OGE Options History — November 2011

In November 2011, OGE traded between $24.66 and $26.49. ATM implied volatility averaged 22.0%, placing in the 11.8% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded below realized volatility by 5.3% (HV 20d: 27.3%). 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 14 of 21 days. Put/call ratio averaged 1.73.

Notable Days

2011-11-08: Highest Volume — 146 contracts
2011-11-08: Largest IV spike — 73.4% change
2011-11-08: Highest IV Rank — 23.0%
2011-11-30: Largest Expected Move — 7.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$25.69	$24.66	$26.49	$25.07	$26.48
Max Pain	$22.86	$22.50	$25.00	$25.00	$22.50
ATM IV	22.0%	15.2%	30.7%	23.3%	25.2%
Expected Move	6.0%	4.3%	7.2%	6.7%	7.2%
HV 20d	27.3%	25.0%	28.8%	26.5%	28.1%
HV 60d	27.2%	25.6%	31.7%	31.7%	26.9%
IV Rank	11.8%	3.0%	23.0%	13.5%	15.9%
IV Percentile	67.5%	2.8%	91.3%	81.7%	88.5%
Term Structure	1.4%	-1.9%	6.9%	-1.3%	6.9%
VWIV	20.8%	13.8%	29.2%	29.2%	13.8%
Skew 25d	5.0%	-1.4%	16.4%	3.7%	4.4%
Skew 10d	7.2%	-14.3%	35.8%	5.6%	-14.3%
Call IV 25d	17.3%	10.9%	23.8%	18.2%	12.9%
Put IV 25d	22.3%	17.3%	31.4%	21.9%	17.3%
Bid-Ask Spread %	64.17	49.16	130.04	64.35	130.04
Gamma HHI	0.58	0.44	0.80	0.71	0.65
Net GEX	385.1K	120.7K	854.2K	525.6K	164.2K
Net DEX	-4.5M	-7.1M	-833.1K	-3.9M	-2.0M
Net VEX	-9.5K	-12.3K	-7.0K	-12.3K	-8.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.73	0.00	17.25	0.00	0.00
Total Volume	20.476	0	146	0	10
Total OI	3,626.095	2,050	4,476	4,294	2,074

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
2011-11-01	$25.07	$25.00	23.3%	6.7%	26.5%	13.5%	0.0%	3.7%	-1.3%	525.6K	-3.9M	-12.3K	0.00	64.35	0	0	4,022	272
2011-11-02	$25.59	$25.00	20.2%	5.8%	27.1%	9.5%	0.0%	8.8%	4.0%	531.8K	-5.2M	-11.9K	0.00	54.78	16	0	4,022	272
2011-11-03	$26.19	$25.00	21.5%	6.2%	27.3%	11.2%	0.0%	13.3%	-1.9%	456.8K	-6.6M	-11.6K	0.00	63.38	0	0	4,038	272
2011-11-04	$26.33	$22.50	26.2%	4.3%	26.8%	17.3%	0.0%	5.0%	1.7%	435.0K	-6.9M	-10.9K	0.00	56.91	0	0	4,038	272
2011-11-07	$26.23	$22.50	17.7%	5.4%	25.8%	6.3%	0.0%	5.7%	5.3%	440.6K	-6.9M	-10.1K	0.00	55.22	20	0	4,038	272
2011-11-08	$26.49	$22.50	30.7%	4.4%	25.0%	23.0%	0.0%	5.1%	2.3%	419.4K	-7.1M	-11.0K	17.25	49.16	8	138	4,058	272
2011-11-09	$25.64	$22.50	22.7%	6.6%	28.2%	12.6%	29.2%	6.1%	-0.0%	556.6K	-5.5M	-11.8K	0.00	60.01	0	22	4,066	410
2011-11-10	$25.82	$22.50	22.1%	6.3%	28.0%	12.0%	17.9%	3.4%	0.7%	539.3K	-6.1M	-10.8K	0.00	63.20	0	20	4,066	410
2011-11-11	$26.39	$22.50	15.2%	4.4%	27.2%	3.0%	0.0%	5.3%	3.4%	398.5K	-7.1M	-10.4K	0.00	64.12	0	0	4,066	398
2011-11-14	$26.02	$22.50	22.2%	6.4%	27.8%	12.0%	0.0%	5.7%	0.9%	440.9K	-6.6M	-9.9K	0.00	63.61	0	0	4,066	398
2011-11-15	$26.07	$22.50	19.4%	5.6%	27.4%	8.5%	0.0%	5.7%	5.8%	416.8K	-6.8M	-9.5K	0.00	62.28	12	0	4,066	398
2011-11-16	$25.72	$22.50	22.2%	6.4%	28.0%	12.1%	0.0%	3.0%	0.5%	566.2K	-6.2M	-9.0K	0.00	68.87	0	0	4,078	398
2011-11-17	$25.43	$22.50	22.7%	6.5%	28.1%	12.7%	0.0%	5.3%	-0.2%	854.2K	-5.5M	-9.1K	0.00	62.94	0	0	4,078	398
2011-11-18	$25.68	$22.50	22.1%	6.3%	27.7%	11.9%	0.0%	2.3%	0.6%	519.3K	-6.4M	-8.7K	0.00	65.49	0	0	4,078	398
2011-11-21	$25.28	$22.50	22.1%	6.3%	28.2%	12.0%	0.0%	-0.8%	-0.1%	139.4K	-1.2M	-7.8K	0.00	65.92	22	0	1,720	330
2011-11-22	$25.20	$22.50	21.7%	6.2%	27.8%	11.4%	0.0%	-1.4%	0.3%	140.4K	-1.2M	-7.8K	0.00	63.06	4	0	1,742	330
2011-11-23	$24.66	$22.50	22.2%	6.4%	28.8%	12.1%	22.3%	2.6%	-0.8%	120.7K	-836.6K	-7.0K	0.00	52.52	140	0	1,746	330
2011-11-25	$24.68	$22.50	21.7%	6.2%	26.0%	11.4%	0.0%	1.9%	-0.2%	121.0K	-833.1K	-7.1K	0.00	64.06	10	0	1,762	330
2011-11-28	$25.02	$22.50	20.5%	5.9%	26.2%	9.9%	13.8%	2.7%	0.7%	142.4K	-1.0M	-7.4K	0.00	64.53	8	0	1,752	330
2011-11-29	$25.42	$22.50	19.7%	5.6%	26.8%	8.8%	0.0%	16.4%	1.7%	157.9K	-1.3M	-7.7K	0.00	53.19	0	0	1,752	330
2011-11-30	$26.48	$22.50	25.2%	7.2%	28.1%	15.9%	0.0%	4.4%	6.9%	164.2K	-2.0M	-8.6K	0.00	130.04	10	0	1,744	330