OGE Options History — February 2011 In February 2011, OGE traded between $23.09 and $24.05. ATM implied volatility averaged 21.1%, placing in the 12.4% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 8.1% (HV 20d: 13.0%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 0.00.
Notable Days 2011-02-03 : Highest Volume — 106 contracts2011-02-25 : Largest IV drop — 23.1% change2011-02-14 : Highest IV Rank — 16.9%2011-02-14 : Largest Expected Move — 7.0%Monthly Statistics Metric Avg Min Max Open Close Price $23.45 $23.09 $24.05 $23.27 $24.05 Max Pain $20.39 $20.00 $22.50 $22.50 $20.00 ATM IV 21.1% 17.1% 24.6% 18.8% 18.5% Expected Move 6.2% 4.9% 7.0% 5.4% 5.3% HV 20d 13.0% 12.1% 14.5% 12.8% 12.7% HV 60d 13.1% 11.7% 14.1% 14.1% 12.3% IV Rank 12.4% 7.4% 16.9% 9.5% 9.1% IV Percentile 61.1% 28.6% 78.6% 45.2% 36.5% Term Structure 1.3% -2.1% 7.5% 7.5% 1.5% VWIV 20.0% 16.5% 23.4% 23.4% 19.3% Skew 25d 2.7% 1.5% 3.7% 2.7% 3.7% Skew 10d 3.6% 2.7% 5.2% 2.8% 5.2% Call IV 25d 20.2% 19.2% 21.1% 20.1% 19.2% Put IV 25d 22.9% 22.6% 23.2% 22.8% 22.9% Bid-Ask Spread % 78.09 60.82 113.70 113.70 75.64 Gamma HHI 0.55 0.50 0.66 0.51 0.66 Net GEX 128.2K 114.1K 141.3K 114.6K 141.3K Net DEX -2.1M -2.6M -1.7M -1.8M -2.6M Net VEX -8.4K -9.0K -8.0K -8.1K -8.3K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.00 0.00 0.00 0.00 0.00 Total Volume 21.053 0 106 0 40 Total OI 2,270.526 2,112 2,362 2,112 2,362
Daily Data (19 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 2011-02-01 $23.27 $22.50 18.8% 5.4% 12.8% 9.5% 0.0% 0.0% 7.5% 114.6K -1.8M -8.1K 0.00 113.70 0 0 1,820 292 2011-02-02 $23.12 $22.50 20.6% 5.9% 12.8% 11.8% 0.0% 0.0% 3.8% 114.1K -1.7M -8.1K 0.00 100.97 8 0 1,820 292 2011-02-03 $23.18 $22.50 19.7% 5.7% 12.7% 10.7% 0.0% 0.0% 6.3% 114.6K -1.8M -8.1K 0.00 91.82 106 0 1,828 292 2011-02-04 $23.17 $20.00 19.1% 6.6% 12.5% 9.9% 0.0% 0.0% -0.9% 122.2K -1.8M -8.5K 0.00 78.73 0 0 1,934 292 2011-02-07 $23.26 $20.00 21.5% 6.7% 12.5% 12.9% 0.0% 0.0% -0.9% 123.5K -1.9M -8.3K 0.00 80.27 20 0 1,934 292 2011-02-08 $23.34 $20.00 19.8% 6.7% 12.4% 10.9% 0.0% 0.0% -1.4% 124.2K -1.9M -8.2K 0.00 78.30 24 0 1,934 292 2011-02-09 $23.22 $20.00 22.3% 6.7% 12.6% 14.0% 0.0% 0.0% -0.8% 126.2K -1.9M -8.3K 0.00 70.01 4 0 1,958 292 2011-02-10 $23.27 $20.00 23.4% 6.7% 12.4% 15.4% 23.4% 0.0% -0.8% 125.4K -1.9M -8.3K 0.00 62.95 0 4 1,962 292 2011-02-11 $23.34 $20.00 23.4% 6.7% 12.1% 15.4% 0.0% 0.0% -0.6% 127.0K -2.0M -8.2K 0.00 62.71 0 0 1,962 292 2011-02-14 $23.25 $20.00 24.6% 7.0% 12.3% 16.9% 0.0% 0.0% -2.1% 126.6K -1.9M -8.0K 0.00 84.04 74 0 1,962 292 2011-02-15 $23.09 $20.00 23.4% 6.7% 12.4% 15.4% 0.0% 0.0% -0.7% 133.4K -1.9M -8.2K 0.00 84.97 0 0 2,024 292 2011-02-16 $23.13 $20.00 23.5% 6.8% 12.1% 15.6% 0.0% 0.0% -1.1% 133.6K -1.9M -8.1K 0.00 83.35 40 0 2,024 292 2011-02-17 $23.59 $20.00 20.8% 6.0% 13.8% 12.1% 0.0% 0.0% 4.6% 132.3K -2.3M -8.7K 0.00 66.15 0 0 2,064 292 2011-02-18 $24.00 $20.00 18.5% 5.3% 14.5% 9.2% 20.9% 0.0% -1.2% 135.3K -2.5M -8.7K 0.00 64.04 66 0 2,064 292 2011-02-22 $23.91 $20.00 19.6% 5.6% 13.7% 10.6% 0.0% 2.7% -0.5% 134.9K -2.4M -9.0K 0.00 60.82 2 0 2,058 292 2011-02-23 $23.69 $20.00 23.6% 6.8% 14.2% 15.6% 0.0% 2.3% 3.0% 134.1K -2.3M -8.7K 0.00 75.06 0 0 2,058 292 2011-02-24 $23.66 $20.00 22.2% 6.4% 14.2% 13.9% 0.0% 1.5% 4.8% 134.3K -2.2M -8.6K 0.00 63.50 0 0 2,058 292 2011-02-25 $23.95 $20.00 17.1% 4.9% 14.5% 7.4% 16.5% 3.5% 4.4% 138.0K -2.4M -8.6K 0.00 86.77 12 0 2,058 292 2011-02-28 $24.05 $20.00 18.5% 5.3% 12.7% 9.1% 19.3% 3.7% 1.5% 141.3K -2.6M -8.3K 0.00 75.64 40 0 2,070 292
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