OGE Options History — February 2012 In February 2012, OGE traded between $26.02 and $26.88. ATM implied volatility averaged 36.9%, placing in the 44.2% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 22.6% (HV 20d: 14.2%). 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 11 of 20 days. Put/call ratio averaged 0.00.
Notable Days 2012-02-23 : Highest Volume — 100 contracts2012-02-28 : Largest IV spike — 119.4% change2012-02-06 : Highest IV Rank — 88.6%2012-02-29 : Largest Expected Move — 15.9%Monthly Statistics Metric Avg Min Max Open Close Price $26.45 $26.02 $26.88 $26.88 $26.24 Max Pain $25.25 $25.00 $27.50 $27.50 $25.00 ATM IV 36.9% 10.4% 63.3% 53.2% 55.6% Expected Move 9.1% 3.0% 15.9% 15.3% 15.9% HV 20d 14.2% 12.8% 16.9% 13.1% 15.6% HV 60d 19.4% 17.0% 21.2% 21.1% 17.0% IV Rank 44.2% 0.0% 88.6% 70.9% 76.1% IV Percentile 78.2% 0.0% 99.2% 97.6% 97.6% Term Structure -3.8% -54.4% 27.2% -47.6% -14.7% VWIV 12.6% 9.8% 17.6% 10.3% 9.8% Skew 25d 27.1% 0.7% 47.2% 0.7% 47.2% Skew 10d 21.8% 5.9% 50.3% 7.3% 18.5% Call IV 25d 27.9% 10.3% 77.9% 74.8% 24.3% Put IV 25d 55.0% 21.2% 79.5% 75.4% 71.6% Bid-Ask Spread % 128.01 120.69 133.09 132.05 128.63 Gamma HHI 0.87 0.81 0.93 0.91 0.88 Net GEX 180.0K 131.9K 284.0K 284.0K 157.0K Net DEX -1.3M -1.8M -667.2K -1.4M -1.2M Net VEX -6.1K -7.3K -4.4K -6.8K -5.1K 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 9.8 0 100 0 0 Total OI 1,925.4 1,874 1,950 1,898 1,914
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 2012-02-01 $26.88 $27.50 53.2% 15.3% 13.1% 70.9% 0.0% 0.7% -47.6% 284.0K -1.4M -6.8K 0.00 132.05 0 0 1,700 198 2012-02-02 $26.59 $27.50 54.8% 15.7% 13.3% 73.7% 0.0% 1.6% -54.4% 154.2K -1.6M -7.3K 0.00 133.09 20 0 1,700 198 2012-02-03 $26.61 $25.00 56.6% 5.6% 13.3% 76.9% 0.0% 14.8% 11.3% 155.5K -1.6M -7.3K 0.00 129.29 0 0 1,720 198 2012-02-06 $26.64 $25.00 63.3% 9.9% 13.0% 88.6% 0.0% 30.0% -17.0% 131.9K -1.8M -7.3K 0.00 126.38 28 0 1,720 198 2012-02-07 $26.77 $25.00 42.4% 6.3% 12.8% 52.0% 0.0% 30.5% 9.5% 270.0K -1.4M -6.6K 0.00 124.99 0 0 1,748 198 2012-02-08 $26.62 $25.00 34.4% 5.7% 12.8% 37.9% 0.0% 37.3% 12.5% 171.4K -1.6M -7.0K 0.00 126.58 0 0 1,748 198 2012-02-09 $26.61 $25.00 10.4% 3.0% 12.8% 0.0% 10.3% 31.6% 13.3% 220.7K -1.4M -6.5K 0.00 126.07 4 0 1,748 198 2012-02-10 $26.42 $25.00 17.0% 4.9% 12.9% 11.1% 0.0% 27.3% 1.3% 175.0K -1.5M -6.6K 0.00 126.44 0 0 1,752 198 2012-02-13 $26.45 $25.00 24.3% 7.0% 12.9% 23.5% 0.0% 29.4% 5.8% 208.2K -1.2M -6.0K 0.00 120.69 0 0 1,752 198 2012-02-14 $26.18 $25.00 41.9% 12.0% 13.2% 53.1% 0.0% 29.9% -12.2% 147.3K -1.3M -6.2K 0.00 129.31 0 0 1,752 198 2012-02-15 $26.24 $25.00 40.7% 11.7% 13.1% 51.1% 0.0% 30.3% -8.5% 153.7K -1.3M -6.1K 0.00 129.60 0 0 1,752 198 2012-02-16 $26.68 $25.00 21.3% 6.1% 14.8% 18.3% 0.0% 21.8% 14.8% 174.2K -1.6M -6.4K 0.00 129.28 0 0 1,752 198 2012-02-17 $26.48 $25.00 24.3% 7.0% 14.9% 23.5% 0.0% 32.9% 8.4% 222.5K -1.0M -5.2K 0.00 124.12 0 0 1,752 198 2012-02-21 $26.06 $25.00 45.8% 13.1% 15.6% 59.6% 17.6% 33.0% -9.9% 165.8K -667.2K -4.4K 0.00 122.95 20 0 1,676 198 2012-02-22 $26.02 $25.00 27.0% 7.7% 15.6% 28.0% 0.0% 10.3% -11.8% 161.4K -943.6K -5.0K 0.00 127.62 0 20 1,696 198 2012-02-23 $26.27 $25.00 21.8% 6.2% 15.3% 19.2% 9.8% 37.8% 27.2% 156.5K -1.3M -5.7K 0.00 132.06 100 0 1,696 218 2012-02-24 $26.73 $25.00 24.3% 7.0% 16.6% 23.5% 0.0% 27.0% 5.0% 181.5K -1.6M -5.9K 0.00 129.69 0 0 1,696 218 2012-02-27 $26.43 $25.00 24.5% 7.0% 16.9% 23.8% 0.0% 37.5% 6.3% 168.5K -1.4M -5.4K 0.00 130.35 4 0 1,696 218 2012-02-28 $26.14 $25.00 53.7% 15.4% 15.7% 73.0% 0.0% 32.1% -14.6% 139.8K -1.3M -5.2K 0.00 130.92 0 0 1,696 218 2012-02-29 $26.24 $25.00 55.6% 15.9% 15.6% 76.1% 0.0% 47.2% -14.7% 157.0K -1.2M -5.1K 0.00 128.63 0 0 1,696 218
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