OGE Options History — December 2011

In December 2011, OGE traded between $25.93 and $28.41. ATM implied volatility averaged 24.0%, placing in the 23.3% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded below realized volatility by 0.3% (HV 20d: 24.3%). 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 16 of 21 days. Put/call ratio averaged 0.03.

Notable Days

2011-12-01: Highest Volume — 164 contracts
2011-12-16: Largest IV spike — 118.6% change
2011-12-13: Highest IV Rank — 92.7%
2011-12-16: Largest Expected Move — 10.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$27.02	$25.93	$28.41	$26.25	$28.36
Max Pain	$24.72	$22.50	$25.00	$22.50	$25.00
ATM IV	24.0%	15.8%	51.7%	25.1%	16.9%
Expected Move	5.4%	4.3%	10.4%	7.2%	4.8%
HV 20d	24.3%	20.5%	27.6%	27.6%	20.5%
HV 60d	25.5%	24.6%	26.3%	26.3%	24.9%
IV Rank	23.3%	5.5%	92.7%	15.8%	9.6%
IV Percentile	48.5%	6.7%	99.6%	88.1%	17.9%
Term Structure	1.2%	-15.5%	8.5%	8.5%	4.0%
VWIV	20.4%	16.7%	25.1%	20.6%	16.7%
Skew 25d	4.0%	-24.8%	13.4%	13.4%	10.2%
Skew 10d	6.7%	-35.0%	42.1%	8.6%	42.1%
Call IV 25d	17.5%	10.7%	51.9%	11.3%	11.0%
Put IV 25d	21.5%	15.7%	53.0%	24.7%	21.1%
Bid-Ask Spread %	71.81	51.92	128.06	62.81	116.56
Gamma HHI	0.77	0.52	0.97	0.61	0.91
Net GEX	167.3K	141.9K	180.5K	158.6K	177.5K
Net DEX	-2.3M	-3.0M	-1.5M	-1.9M	-2.9M
Net VEX	-8.8K	-9.6K	-8.1K	-8.6K	-9.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.03	0.00	0.39	0.11	0.39
Total Volume	45.714	0	164	164	78
Total OI	2,042.381	1,716	2,314	2,084	1,876

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
2011-12-01	$26.25	$22.50	25.1%	7.2%	27.6%	15.8%	20.6%	13.4%	8.5%	158.6K	-1.9M	-8.6K	0.11	62.81	148	16	1,754	330
2011-12-02	$26.22	$22.50	17.1%	4.9%	26.3%	5.5%	0.0%	7.0%	1.6%	161.0K	-1.8M	-8.3K	0.00	66.51	12	0	1,766	346
2011-12-05	$26.32	$0.00	28.7%	4.3%	26.3%	20.4%	0.0%	5.2%	2.7%	160.1K	-1.9M	-8.4K	0.00	57.91	8	0	1,778	346
2011-12-06	$26.32	$0.00	29.3%	4.3%	26.3%	21.1%	0.0%	5.8%	3.1%	163.5K	-1.9M	-8.5K	0.00	59.04	16	0	1,786	346
2011-12-07	$26.23	$0.00	20.6%	6.9%	26.0%	9.9%	25.1%	7.7%	-2.4%	163.8K	-1.9M	-8.2K	0.00	58.45	80	0	1,802	346
2011-12-08	$25.93	$25.00	18.2%	6.6%	23.6%	6.9%	0.0%	8.5%	-0.4%	167.4K	-1.8M	-8.1K	0.00	54.74	0	0	1,882	346
2011-12-09	$26.30	$25.00	34.2%	4.3%	23.9%	50.8%	0.0%	6.7%	3.9%	167.6K	-2.1M	-8.2K	0.00	59.25	30	0	1,882	346
2011-12-12	$26.27	$25.00	45.1%	4.9%	22.7%	76.9%	0.0%	2.6%	0.9%	160.5K	-2.1M	-8.3K	0.00	60.24	0	0	1,912	346
2011-12-13	$26.46	$25.00	51.7%	4.9%	22.2%	92.7%	0.0%	2.9%	1.7%	177.7K	-2.3M	-8.6K	0.00	61.94	6	0	1,912	346
2011-12-14	$26.15	$25.00	29.6%	6.4%	22.6%	40.1%	0.0%	3.2%	-0.5%	152.2K	-2.0M	-8.1K	0.00	61.21	78	0	1,918	346
2011-12-15	$26.56	$25.00	16.7%	4.8%	22.6%	9.1%	0.0%	3.2%	2.7%	175.5K	-2.2M	-8.4K	0.00	63.28	126	0	1,868	346
2011-12-16	$27.02	$25.00	36.4%	10.4%	22.7%	56.3%	0.0%	1.1%	-15.5%	155.4K	-2.7M	-9.3K	0.00	128.06	50	0	1,968	346
2011-12-19	$26.55	$25.00	15.8%	4.5%	23.7%	7.0%	0.0%	3.2%	1.9%	141.9K	-1.5M	-8.6K	0.00	51.92	44	0	1,540	176
2011-12-20	$27.65	$25.00	19.1%	5.5%	26.5%	15.0%	19.1%	0.8%	-0.2%	162.8K	-2.3M	-9.3K	0.00	61.33	154	0	1,584	176
2011-12-21	$28.01	$25.00	16.5%	4.7%	26.5%	8.8%	0.0%	3.6%	2.2%	180.5K	-2.7M	-9.5K	0.00	64.58	16	0	1,668	176
2011-12-22	$27.89	$25.00	16.7%	4.8%	24.7%	9.2%	0.0%	3.1%	2.0%	176.1K	-2.7M	-9.6K	0.00	64.90	16	0	1,684	176
2011-12-23	$28.05	$25.00	16.1%	4.6%	24.7%	7.8%	0.0%	-24.8%	2.3%	179.1K	-2.8M	-9.6K	0.00	119.19	4	0	1,700	176
2011-12-27	$28.36	$25.00	16.3%	4.7%	24.6%	8.3%	20.3%	9.6%	1.5%	178.8K	-3.0M	-9.2K	0.00	115.30	52	0	1,704	176
2011-12-28	$28.16	$25.00	17.2%	4.9%	24.7%	10.4%	16.7%	5.0%	2.3%	176.3K	-2.8M	-9.4K	0.00	53.03	12	0	1,676	176
2011-12-29	$28.41	$25.00	16.3%	4.7%	20.9%	8.2%	0.0%	5.5%	3.6%	176.1K	-3.0M	-9.2K	0.00	67.69	14	0	1,686	176
2011-12-30	$28.36	$25.00	16.9%	4.8%	20.5%	9.6%	0.0%	10.2%	4.0%	177.5K	-2.9M	-9.3K	0.39	116.56	56	22	1,700	176