OGE Options History — October 2012 In October 2012, OGE traded between $27.73 and $28.79. ATM implied volatility averaged 45.8%, placing in the 30.6% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded above realized volatility by 36.6% (HV 20d: 9.2%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 0 of 21 days. Put/call ratio averaged 0.00.
Notable Days 2012-10-02 : Highest Volume — 20 contracts2012-10-19 : Largest IV spike — 98.8% change2012-10-10 : Highest IV Rank — 49.8%2012-10-04 : Largest Expected Move — 15.4%Monthly Statistics Metric Avg Min Max Open Close Price $28.33 $27.73 $28.79 $27.73 $28.79 Max Pain $25.00 $25.00 $25.00 $25.00 $25.00 ATM IV 45.8% 19.5% 68.1% 49.9% 48.4% Expected Move 11.6% 5.6% 15.4% 14.3% 13.9% HV 20d 9.2% 8.2% 11.9% 11.9% 8.7% HV 60d 12.4% 9.6% 13.5% 13.4% 9.6% IV Rank 30.6% 7.9% 49.8% 34.1% 32.9% IV Percentile 65.9% 9.5% 93.3% 77.8% 73.8% Term Structure -11.7% -26.0% -0.9% -18.0% -26.0% VWIV 46.5% 24.4% 68.6% 68.6% 24.4% Skew 25d 2.8% -7.6% 24.5% 1.6% 1.7% Skew 10d 4.3% -15.3% 8.9% 8.3% 4.4% Call IV 25d 55.5% 25.9% 74.7% 68.9% 69.8% Put IV 25d 58.2% 47.0% 76.0% 70.5% 71.4% Bid-Ask Spread % 129.38 125.47 132.58 127.31 132.12 Gamma HHI 0.85 0.53 1.00 0.53 1.00 Net GEX 5.7K 3.7K 7.6K 7.6K 4.5K Net DEX -117.6K -173.5K -87.6K -172.4K -97.4K Net VEX -245 -340 -199 -337 -199 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 2.381 0 20 0 0 Total OI 61.905 50 94 94 50
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 2012-10-01 $27.73 $25.00 49.9% 14.3% 11.9% 34.1% 0.0% 1.6% -18.0% 7.6K -172.4K -337 0.00 127.31 0 0 94 0 2012-10-02 $27.89 $25.00 51.1% 14.6% 11.7% 35.2% 68.6% 0.5% -18.3% 7.4K -173.5K -340 0.00 125.83 20 0 94 0 2012-10-03 $27.95 $25.00 52.5% 15.1% 10.7% 36.4% 0.0% 1.8% -19.2% 7.4K -143.2K -301 0.00 127.97 0 0 78 0 2012-10-04 $28.16 $25.00 53.8% 15.4% 9.3% 37.5% 24.4% 1.8% -19.4% 6.4K -139.6K -291 0.00 125.47 20 0 74 0 2012-10-05 $27.98 $0.00 55.6% 9.4% 9.4% 39.1% 0.0% 0.9% -7.7% 5.6K -105.6K -266 0.00 129.34 10 0 60 0 2012-10-08 $27.93 $0.00 62.3% 9.8% 9.5% 44.8% 0.0% 0.9% -8.4% 5.5K -104.6K -260 0.00 129.34 0 0 60 0 2012-10-09 $28.18 $0.00 64.5% 9.8% 9.7% 46.8% 0.0% 1.0% -8.1% 5.6K -110.8K -253 0.00 127.96 0 0 60 0 2012-10-10 $28.00 $0.00 68.1% 10.0% 9.7% 49.8% 0.0% 1.0% -8.8% 5.7K -106.4K -255 0.00 128.25 0 0 60 0 2012-10-11 $28.14 $0.00 35.2% 10.1% 8.7% 21.5% 0.0% 18.1% -8.7% 5.7K -109.9K -248 0.00 129.19 0 0 60 0 2012-10-12 $28.35 $0.00 35.1% 10.1% 8.4% 21.3% 0.0% 1.1% -0.9% 4.9K -113.3K -246 0.00 130.79 0 0 60 0 2012-10-15 $28.64 $0.00 36.5% 10.5% 8.5% 22.6% 0.0% 1.2% -8.5% 5.7K -123.6K -223 0.00 129.73 0 0 60 0 2012-10-16 $28.59 $0.00 36.8% 10.5% 8.3% 22.8% 0.0% 1.2% -8.7% 5.8K -122.5K -222 0.00 130.42 0 0 60 0 2012-10-17 $28.64 $0.00 37.6% 10.8% 8.3% 23.6% 0.0% 1.3% -9.0% 5.8K -124.2K -219 0.00 132.58 0 0 60 0 2012-10-18 $28.77 $0.00 19.5% 5.6% 8.2% 7.9% 0.0% 24.5% -4.1% 5.7K -127.5K -217 0.00 131.38 0 0 60 0 2012-10-19 $28.54 $0.00 38.7% 11.1% 8.8% 24.5% 0.0% 1.3% -8.7% 5.5K -124.1K -220 0.00 128.50 0 0 60 0 2012-10-22 $28.55 $0.00 41.3% 11.8% 8.4% 26.7% 0.0% 1.4% -11.2% 5.3K -95.4K -215 0.00 130.22 0 0 50 0 2012-10-23 $28.41 $0.00 42.4% 12.2% 8.7% 27.7% 0.0% -7.6% -12.2% 3.7K -87.6K -219 0.00 129.19 0 0 50 0 2012-10-24 $28.38 $0.00 43.3% 12.4% 8.5% 28.5% 0.0% 1.4% -13.4% 5.8K -92.7K -211 0.00 129.52 0 0 50 0 2012-10-25 $28.59 $0.00 43.8% 12.6% 8.7% 28.9% 0.0% 1.5% -13.1% 5.7K -98.2K -202 0.00 129.39 0 0 50 0 2012-10-26 $28.66 $0.00 44.6% 12.8% 8.6% 29.6% 0.0% 1.5% -12.8% 5.3K -98.1K -200 0.00 132.51 0 0 50 0 2012-10-31 $28.79 $0.00 48.4% 13.9% 8.7% 32.9% 0.0% 1.7% -26.0% 4.5K -97.4K -199 0.00 132.12 0 0 50 0
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