	42	0	1,534	256
2011-01-12	$22.63	$22.50	17.3%	7.1%	12.0%	8.6%	0.0%	0.0%	0.6%	74.7K	-1.3M	-7.7K	0.00	112.43	30	0	1,556	256
2011-01-13	$22.50	$22.50	24.3%	7.0%	12.0%	17.4%	0.0%	0.0%	1.3%	75.8K	-1.2M	-7.5K	0.00	114.37	4	0	1,586	256
2011-01-14	$22.50	$22.50	24.8%	7.1%	11.1%	18.1%	0.0%	0.0%	0.5%	75.4K	-1.2M	-7.4K	0.63	112.70	32	20	1,590	256
2011-01-18	$22.66	$22.50	25.6%	7.3%	10.6%	19.0%	25.6%	0.0%	0.7%	76.8K	-1.3M	-7.5K	0.00	114.81	48	0	1,602	276
2011-01-19	$22.50	$22.50	23.4%	6.7%	10.2%	16.3%	0.0%	0.0%	0.5%	84.0K	-1.2M	-7.5K	0.00	117.02	0	0	1,650	276
2011-01-20	$22.54	$22.50	22.8%	6.5%	10.2%	14.6%	0.0%	0.0%	1.3%	84.6K	-1.2M	-7.4K	0.00	116.69	0	22	1,650	276
2011-01-21	$22.46	$22.50	23.7%	6.8%	9.5%	15.8%	0.0%	0.0%	-0.2%	83.6K	-1.2M	-7.1K	0.00	99.58	0	0	1,650	276
2011-01-24	$22.87	$22.50	23.3%	6.7%	11.3%	15.2%	23.2%	0.0%	0.3%	95.2K	-1.4M	-7.2K	0.00	100.38	28	0	1,650	270
2011-01-25	$22.98	$22.50	22.4%	6.4%	11.4%	14.1%	0.0%	0.0%	2.0%	99.1K	-1.5M	-7.5K	0.00	100.95	60	0	1,678	270
2011-01-26	$23.02	$22.50	22.5%	6.4%	11.3%	14.2%	0.0%	0.0%	1.2%	104.0K	-1.5M	-7.8K	0.23	105.30	88	20	1,738	270
2011-01-27	$23.23	$22.50	22.3%	6.4%	11.7%	14.0%	0.0%	0.0%	1.4%	109.0K	-1.8M	-8.2K	0.00	109.96	12	0	1,786	290
2011-01-28	$22.84	$22.50	22.9%	6.6%	13.3%	14.8%	0.0%	0.0%	0.2%	106.5K	-1.5M	-8.0K	0.36	78.73	22	8	1,798	290
2011-01-31	$22.95	$22.50	22.2%	6.4%	13.0%	13.8%	0.0%	0.0%	1.9%	110.3K	-1.6M	-7.9K	0.00	87.60	0	6	1,820	292