OGE Options History — April 2011

In April 2011, OGE traded between $25.15 and $26.59. ATM implied volatility averaged 18.1%, placing in the 8.7% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 2.2% (HV 20d: 15.9%). Max pain ranged from $22.50 to $27.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.02.

Notable Days

2011-04-05: Highest Volume — 476 contracts
2011-04-05: Largest IV spike — 134.3% change
2011-04-05: Highest IV Rank — 34.6%
2011-04-12: Largest Expected Move — 5.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$25.76	$25.15	$26.59	$25.55	$26.59
Max Pain	$25.36	$22.50	$27.50	$22.50	$25.00
ATM IV	18.1%	15.0%	38.6%	15.2%	16.1%
Expected Move	5.0%	4.3%	5.4%	4.4%	4.6%
HV 20d	15.9%	13.1%	18.9%	16.3%	18.1%
HV 60d	14.9%	14.0%	16.4%	14.1%	15.7%
IV Rank	8.7%	4.8%	34.6%	5.0%	6.2%
IV Percentile	29.1%	7.1%	87.7%	12.7%	14.7%
Term Structure	0.4%	-3.9%	3.3%	1.1%	1.2%
VWIV	15.4%	12.3%	18.6%	16.4%	14.1%
Skew 25d	2.4%	-4.6%	16.9%	-0.5%	-2.9%
Skew 10d	4.2%	-3.2%	33.6%	3.0%	-2.0%
Call IV 25d	14.7%	11.7%	18.5%	15.1%	16.7%
Put IV 25d	17.1%	12.6%	30.2%	14.6%	13.8%
Bid-Ask Spread %	67.94	57.41	76.39	70.70	69.33
Gamma HHI	0.90	0.66	0.99	0.94	0.66
Net GEX	168.8K	152.4K	181.3K	179.3K	181.3K
Net DEX	-2.6M	-3.4M	-2.0M	-2.8M	-3.4M
Net VEX	-7.3K	-8.3K	-6.2K	-8.3K	-6.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.02	0.00	0.30	0.00	0.00
Total Volume	45.8	0	476	20	6
Total OI	1,750.2	1,630	1,920	1,920	1,910

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
2011-04-01	$25.55	$22.50	15.2%	4.4%	16.3%	5.0%	0.0%	-0.5%	1.1%	179.3K	-2.8M	-8.3K	0.00	70.70	0	20	1,800	120
2011-04-04	$25.59	$0.00	16.5%	5.3%	16.3%	6.7%	0.0%	4.0%	0.6%	178.0K	-2.9M	-8.1K	0.00	68.45	8	0	1,800	120
2011-04-05	$25.67	$0.00	38.6%	5.4%	16.0%	34.6%	0.0%	4.5%	0.5%	170.3K	-3.0M	-8.0K	0.01	68.53	472	4	1,792	120
2011-04-06	$25.52	$0.00	15.6%	5.3%	16.2%	5.5%	0.0%	4.3%	0.7%	152.4K	-2.3M	-7.7K	0.00	70.30	0	0	1,506	124
2011-04-07	$25.43	$0.00	20.0%	5.4%	14.3%	11.1%	0.0%	4.0%	0.2%	154.5K	-2.3M	-7.6K	0.00	69.51	2	0	1,506	124
2011-04-08	$25.64	$0.00	15.6%	5.3%	14.4%	5.5%	0.0%	5.9%	0.0%	160.4K	-2.4M	-7.4K	0.00	69.50	40	0	1,506	124
2011-04-11	$25.55	$0.00	19.3%	4.9%	14.5%	10.2%	0.0%	14.3%	2.3%	157.0K	-2.4M	-7.5K	0.00	67.79	0	0	1,526	124
2011-04-12	$25.16	$0.00	18.2%	5.4%	13.4%	8.8%	0.0%	2.6%	0.3%	162.5K	-2.1M	-7.6K	0.00	74.77	10	0	1,526	124
2011-04-13	$25.26	$0.00	20.4%	5.3%	13.1%	11.6%	0.0%	3.0%	0.7%	164.1K	-2.2M	-7.6K	0.00	75.56	16	0	1,536	124
2011-04-14	$25.45	$0.00	17.5%	5.0%	13.2%	7.9%	0.0%	16.9%	1.0%	170.3K	-2.3M	-7.5K	0.00	74.36	0	0	1,552	124
2011-04-15	$25.71	$0.00	16.4%	4.7%	13.4%	6.6%	0.0%	5.9%	3.3%	171.5K	-2.5M	-7.4K	0.00	66.98	30	0	1,552	124
2011-04-18	$25.15	$0.00	18.7%	5.4%	14.2%	9.5%	0.0%	2.2%	0.7%	165.2K	-2.0M	-7.3K	0.00	76.39	62	0	1,522	124
2011-04-19	$25.30	$0.00	17.6%	5.1%	14.3%	8.1%	0.0%	-1.7%	0.9%	178.8K	-2.2M	-7.7K	0.00	68.94	30	0	1,584	124
2011-04-20	$26.18	$0.00	16.8%	4.8%	18.3%	7.1%	16.4%	0.5%	-0.3%	173.1K	-2.9M	-6.9K	0.00	57.41	50	0	1,614	124
2011-04-21	$26.28	$27.50	16.0%	4.6%	18.3%	6.0%	0.0%	-3.2%	0.4%	163.7K	-3.0M	-7.0K	0.30	59.94	20	6	1,664	124
2011-04-25	$26.00	$27.50	15.7%	4.5%	18.9%	5.7%	18.6%	-4.3%	-3.9%	174.6K	-2.8M	-7.2K	0.00	69.71	14	0	1,674	130
2011-04-26	$26.20	$25.00	15.0%	4.3%	18.7%	4.8%	0.0%	-4.6%	-3.9%	173.8K	-3.0M	-6.9K	0.00	59.29	32	0	1,688	130
2011-04-27	$26.39	$25.00	17.3%	5.0%	18.6%	7.7%	12.3%	-2.6%	1.4%	176.4K	-3.1M	-6.5K	0.00	61.42	0	6	1,686	130
2011-04-28	$26.50	$25.00	16.0%	4.6%	18.1%	6.1%	14.1%	-1.1%	1.6%	169.5K	-3.2M	-6.2K	0.00	59.96	88	0	1,686	136
2011-04-29	$26.59	$25.00	16.1%	4.6%	18.1%	6.2%	0.0%	-2.9%	1.2%	181.3K	-3.4M	-6.3K	0.00	69.33	6	0	1,774	136