OGE Options History — July 2011

In July 2011, OGE traded between $24.84 and $26.04. ATM implied volatility averaged 20.8%, placing in the 10.3% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 6.4% (HV 20d: 14.4%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.91.

Notable Days

2011-07-27: Highest Volume — 404 contracts
2011-07-05: Largest IV spike — 145.0% change
2011-07-05: Highest IV Rank — 34.5%
2011-07-13: Largest Expected Move — 6.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$25.41	$24.84	$26.04	$25.52	$25.02
Max Pain	$24.86	$22.50	$25.00	$22.50	$25.00
ATM IV	20.8%	16.2%	39.6%	16.2%	20.9%
Expected Move	5.7%	4.6%	6.2%	4.6%	6.0%
HV 20d	14.4%	12.4%	16.2%	14.4%	16.2%
HV 60d	16.7%	15.4%	17.5%	17.5%	16.4%
IV Rank	10.3%	4.3%	34.5%	4.3%	10.3%
IV Percentile	62.4%	10.7%	93.3%	10.7%	76.2%
Term Structure	0.9%	-0.9%	5.0%	0.6%	-0.9%
VWIV	28.3%	20.5%	36.1%	36.1%	20.5%
Skew 25d	4.4%	-1.4%	21.2%	-1.4%	3.4%
Skew 10d	5.4%	0.4%	37.1%	2.5%	5.0%
Call IV 25d	15.1%	11.9%	18.6%	16.0%	16.3%
Put IV 25d	19.6%	14.6%	36.0%	14.6%	19.7%
Bid-Ask Spread %	64.17	52.64	70.56	64.28	65.57
Gamma HHI	0.59	0.46	0.65	0.65	0.46
Net GEX	82.1K	67.4K	135.4K	67.4K	135.4K
Net DEX	-1.0M	-1.3M	-707.2K	-1.0M	-1.3M
Net VEX	-4.3K	-8.9K	-3.6K	-3.8K	-8.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.91	0.00	10.00	0.00	0.06
Total Volume	59.6	0	404	80	6
Total OI	1,022.5	868	1,876	908	1,876

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
2011-07-01	$25.52	$22.50	16.2%	4.6%	14.4%	4.3%	36.1%	-1.4%	0.6%	67.4K	-1.0M	-3.8K	0.00	64.28	80	0	800	108
2011-07-05	$25.60	$0.00	39.6%	5.9%	13.4%	34.5%	0.0%	4.0%	0.1%	68.6K	-925.6K	-3.9K	0.00	65.78	10	0	760	108
2011-07-06	$25.71	$0.00	18.4%	5.9%	13.4%	7.2%	20.5%	0.8%	-0.1%	69.4K	-988.8K	-3.8K	0.00	62.88	16	0	764	108
2011-07-07	$25.81	$25.00	19.5%	6.0%	13.4%	8.6%	0.0%	1.7%	0.7%	68.9K	-1.1M	-3.9K	0.00	63.22	30	0	780	108
2011-07-08	$25.68	$25.00	19.9%	5.9%	13.6%	9.0%	0.0%	0.6%	0.2%	71.3K	-1.0M	-4.0K	0.00	62.03	0	0	790	108
2011-07-11	$25.25	$25.00	20.8%	5.9%	13.9%	10.2%	0.0%	4.2%	-0.4%	72.1K	-941.5K	-3.8K	0.00	64.18	0	0	790	108
2011-07-12	$25.17	$25.00	21.2%	5.8%	14.0%	10.7%	0.0%	3.2%	-0.2%	74.3K	-870.1K	-3.8K	0.00	67.40	20	0	790	108
2011-07-13	$25.09	$25.00	23.3%	6.2%	13.8%	13.5%	0.0%	3.0%	0.1%	69.5K	-830.6K	-3.8K	0.00	69.91	0	0	790	108
2011-07-14	$24.94	$25.00	21.4%	6.1%	12.6%	11.1%	0.0%	2.0%	-0.9%	73.3K	-800.5K	-3.7K	0.00	69.01	0	0	790	108
2011-07-15	$25.16	$25.00	20.9%	6.0%	12.4%	10.4%	0.0%	3.3%	0.5%	72.1K	-839.7K	-3.7K	10.00	66.64	2	20	790	108
2011-07-18	$24.84	$25.00	20.3%	5.8%	13.4%	9.6%	0.0%	0.5%	0.7%	71.9K	-707.2K	-3.7K	0.00	68.51	0	0	792	128
2011-07-19	$25.26	$25.00	19.3%	5.5%	14.1%	8.3%	0.0%	21.2%	1.9%	74.9K	-866.2K	-3.7K	0.00	69.61	0	0	792	128
2011-07-20	$25.50	$25.00	20.6%	5.9%	14.3%	9.9%	0.0%	5.3%	0.3%	77.0K	-956.8K	-3.7K	0.00	70.56	4	0	792	128
2011-07-21	$26.04	$25.00	18.5%	5.3%	15.7%	7.3%	0.0%	8.1%	3.6%	76.0K	-1.2M	-3.6K	0.00	56.13	50	0	796	128
2011-07-22	$25.83	$25.00	17.6%	5.1%	15.5%	6.2%	0.0%	6.8%	3.8%	82.6K	-1.2M	-3.9K	0.00	57.48	200	0	846	128
2011-07-25	$25.75	$25.00	17.8%	5.1%	15.6%	6.3%	0.0%	7.7%	5.0%	100.3K	-1.2M	-4.4K	0.00	61.87	0	0	1,024	128
2011-07-26	$25.54	$25.00	19.9%	5.7%	16.1%	9.1%	0.0%	5.5%	1.2%	99.4K	-1.1M	-4.3K	0.00	64.05	0	0	1,024	128
2011-07-27	$25.30	$25.00	20.9%	6.0%	16.1%	10.3%	0.0%	3.9%	0.3%	96.8K	-1.0M	-4.3K	0.00	52.64	404	0	1,024	128
2011-07-28	$25.27	$25.00	19.7%	5.6%	15.7%	8.8%	0.0%	5.0%	1.3%	120.3K	-1.3M	-6.8K	0.06	61.67	330	20	1,408	128
2011-07-29	$25.02	$25.00	20.9%	6.0%	16.2%	10.3%	0.0%	3.4%	-0.9%	135.4K	-1.3M	-8.9K	0.00	65.57	0	6	1,728	148