OGE Options History — September 2011

In September 2011, OGE traded between $23.15 and $24.80. ATM implied volatility averaged 28.2%, placing in the 19.8% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded below realized volatility by 3.6% (HV 20d: 31.8%). 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 8 of 21 days. Put/call ratio averaged 0.03.

Notable Days

2011-09-28: Highest Volume — 148 contracts
2011-09-06: Largest IV spike — 67.0% change
2011-09-28: Highest IV Rank — 28.8%
2011-09-28: Largest Expected Move — 10.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$24.10	$23.15	$24.80	$24.80	$23.89
Max Pain	$22.62	$22.50	$25.00	$22.50	$22.50
ATM IV	28.2%	15.8%	35.2%	15.8%	23.8%
Expected Move	7.4%	4.5%	10.1%	4.5%	6.8%
HV 20d	31.8%	24.7%	53.5%	53.5%	28.3%
HV 60d	36.3%	35.0%	37.7%	35.0%	37.7%
IV Rank	19.8%	3.8%	28.8%	3.8%	14.1%
IV Percentile	85.1%	8.7%	95.2%	8.7%	85.3%
Term Structure	-0.8%	-4.0%	3.6%	3.6%	0.8%
VWIV	29.1%	28.6%	29.5%	28.6%	29.5%
Skew 25d	9.7%	-0.5%	20.0%	0.5%	9.3%
Skew 10d	11.3%	-30.3%	23.0%	1.0%	8.9%
Call IV 25d	21.2%	16.2%	25.9%	16.2%	25.6%
Put IV 25d	30.9%	16.7%	38.6%	16.7%	34.8%
Bid-Ask Spread %	69.57	54.62	110.95	63.65	59.50
Gamma HHI	0.54	0.47	0.66	0.55	0.49
Net GEX	104.6K	42.5K	243.7K	175.0K	68.7K
Net DEX	-819.3K	-1.3M	-344.4K	-1.2M	-738.7K
Net VEX	-6.4K	-7.8K	-4.5K	-7.8K	-6.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.03	0.00	0.25	0.00	0.00
Total Volume	21.619	0	148	0	20
Total OI	1,808.952	1,444	2,162	1,990	1,638

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
2011-09-01	$24.80	$22.50	15.8%	4.5%	53.5%	3.8%	0.0%	0.5%	3.6%	175.0K	-1.2M	-7.8K	0.00	63.65	0	0	1,850	140
2011-09-02	$24.20	$22.50	20.8%	6.0%	52.4%	10.3%	0.0%	-0.5%	2.1%	127.5K	-841.1K	-6.8K	0.00	73.10	0	0	1,850	140
2011-09-06	$23.90	$25.00	34.7%	5.4%	40.0%	28.2%	28.6%	9.8%	2.2%	98.8K	-700.5K	-6.1K	0.00	70.98	40	0	1,850	140
2011-09-07	$24.63	$22.50	32.1%	7.9%	35.9%	24.8%	29.5%	11.5%	-2.9%	133.2K	-1.3M	-7.7K	0.25	69.69	80	20	1,890	140
2011-09-08	$24.53	$22.50	30.8%	7.4%	35.9%	23.1%	0.0%	10.6%	-2.3%	137.8K	-1.2M	-7.4K	0.00	86.17	0	0	1,950	160
2011-09-09	$23.89	$22.50	29.2%	7.6%	32.5%	21.1%	0.0%	11.0%	-2.1%	104.3K	-885.8K	-7.1K	0.00	69.83	0	24	1,950	160
2011-09-12	$23.99	$22.50	35.0%	8.1%	32.5%	28.5%	0.0%	11.3%	-3.0%	106.5K	-942.4K	-7.0K	0.00	71.66	0	22	1,950	176
2011-09-13	$24.27	$22.50	34.6%	7.6%	30.7%	28.0%	0.0%	11.1%	-2.2%	132.6K	-965.4K	-6.9K	0.00	74.26	0	0	1,950	196
2011-09-14	$24.42	$22.50	31.4%	7.1%	30.7%	23.9%	0.0%	11.8%	-1.2%	155.8K	-985.4K	-6.8K	0.00	73.80	0	0	1,950	196
2011-09-15	$24.68	$22.50	23.8%	6.8%	30.5%	14.2%	0.0%	10.1%	-0.5%	214.7K	-1.2M	-7.3K	0.00	56.20	16	0	1,950	196
2011-09-16	$24.68	$22.50	22.9%	6.6%	28.1%	12.9%	0.0%	10.0%	-0.4%	243.7K	-967.2K	-6.8K	0.00	54.62	8	0	1,966	196
2011-09-19	$24.66	$22.50	23.0%	6.6%	26.7%	13.0%	0.0%	10.5%	0.6%	65.7K	-876.7K	-6.6K	0.00	57.54	0	2	1,296	148
2011-09-20	$24.58	$22.50	22.7%	6.5%	26.8%	12.8%	0.0%	9.5%	0.5%	65.2K	-828.8K	-6.5K	0.00	56.93	4	0	1,296	150
2011-09-21	$23.96	$22.50	20.4%	5.9%	24.7%	9.8%	0.0%	11.2%	0.8%	54.7K	-596.7K	-5.7K	0.00	55.61	12	0	1,300	150
2011-09-22	$23.15	$22.50	33.2%	9.5%	25.6%	26.2%	0.0%	10.4%	-2.8%	42.5K	-344.4K	-4.5K	0.00	67.75	0	0	1,312	150
2011-09-23	$23.46	$22.50	33.9%	9.7%	26.1%	27.2%	0.0%	10.7%	-3.0%	48.0K	-460.4K	-5.3K	0.00	64.74	0	0	1,312	150
2011-09-26	$23.73	$22.50	32.7%	9.4%	26.2%	25.6%	0.0%	9.2%	-1.6%	52.2K	-549.7K	-5.5K	0.00	56.43	58	0	1,312	150
2011-09-27	$23.85	$22.50	22.5%	6.4%	25.4%	12.4%	0.0%	8.9%	1.6%	58.8K	-610.4K	-5.8K	0.00	59.62	0	0	1,370	150
2011-09-28	$23.18	$22.50	35.2%	10.1%	26.8%	28.8%	0.0%	20.0%	-4.0%	47.8K	-409.3K	-4.9K	0.00	107.99	148	0	1,370	150
2011-09-29	$23.64	$22.50	33.1%	9.5%	28.0%	26.1%	0.0%	7.8%	-2.3%	63.8K	-620.9K	-5.7K	0.00	110.95	0	0	1,488	150
2011-09-30	$23.89	$22.50	23.8%	6.8%	28.3%	14.1%	0.0%	9.3%	0.8%	68.7K	-738.7K	-6.1K	0.00	59.50	0	20	1,488	150