OGE Options History — May 2011 In May 2011, OGE traded between $25.05 and $26.50. ATM implied volatility averaged 17.6%, placing in the 7.0% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded below realized volatility by 1.6% (HV 20d: 19.2%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.00.
Notable Days 2011-05-05 : Highest Volume — 300 contracts2011-05-09 : Largest IV spike — 32.3% change2011-05-10 : Highest IV Rank — 11.6%2011-05-03 : Largest Expected Move — 5.8%Monthly Statistics Metric Avg Min Max Open Close Price $25.58 $25.05 $26.50 $26.50 $25.54 Max Pain $23.45 $22.50 $25.00 $25.00 $25.00 ATM IV 17.6% 14.5% 20.4% 19.3% 15.3% Expected Move 5.0% 4.2% 5.8% 5.5% 4.4% HV 20d 19.2% 16.8% 21.7% 17.9% 17.9% HV 60d 17.1% 15.7% 17.7% 15.7% 17.3% IV Rank 7.0% 1.1% 11.6% 10.2% 2.2% IV Percentile 30.0% 2.8% 63.1% 51.6% 6.3% Term Structure 2.3% -6.4% 7.1% -0.8% 3.6% VWIV 17.8% 16.5% 19.2% 18.2% 17.8% Skew 25d 3.2% -2.3% 10.7% -2.2% 4.1% Skew 10d 6.2% -3.7% 42.0% -3.3% 42.0% Call IV 25d 13.7% 10.9% 18.1% 17.5% 13.4% Put IV 25d 17.0% 13.3% 23.2% 15.3% 17.5% Bid-Ask Spread % 65.05 49.80 79.19 66.00 63.96 Gamma HHI 0.78 0.65 0.91 0.66 0.91 Net GEX 249.8K 177.9K 358.0K 179.0K 358.0K Net DEX -2.6M -3.3M -2.1M -3.3M -2.7M Net VEX -6.5K -7.4K -5.3K -6.1K -5.3K 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 18.571 0 300 0 0 Total OI 2,130.857 1,910 2,230 1,910 2,128
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 2011-05-02 $26.50 $25.00 19.3% 5.5% 17.9% 10.2% 0.0% -2.2% -0.8% 179.0K -3.3M -6.1K 0.00 66.00 0 0 1,774 136 2011-05-03 $26.48 $25.00 20.4% 5.8% 18.0% 11.6% 0.0% -2.3% -1.4% 177.9K -3.3M -6.1K 0.00 65.67 0 0 1,774 136 2011-05-04 $26.20 $25.00 17.9% 5.1% 18.4% 8.4% 0.0% 4.0% -6.4% 190.4K -3.1M -6.5K 0.00 79.19 0 0 1,774 136 2011-05-05 $25.66 $25.00 15.6% 4.5% 19.9% 5.5% 0.0% -0.6% -3.8% 214.4K -2.6M -6.9K 0.00 69.17 300 0 1,774 136 2011-05-06 $25.21 $22.50 15.2% 5.2% 20.9% 5.1% 18.2% 2.7% 2.4% 229.6K -2.2M -7.4K 0.00 77.93 16 0 2,074 136 2011-05-09 $25.57 $22.50 20.2% 4.9% 21.3% 11.3% 0.0% 0.7% 5.4% 230.8K -2.6M -7.2K 0.00 64.48 0 20 2,072 136 2011-05-10 $25.86 $22.50 20.4% 4.8% 21.7% 11.6% 0.0% 6.0% 5.5% 237.9K -2.9M -7.2K 0.00 74.28 2 0 2,072 156 2011-05-11 $25.59 $22.50 18.4% 5.0% 21.3% 9.0% 17.4% 4.3% 3.8% 244.0K -2.6M -7.0K 0.00 72.23 4 0 2,072 156 2011-05-12 $25.75 $22.50 17.1% 4.9% 21.3% 7.5% 16.5% 10.7% 4.3% 251.5K -2.7M -6.9K 0.00 70.83 2 0 2,068 156 2011-05-13 $25.54 $22.50 18.0% 5.2% 21.4% 8.6% 0.0% 4.4% 3.0% 244.9K -2.5M -7.0K 0.00 75.37 0 0 2,070 156 2011-05-16 $25.30 $22.50 19.2% 5.5% 21.3% 10.1% 19.2% 3.9% 1.7% 237.7K -2.3M -6.8K 0.00 72.65 6 0 2,070 156 2011-05-17 $25.13 $22.50 18.9% 5.4% 19.9% 9.7% 0.0% 2.5% 1.9% 241.3K -2.1M -6.7K 0.00 63.61 0 0 2,070 156 2011-05-18 $25.47 $22.50 18.1% 5.2% 20.4% 8.8% 0.0% 4.0% 2.4% 251.4K -2.5M -6.6K 0.00 64.43 4 0 2,070 156 2011-05-19 $25.77 $22.50 15.6% 4.5% 16.8% 2.5% 0.0% 6.5% 7.1% 261.7K -2.9M -6.3K 0.00 67.02 0 0 2,074 156 2011-05-20 $25.63 $22.50 17.4% 5.0% 16.8% 5.0% 0.0% 5.3% 3.3% 256.9K -2.7M -6.2K 0.00 51.85 0 0 2,074 156 2011-05-23 $25.11 $22.50 17.7% 5.1% 17.9% 5.3% 0.0% 2.2% 2.2% 273.9K -2.1M -6.2K 0.00 51.56 0 0 1,942 150 2011-05-24 $25.05 $22.50 17.8% 5.1% 17.5% 5.4% 17.8% 2.3% 1.8% 276.4K -2.1M -6.0K 0.00 49.80 0 10 1,942 150 2011-05-25 $25.18 $25.00 16.5% 4.7% 17.4% 3.7% 0.0% 2.0% 3.3% 294.3K -2.2M -6.0K 0.00 54.37 0 2 1,942 160 2011-05-26 $25.38 $25.00 16.3% 4.7% 17.6% 3.5% 0.0% 3.4% 3.2% 294.1K -2.4M -5.9K 0.00 55.76 24 0 1,942 162 2011-05-27 $25.34 $25.00 14.5% 4.2% 17.5% 1.1% 0.0% 4.2% 6.0% 299.2K -2.5M -5.8K 0.00 55.94 0 0 1,966 162 2011-05-31 $25.54 $25.00 15.3% 4.4% 17.9% 2.2% 0.0% 4.1% 3.6% 358.0K -2.7M -5.3K 0.00 63.96 0 0 1,966 162
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