OGE Options History — January 2012 In January 2012, OGE traded between $26.29 and $27.98. ATM implied volatility averaged 43.3%, placing in the 57.4% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded above realized volatility by 26.0% (HV 20d: 17.3%). Max pain ranged from $25.00 to $27.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 0.00.
Notable Days 2012-01-04 : Highest Volume — 32 contracts2012-01-05 : Largest IV spike — 234.0% change2012-01-06 : Highest IV Rank — 100.0%2012-01-05 : Largest Expected Move — 15.5%Monthly Statistics Metric Avg Min Max Open Close Price $27.54 $26.29 $27.98 $27.84 $26.43 Max Pain $27.13 $25.00 $27.50 $25.00 $27.50 ATM IV 43.3% 16.2% 69.8% 18.2% 51.6% Expected Move 10.7% 4.6% 15.5% 5.2% 14.8% HV 20d 17.3% 10.8% 22.4% 22.0% 12.5% HV 60d 23.4% 21.3% 25.0% 25.0% 21.3% IV Rank 57.4% 8.0% 100.0% 12.9% 68.1% IV Percentile 88.5% 11.9% 100.0% 35.3% 97.2% Term Structure -15.4% -53.0% 17.7% 1.2% -53.0% VWIV 39.5% 27.0% 58.5% 27.0% 34.8% Skew 25d 17.5% 1.0% 47.8% 2.1% 38.0% Skew 10d 14.7% 2.8% 62.6% 2.8% 35.7% Call IV 25d 36.7% 11.5% 72.4% 15.5% 37.7% Put IV 25d 54.3% 17.5% 76.0% 17.6% 75.7% Bid-Ask Spread % 122.08 55.54 133.39 56.62 132.92 Gamma HHI 0.82 0.72 0.90 0.88 0.88 Net GEX 158.6K 100.8K 307.2K 192.8K 155.8K Net DEX -2.3M -2.6M -1.3M -2.6M -1.4M Net VEX -8.7K -9.6K -6.8K -9.5K -7.2K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.00 0.00 0.00 0.00 0.00 Total Volume 4.9 0 32 4 0 Total OI 1,931.7 1,898 1,958 1,954 1,898
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 2012-01-03 $27.84 $25.00 18.2% 5.2% 22.0% 12.9% 0.0% 2.1% 1.2% 192.8K -2.6M -9.5K 0.00 56.62 4 0 1,756 198 2012-01-04 $27.96 $25.00 16.2% 4.6% 22.0% 8.0% 27.0% 3.5% 4.3% 189.8K -2.6M -9.5K 0.00 55.54 32 0 1,760 198 2012-01-05 $27.98 $25.00 54.1% 15.5% 22.0% 98.5% 58.5% 27.3% -36.0% 147.0K -2.6M -9.6K 0.00 129.69 32 0 1,752 198 2012-01-06 $27.68 $27.50 56.0% 9.5% 22.4% 100.0% 0.0% 1.1% -7.1% 144.6K -2.5M -9.6K 0.00 130.54 0 0 1,740 198 2012-01-09 $27.88 $27.50 62.3% 10.7% 21.8% 100.0% 0.0% 1.0% -14.0% 146.7K -2.6M -9.3K 0.00 126.63 0 0 1,740 198 2012-01-10 $27.95 $27.50 65.0% 10.8% 21.5% 100.0% 37.5% 1.1% -13.5% 135.6K -2.6M -9.3K 0.00 126.42 18 0 1,740 198 2012-01-11 $27.86 $27.50 69.8% 8.1% 21.5% 100.0% 0.0% 30.5% 5.7% 100.8K -2.5M -9.4K 0.00 122.48 0 0 1,754 198 2012-01-12 $27.75 $27.50 39.7% 11.4% 21.6% 47.1% 0.0% 25.6% -16.4% 151.7K -2.5M -9.2K 0.00 125.99 4 0 1,754 198 2012-01-13 $27.68 $27.50 36.2% 10.4% 21.0% 41.0% 34.8% 36.0% -8.7% 136.9K -2.5M -9.2K 0.00 131.43 4 0 1,754 198 2012-01-17 $27.68 $27.50 38.4% 11.0% 20.5% 44.9% 0.0% 1.2% -10.0% 139.3K -2.5M -8.9K 0.00 127.33 2 0 1,754 198 2012-01-18 $27.77 $27.50 38.9% 11.2% 19.7% 45.8% 0.0% 1.2% -10.1% 138.2K -2.5M -8.8K 0.00 131.27 0 0 1,754 198 2012-01-19 $27.75 $27.50 39.6% 11.3% 18.5% 47.0% 0.0% 1.2% -10.6% 139.0K -2.5M -8.8K 0.00 130.87 0 0 1,754 198 2012-01-20 $27.75 $27.50 40.2% 11.5% 11.8% 48.1% 0.0% 1.2% -11.0% 164.6K -2.5M -8.7K 0.00 131.55 0 0 1,754 198 2012-01-23 $27.79 $27.50 27.5% 7.9% 10.8% 25.8% 0.0% 44.6% 17.7% 138.2K -2.4M -8.3K 0.00 130.53 0 0 1,702 198 2012-01-24 $27.65 $27.50 43.5% 12.5% 10.8% 53.8% 0.0% 1.3% -13.2% 138.1K -2.4M -8.2K 0.00 131.55 0 0 1,702 198 2012-01-25 $27.20 $27.50 44.7% 12.8% 12.0% 55.9% 0.0% 46.6% -35.4% 307.2K -1.9M -7.8K 0.00 127.93 0 0 1,702 198 2012-01-26 $27.03 $27.50 27.2% 7.8% 11.2% 25.2% 0.0% 47.8% -3.0% 172.8K -1.9M -8.0K 0.00 127.92 2 0 1,702 198 2012-01-27 $26.84 $27.50 46.8% 13.4% 11.2% 59.6% 0.0% 37.7% -43.0% 160.4K -1.8M -7.8K 0.00 131.00 0 0 1,700 198 2012-01-30 $26.29 $27.50 50.1% 14.4% 12.1% 65.5% 0.0% 1.9% -52.6% 172.0K -1.3M -6.8K 0.00 133.39 0 0 1,700 198 2012-01-31 $26.43 $27.50 51.6% 14.8% 12.5% 68.1% 0.0% 38.0% -53.0% 155.8K -1.4M -7.2K 0.00 132.92 0 0 1,700 198
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