OGE Options History — April 2012 In April 2012, OGE traded between $25.46 and $26.98. ATM implied volatility averaged 45.7%, placing in the 30.6% IV rank vs the trailing year. The 30-day expected move averaged 12.4%. IV traded above realized volatility by 32.3% (HV 20d: 13.4%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 0.00.
Notable Days 2012-04-09 : Highest Volume — 80 contracts2012-04-12 : Largest IV drop — 30.9% change2012-04-11 : Highest IV Rank — 39.1%2012-04-04 : Largest Expected Move — 15.0%Monthly Statistics Metric Avg Min Max Open Close Price $26.22 $25.46 $26.98 $26.75 $26.98 Max Pain $25.00 $25.00 $25.00 $25.00 $25.00 ATM IV 45.7% 38.5% 55.6% 50.2% 50.3% Expected Move 12.4% 10.4% 15.0% 14.4% 14.4% HV 20d 13.4% 9.8% 15.1% 10.7% 14.7% HV 60d 13.4% 12.5% 14.1% 12.7% 13.0% IV Rank 30.6% 24.2% 39.1% 34.4% 34.5% IV Percentile 86.7% 79.0% 94.4% 90.9% 89.3% Term Structure -14.1% -46.2% 17.3% -21.8% -46.2% Skew 25d 1.5% 1.0% 2.3% 1.5% 1.0% Skew 10d 5.8% 3.7% 7.8% 6.2% 7.6% Call IV 25d 61.9% 51.1% 75.8% 70.9% 70.5% Put IV 25d 63.4% 52.5% 78.2% 72.3% 71.5% Bid-Ask Spread % 129.80 128.89 130.95 129.31 129.57 Gamma HHI 0.44 0.35 0.57 0.49 0.40 Net GEX 30.2K 22.4K 38.7K 32.7K 33.8K Net DEX -409.8K -505.3K -226.2K -482.1K -412.8K Net VEX -3.1K -3.5K -2.8K -2.9K -2.9K 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 12.8 0 80 20 0 Total OI 809.8 746 862 782 746
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 2012-04-02 $26.75 $25.00 50.2% 14.4% 10.7% 34.4% 0.0% 1.5% -21.8% 32.7K -482.1K -2.9K 0.00 129.31 20 0 588 194 2012-04-03 $26.75 $25.00 51.6% 14.8% 9.8% 35.6% 0.0% 1.5% -43.1% 32.8K -505.3K -3.1K 0.00 129.10 0 0 608 194 2012-04-04 $26.48 $25.00 52.4% 15.0% 10.4% 36.3% 0.0% 1.8% -25.6% 31.4K -441.5K -3.0K 0.00 129.94 0 0 608 194 2012-04-05 $26.13 $25.00 41.3% 11.8% 11.5% 26.7% 0.0% 2.3% 17.3% 29.9K -411.0K -3.0K 0.00 130.95 20 0 608 194 2012-04-09 $25.96 $0.00 50.1% 10.4% 11.4% 34.3% 0.0% 1.4% -4.4% 38.7K -463.9K -2.8K 0.00 129.54 80 0 628 194 2012-04-10 $25.46 $0.00 53.4% 10.9% 13.0% 37.1% 0.0% 1.3% -8.2% 29.0K -336.0K -3.3K 0.00 128.96 0 0 668 194 2012-04-11 $25.59 $0.00 55.6% 11.0% 13.0% 39.1% 0.0% 1.3% -8.2% 29.9K -352.4K -3.2K 0.00 129.52 0 0 668 194 2012-04-12 $25.82 $0.00 38.5% 11.0% 13.5% 24.2% 0.0% 1.4% -7.8% 30.3K -460.8K -3.5K 0.00 128.89 20 0 668 194 2012-04-13 $25.65 $0.00 39.3% 11.3% 13.5% 24.9% 0.0% 1.4% -8.5% 30.3K -391.7K -3.3K 0.00 129.93 0 0 668 194 2012-04-16 $25.86 $0.00 40.6% 11.7% 13.9% 26.1% 0.0% 1.5% -9.5% 31.7K -441.3K -3.3K 0.00 129.66 0 0 668 194 2012-04-17 $26.18 $0.00 40.2% 11.5% 14.7% 25.8% 0.0% 1.5% -4.3% 33.5K -504.1K -3.3K 0.00 129.58 0 0 668 194 2012-04-18 $26.00 $0.00 41.3% 11.8% 14.8% 26.7% 0.0% 1.6% -8.3% 34.1K -389.8K -2.8K 0.00 130.69 0 0 668 194 2012-04-19 $25.95 $0.00 42.5% 12.2% 14.7% 27.7% 0.0% 1.6% -9.0% 33.3K -461.6K -3.2K 0.00 130.04 48 0 668 194 2012-04-20 $26.30 $0.00 41.8% 12.0% 15.1% 27.2% 0.0% 1.6% -14.6% 23.0K -486.5K -3.2K 0.00 130.01 68 0 620 194 2012-04-23 $26.09 $0.00 45.3% 13.0% 14.7% 30.2% 0.0% 1.8% -10.7% 22.4K -226.2K -2.8K 0.00 130.84 0 0 552 194 2012-04-24 $26.34 $0.00 43.3% 12.4% 14.7% 28.4% 0.0% 1.7% -17.0% 23.3K -315.7K -3.1K 0.00 130.40 0 0 552 194 2012-04-25 $26.63 $0.00 44.8% 12.8% 15.1% 29.7% 0.0% 1.4% -16.9% 25.9K -363.2K -3.1K 0.00 129.70 0 0 552 194 2012-04-26 $26.68 $0.00 45.7% 13.1% 14.8% 30.5% 0.0% 1.3% -17.5% 27.1K -367.0K -3.1K 0.00 129.76 0 0 552 194 2012-04-27 $26.84 $0.00 46.8% 13.4% 14.7% 31.5% 0.0% 1.0% -17.9% 31.7K -383.6K -3.0K 0.00 129.50 0 0 552 194 2012-04-30 $26.98 $0.00 50.3% 14.4% 14.7% 34.5% 0.0% 1.0% -46.2% 33.8K -412.8K -2.9K 0.00 129.57 0 0 552 194
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