OGE Options History — September 2012 In September 2012, OGE traded between $26.92 and $27.97. ATM implied volatility averaged 37.5%, placing in the 23.4% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded above realized volatility by 26.2% (HV 20d: 11.3%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 0.00.
Notable Days 2012-09-13 : Highest Volume — 34 contracts2012-09-10 : Largest IV spike — 11.7% change2012-09-28 : Highest IV Rank — 31.1%2012-09-28 : Largest Expected Move — 13.3%Monthly Statistics Metric Avg Min Max Open Close Price $27.47 $26.92 $27.97 $27.24 $27.73 Max Pain $24.61 $22.50 $25.00 $22.50 $25.00 ATM IV 37.5% 27.8% 46.4% 30.0% 46.4% Expected Move 10.8% 8.0% 13.3% 8.6% 13.3% HV 20d 11.3% 8.0% 12.6% 8.0% 11.9% HV 60d 14.7% 13.6% 15.9% 15.1% 13.6% IV Rank 23.4% 15.0% 31.1% 17.0% 31.1% IV Percentile 58.0% 42.1% 75.0% 44.4% 75.0% Term Structure -13.3% -33.5% 27.2% 23.9% -15.5% VWIV 31.2% 31.2% 31.2% 31.2% 31.2% Skew 25d 8.2% 0.5% 48.6% 43.9% 1.4% Skew 10d 13.0% 4.6% 51.4% 47.3% 7.8% Call IV 25d 49.8% 20.2% 64.2% 23.4% 64.2% Put IV 25d 58.0% 47.7% 70.9% 67.3% 65.6% Bid-Ask Spread % 128.34 127.05 129.40 127.78 128.42 Gamma HHI 0.84 0.53 0.99 0.94 0.53 Net GEX 253.1K 7.5K 1.2M 209.5K 7.5K Net DEX -1.4M -2.7M -172.0K -1.8M -172.0K Net VEX -1.9K -3.5K -347 -3.5K -347 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 6.105 0 34 0 0 Total OI 1,148.737 94 1,546 1,500 94
Daily Data (19 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 2012-09-04 $27.24 $22.50 30.0% 8.6% 8.0% 17.0% 0.0% 43.9% 23.9% 209.5K -1.8M -3.5K 0.00 127.78 0 0 1,480 20 2012-09-05 $26.92 $22.50 27.8% 8.0% 8.7% 15.0% 0.0% 48.6% 5.8% 207.6K -1.5M -3.2K 0.00 129.40 0 0 1,480 20 2012-09-06 $27.39 $22.50 30.5% 8.8% 10.9% 17.4% 0.0% 47.8% 27.2% 225.1K -1.9M -3.3K 0.00 128.35 20 0 1,480 20 2012-09-07 $27.25 $25.00 30.6% 9.5% 10.9% 17.5% 0.0% 0.5% -13.1% 227.6K -1.8M -3.2K 0.00 128.10 0 0 1,500 20 2012-09-10 $27.23 $25.00 34.2% 9.9% 10.7% 20.6% 0.0% 0.5% -27.9% 232.4K -1.8M -2.9K 0.00 129.01 0 0 1,500 20 2012-09-11 $27.16 $25.00 34.9% 10.0% 10.5% 21.2% 0.0% 0.5% -14.8% 235.4K -1.7M -2.8K 0.00 128.77 2 0 1,500 20 2012-09-12 $27.00 $25.00 35.5% 10.2% 10.7% 21.7% 0.0% 0.9% -15.6% 230.9K -1.5M -2.6K 0.00 128.25 20 0 1,500 20 2012-09-13 $27.38 $25.00 35.8% 10.3% 11.9% 22.0% 31.2% 0.7% -14.9% 240.5K -1.9M -2.6K 0.00 127.59 34 0 1,500 20 2012-09-14 $27.64 $25.00 36.2% 10.4% 12.4% 22.3% 0.0% 1.0% -14.5% 238.3K -2.2M -2.6K 0.00 127.05 32 0 1,522 20 2012-09-17 $27.47 $25.00 37.9% 10.9% 12.6% 23.8% 0.0% 0.8% -32.0% 1.2M -1.9M -2.1K 0.00 128.32 0 0 1,522 20 2012-09-18 $27.34 $25.00 38.6% 11.1% 12.5% 24.3% 0.0% 0.7% -33.1% 254.7K -1.9M -1.9K 0.00 128.97 0 0 1,522 20 2012-09-19 $27.40 $25.00 39.2% 11.2% 12.5% 24.9% 0.0% 0.7% -33.5% 258.0K -2.0M -1.7K 0.00 128.53 0 0 1,522 20 2012-09-20 $27.55 $25.00 39.8% 11.4% 12.0% 25.4% 0.0% 1.0% -23.2% 256.3K -2.1M -1.5K 0.00 128.69 4 0 1,522 20 2012-09-21 $27.73 $25.00 40.3% 11.6% 11.6% 25.9% 0.0% 1.1% -17.5% 788.3K -2.7M -1.0K 0.00 128.61 4 0 1,526 20 2012-09-24 $27.95 $25.00 42.4% 12.1% 11.8% 27.6% 0.0% 1.2% -12.3% 7.9K -179.8K -361 0.00 127.35 0 0 94 0 2012-09-25 $27.97 $25.00 43.2% 12.4% 11.6% 28.4% 0.0% 1.3% -12.8% 7.6K -180.1K -358 0.00 128.58 0 0 94 0 2012-09-26 $27.86 $25.00 44.2% 12.7% 11.8% 29.2% 0.0% 1.3% -13.7% 7.5K -176.2K -354 0.00 128.32 0 0 94 0 2012-09-27 $27.77 $25.00 45.3% 13.0% 11.9% 30.1% 0.0% 1.4% -14.6% 7.6K -173.5K -351 0.00 128.32 0 0 94 0 2012-09-28 $27.73 $25.00 46.4% 13.3% 11.9% 31.1% 0.0% 1.4% -15.5% 7.5K -172.0K -347 0.00 128.42 0 0 94 0
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