OGE Options History — October 2011

In October 2011, OGE traded between $23.57 and $26.58. ATM implied volatility averaged 22.6%, placing in the 12.6% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded below realized volatility by 2.6% (HV 20d: 25.2%). Max pain ranged from $20.00 to $25.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.91.

Notable Days

2011-10-12: Highest Volume — 2,080 contracts
2011-10-05: Largest IV drop — 28.8% change
2011-10-03: Highest IV Rank — 30.8%
2011-10-03: Largest Expected Move — 10.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$25.02	$23.57	$26.58	$23.61	$25.87
Max Pain	$21.43	$20.00	$25.00	$22.50	$25.00
ATM IV	22.6%	17.1%	36.7%	36.7%	19.5%
Expected Move	6.7%	4.9%	10.5%	10.5%	5.6%
HV 20d	25.2%	20.7%	28.6%	27.4%	23.3%
HV 60d	38.1%	36.3%	38.8%	37.7%	36.3%
IV Rank	12.6%	5.4%	30.8%	30.8%	8.6%
IV Percentile	69.5%	18.7%	95.2%	95.2%	54.0%
Term Structure	-0.4%	-3.7%	4.4%	-2.9%	4.4%
VWIV	20.6%	9.0%	34.5%	34.5%	9.9%
Skew 25d	8.9%	3.0%	11.6%	10.1%	10.1%
Skew 10d	12.8%	1.6%	29.0%	20.9%	10.5%
Call IV 25d	17.7%	10.4%	29.2%	29.2%	11.6%
Put IV 25d	26.5%	20.4%	39.3%	39.3%	21.7%
Bid-Ask Spread %	64.03	44.49	114.36	55.18	56.83
Gamma HHI	0.58	0.42	0.72	0.48	0.61
Net GEX	291.6K	60.8K	497.9K	62.6K	497.9K
Net DEX	-3.5M	-7.1M	-572.9K	-619.6K	-5.9M
Net VEX	-10.3K	-13.8K	-5.7K	-5.7K	-12.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.91	0.00	12.50	0.00	0.00
Total Volume	152.381	0	2,080	38	22
Total OI	3,117.429	1,658	4,272	1,658	4,272

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
2011-10-03	$23.61	$22.50	36.7%	10.5%	27.4%	30.8%	0.0%	10.1%	-2.9%	62.6K	-619.6K	-5.7K	0.00	55.18	0	38	1,488	170
2011-10-04	$23.57	$22.50	35.1%	10.1%	27.0%	28.7%	34.5%	9.7%	-1.6%	60.8K	-572.9K	-5.7K	0.00	55.95	80	0	1,488	208
2011-10-05	$23.82	$22.50	25.0%	7.2%	24.9%	15.7%	0.0%	4.6%	-1.6%	69.2K	-712.4K	-6.1K	0.00	63.25	0	0	1,488	208
2011-10-06	$24.34	$22.50	22.3%	6.4%	26.2%	12.2%	0.0%	8.5%	2.6%	78.1K	-933.3K	-6.6K	0.00	52.84	0	0	1,488	208
2011-10-07	$24.09	$20.00	23.6%	7.4%	24.7%	13.9%	0.0%	9.8%	-1.0%	73.1K	-868.7K	-6.5K	0.18	71.53	190	34	1,488	208
2011-10-10	$24.69	$20.00	20.6%	7.4%	26.1%	10.0%	0.0%	11.4%	-1.4%	91.1K	-1.2M	-7.3K	0.00	66.76	42	0	1,590	242
2011-10-11	$24.32	$20.00	23.4%	7.4%	26.4%	13.6%	0.0%	10.4%	-1.2%	86.2K	-1.0M	-7.0K	0.00	66.79	0	0	1,604	242
2011-10-12	$24.37	$20.00	17.8%	7.3%	26.4%	6.4%	25.4%	7.7%	-2.2%	90.0K	-995.3K	-6.8K	0.00	54.02	2,080	0	1,604	242
2011-10-13	$24.22	$20.00	22.3%	6.4%	26.1%	12.1%	0.0%	8.1%	-0.6%	341.4K	-2.5M	-12.2K	0.00	96.98	0	0	3,684	242
2011-10-14	$24.95	$20.00	20.9%	6.0%	28.3%	10.4%	0.0%	9.2%	-0.5%	422.2K	-3.8M	-13.8K	0.00	46.61	40	0	3,684	242
2011-10-17	$24.96	$20.00	23.1%	6.6%	28.3%	13.2%	23.1%	10.5%	-1.9%	406.1K	-3.9M	-13.4K	0.00	46.05	68	0	3,684	242
2011-10-18	$25.32	$20.00	23.3%	6.7%	28.6%	13.5%	23.3%	11.6%	-1.8%	411.3K	-4.7M	-13.5K	0.00	63.59	60	0	3,690	242
2011-10-19	$25.36	$20.00	21.6%	6.2%	26.8%	11.3%	0.0%	5.7%	-0.5%	454.8K	-4.6M	-13.6K	0.00	73.16	8	0	3,690	242
2011-10-20	$25.60	$20.00	21.9%	6.3%	23.0%	11.7%	0.0%	7.0%	-0.9%	440.5K	-5.0M	-13.6K	0.00	73.25	0	0	3,682	242
2011-10-21	$26.00	$20.00	20.6%	5.9%	23.1%	9.9%	0.0%	10.0%	1.4%	430.2K	-5.9M	-13.0K	0.00	66.35	0	0	3,682	242
2011-10-24	$26.07	$20.00	18.6%	5.3%	23.0%	7.4%	0.0%	10.8%	4.4%	422.5K	-5.9M	-12.1K	0.00	67.71	4	0	3,610	222
2011-10-25	$25.73	$20.00	20.6%	5.9%	23.8%	10.0%	21.1%	8.5%	0.5%	467.2K	-5.3M	-12.4K	12.50	114.36	4	50	3,614	222
2011-10-26	$25.76	$25.00	21.3%	6.1%	20.7%	10.9%	0.0%	8.5%	-0.2%	456.2K	-5.3M	-12.3K	0.00	50.29	20	0	3,618	272
2011-10-27	$26.58	$25.00	17.1%	4.9%	22.1%	5.4%	18.1%	3.0%	-3.7%	296.6K	-7.1M	-10.3K	0.00	44.49	438	0	3,638	272
2011-10-28	$26.12	$25.00	19.3%	5.5%	23.5%	8.3%	9.0%	11.2%	-0.7%	465.2K	-6.4M	-12.3K	0.00	58.56	22	0	3,998	272
2011-10-31	$25.87	$25.00	19.5%	5.6%	23.3%	8.6%	9.9%	10.1%	4.4%	497.9K	-5.9M	-12.2K	0.00	56.83	22	0	4,000	272