OGE Options History — June 2011

In June 2011, OGE traded between $23.93 and $25.16. ATM implied volatility averaged 17.5%, placing in the 5.9% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 1.2% (HV 20d: 16.3%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.31.

Notable Days

2011-06-08: Highest Volume — 214 contracts
2011-06-06: Largest IV spike — 38.8% change
2011-06-16: Highest IV Rank — 8.4%
2011-06-16: Largest Expected Move — 5.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$24.53	$23.93	$25.16	$25.05	$25.16
Max Pain	$22.76	$22.50	$25.00	$25.00	$22.50
ATM IV	17.5%	12.8%	19.4%	17.2%	16.7%
Expected Move	5.1%	4.8%	5.6%	4.9%	4.8%
HV 20d	16.3%	14.8%	18.9%	18.9%	14.8%
HV 60d	17.4%	17.1%	17.9%	17.8%	17.3%
IV Rank	5.9%	0.0%	8.4%	4.7%	5.0%
IV Percentile	31.3%	0.0%	59.5%	25.0%	15.5%
Term Structure	2.2%	0.5%	6.8%	2.1%	3.4%
VWIV	25.2%	21.9%	29.3%	21.9%	29.3%
Skew 25d	2.5%	-3.2%	33.9%	1.7%	0.3%
Skew 10d	5.0%	-1.6%	53.8%	2.4%	1.0%
Call IV 25d	17.5%	14.2%	20.4%	15.5%	16.2%
Put IV 25d	19.9%	14.5%	50.2%	17.1%	16.5%
Bid-Ask Spread %	61.06	48.21	75.81	59.74	62.61
Gamma HHI	0.83	0.67	0.95	0.91	0.67
Net GEX	170.5K	52.4K	342.0K	326.5K	63.5K
Net DEX	-868.6K	-2.1M	-347.5K	-2.1M	-954.9K
Net VEX	-4.0K	-5.5K	-3.4K	-5.5K	-3.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.31	0.00	14.29	0.00	0.00
Total Volume	25.091	0	214	0	30
Total OI	1,713.364	830	2,524	2,128	918

Daily Data (22 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
2011-06-01	$25.05	$25.00	17.2%	4.9%	18.9%	4.7%	0.0%	1.7%	2.1%	326.5K	-2.1M	-5.5K	0.00	59.74	0	0	1,966	162
2011-06-02	$25.00	$25.00	17.0%	4.9%	18.7%	4.4%	0.0%	33.9%	2.2%	342.0K	-1.9M	-5.4K	0.00	63.61	0	0	1,966	162
2011-06-03	$24.63	$0.00	12.8%	5.5%	18.0%	0.0%	0.0%	-1.3%	0.5%	336.6K	-1.3M	-5.0K	0.00	75.81	0	0	1,966	162
2011-06-06	$24.32	$0.00	17.8%	4.8%	17.5%	6.4%	0.0%	4.8%	1.4%	333.5K	-1.2M	-4.5K	0.00	52.35	0	0	1,966	162
2011-06-07	$24.32	$0.00	18.3%	4.9%	16.4%	7.0%	21.9%	2.1%	1.6%	337.9K	-1.1M	-4.3K	0.00	56.21	40	0	1,966	162
2011-06-08	$24.46	$22.50	17.2%	5.0%	15.9%	5.6%	0.0%	4.3%	1.7%	299.2K	-1.1M	-4.3K	14.29	55.85	14	200	2,006	162
2011-06-09	$24.48	$22.50	17.6%	5.0%	15.7%	6.1%	24.3%	-3.2%	1.3%	271.0K	-755.7K	-4.5K	0.00	60.48	48	0	2,014	362
2011-06-10	$24.11	$22.50	18.3%	5.2%	16.0%	7.0%	0.0%	3.8%	2.5%	182.0K	-498.7K	-3.9K	0.00	56.35	2	0	2,054	362
2011-06-13	$24.07	$22.50	18.6%	5.3%	15.9%	7.4%	0.0%	3.5%	1.5%	174.4K	-448.4K	-3.6K	0.17	53.07	60	10	2,058	362
2011-06-14	$24.30	$22.50	17.6%	5.0%	16.4%	6.1%	0.0%	2.5%	0.8%	225.8K	-548.1K	-3.8K	0.00	51.32	0	0	2,118	352
2011-06-15	$23.93	$22.50	18.8%	5.4%	17.0%	7.6%	0.0%	2.7%	1.0%	163.3K	-514.1K	-3.6K	0.00	48.21	0	54	2,118	352
2011-06-16	$24.18	$22.50	19.4%	5.6%	16.7%	8.4%	0.0%	4.0%	1.0%	177.8K	-347.5K	-3.8K	0.00	55.19	0	0	2,118	406
2011-06-17	$24.25	$22.50	18.0%	5.1%	15.9%	6.6%	0.0%	1.6%	1.0%	64.4K	-474.2K	-3.5K	0.00	48.99	0	0	2,118	274
2011-06-20	$24.52	$22.50	17.9%	5.1%	16.7%	6.6%	0.0%	-3.0%	1.2%	53.5K	-687.1K	-3.4K	0.00	61.78	0	2	744	88
2011-06-21	$24.68	$22.50	17.8%	5.1%	15.4%	6.4%	0.0%	-2.2%	1.9%	54.8K	-758.8K	-3.5K	0.00	69.68	0	22	744	86
2011-06-22	$24.66	$22.50	17.4%	5.0%	15.4%	5.8%	0.0%	-1.7%	2.4%	55.4K	-741.1K	-3.5K	0.00	66.08	2	0	744	108
2011-06-23	$24.41	$22.50	16.7%	4.8%	15.6%	5.0%	0.0%	2.5%	6.8%	52.4K	-640.4K	-3.4K	0.00	73.00	0	0	746	108
2011-06-24	$24.48	$22.50	18.1%	5.2%	15.3%	6.8%	0.0%	-2.5%	2.6%	54.3K	-697.6K	-3.5K	0.00	72.12	20	0	746	108
2011-06-27	$24.59	$22.50	17.8%	5.1%	15.4%	6.4%	0.0%	-1.5%	3.4%	58.9K	-706.0K	-3.5K	0.00	73.66	20	0	766	108
2011-06-28	$24.88	$22.50	16.7%	4.8%	15.8%	5.0%	0.0%	1.0%	5.2%	59.5K	-813.6K	-3.6K	0.00	66.67	24	0	782	108
2011-06-29	$25.14	$22.50	17.6%	5.0%	14.8%	6.1%	0.0%	0.7%	3.0%	63.4K	-937.9K	-3.8K	0.00	60.65	4	0	806	108
2011-06-30	$25.16	$22.50	16.7%	4.8%	14.8%	5.0%	29.3%	0.3%	3.4%	63.5K	-954.9K	-3.8K	0.00	62.61	30	0	810	108