OGE Options History — November 2012 In November 2012, OGE traded between $27.43 and $29.09. ATM implied volatility averaged 53.1%, placing in the 36.9% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded above realized volatility by 39.5% (HV 20d: 13.6%). Max pain ranged from $27.50 to $27.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.00.
Notable Days 2012-11-01 : Highest Volume — 2 contracts2012-11-19 : Largest IV spike — 151.5% change2012-11-14 : Highest IV Rank — 99.8%2012-11-01 : Largest Expected Move — 14.4%Monthly Statistics Metric Avg Min Max Open Close Price $28.20 $27.43 $29.09 $29.09 $28.57 Max Pain $27.50 $27.50 $27.50 $27.50 $27.50 ATM IV 53.1% 14.9% 125.9% 50.1% 44.9% Expected Move 10.1% 4.3% 14.4% 14.4% 12.9% HV 20d 13.6% 9.1% 15.1% 9.1% 14.2% HV 60d 11.5% 9.8% 12.3% 9.8% 11.8% IV Rank 36.9% 3.9% 99.8% 34.4% 29.8% IV Percentile 63.7% 1.2% 99.2% 76.2% 63.9% Term Structure -8.9% -26.2% 17.0% -26.2% -11.0% Skew 25d 8.8% -11.3% 24.3% 1.4% 23.4% Skew 10d 4.2% -4.7% 11.5% 5.3% 6.6% Call IV 25d 38.2% 19.1% 71.3% 71.3% 38.0% Put IV 25d 47.0% 18.3% 72.6% 72.6% 61.3% Bid-Ask Spread % 128.72 121.18 131.63 129.06 131.54 Gamma HHI 0.94 0.92 1.00 1.00 0.94 Net GEX 5.5K 4.3K 8.6K 4.3K 5.7K Net DEX -88.7K -103.0K -69.6K -103.0K -98.4K Net VEX -177 -203 -131 -191 -135 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 0.095 0 2 2 0 Total OI 51.905 50 52 50 52
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 2012-11-01 $29.09 $0.00 50.1% 14.4% 9.1% 34.4% 0.0% 1.4% -26.2% 4.3K -103.0K -191 0.00 129.06 2 0 50 0 2012-11-02 $28.79 $0.00 28.5% 8.2% 10.2% 15.6% 0.0% 0.2% 17.0% 4.9K -100.4K -201 0.00 128.66 0 0 52 0 2012-11-05 $28.65 $27.50 59.9% 8.8% 10.1% 42.7% 0.0% 1.0% -6.6% 4.8K -96.8K -202 0.00 131.63 0 0 52 0 2012-11-06 $28.74 $27.50 62.9% 8.8% 9.8% 45.4% 0.0% 1.0% -6.4% 4.8K -98.7K -200 0.00 129.17 0 0 52 0 2012-11-07 $27.98 $27.50 68.1% 10.3% 14.0% 49.9% 0.0% 0.7% -19.0% 4.4K -82.5K -203 0.00 121.18 0 0 52 0 2012-11-08 $28.02 $27.50 71.0% 9.3% 13.6% 52.4% 0.0% 0.9% -11.7% 4.7K -83.6K -201 0.00 130.81 0 0 52 0 2012-11-09 $28.10 $27.50 75.9% 9.4% 13.5% 56.6% 0.0% 0.9% -11.3% 4.8K -85.4K -199 0.00 124.89 0 0 52 0 2012-11-12 $27.66 $27.50 63.0% 10.5% 14.5% 45.5% 0.0% 0.8% -17.9% 4.6K -76.5K -192 0.00 128.15 0 0 52 0 2012-11-13 $27.57 $27.50 108.8% 10.0% 14.2% 85.0% 0.0% 0.9% -14.3% 4.7K -74.8K -189 0.00 129.46 0 0 52 0 2012-11-14 $27.43 $27.50 125.9% 7.9% 13.5% 99.8% 0.0% 7.9% 0.7% 8.6K -69.6K -187 0.00 124.39 0 0 52 0 2012-11-15 $27.79 $27.50 35.6% 10.2% 14.6% 21.8% 0.0% -11.3% -14.2% 5.0K -79.2K -186 0.00 126.86 0 0 52 0 2012-11-16 $28.07 $27.50 14.9% 4.3% 15.1% 3.9% 0.0% 1.9% 5.4% 8.6K -91.3K -175 0.00 129.35 0 0 52 0 2012-11-19 $28.00 $27.50 37.5% 10.7% 15.0% 23.4% 0.0% 23.7% -7.8% 5.3K -84.0K -175 0.00 128.88 0 0 52 0 2012-11-20 $28.09 $27.50 38.0% 10.9% 14.8% 23.8% 0.0% 23.0% -7.9% 5.3K -86.0K -170 0.00 129.45 0 0 52 0 2012-11-21 $28.04 $27.50 38.6% 11.1% 14.8% 24.4% 0.0% 24.1% -8.4% 5.4K -84.9K -170 0.00 129.03 0 0 52 0 2012-11-23 $28.11 $27.50 39.9% 11.4% 14.8% 25.5% 0.0% 24.3% -8.9% 5.4K -86.4K -162 0.00 130.10 0 0 52 0 2012-11-26 $28.31 $27.50 41.8% 12.0% 15.0% 27.1% 0.0% 20.7% -9.4% 5.6K -91.7K -155 0.00 130.27 0 0 52 0 2012-11-27 $28.36 $27.50 42.5% 12.2% 14.8% 27.7% 0.0% 23.4% -9.7% 5.5K -92.7K -148 0.00 131.09 0 0 52 0 2012-11-28 $28.38 $27.50 43.3% 12.4% 14.7% 28.5% 0.0% 23.9% -10.1% 5.6K -93.3K -145 0.00 129.17 0 0 52 0 2012-11-29 $28.47 $27.50 24.5% 7.0% 14.7% 12.2% 0.0% -7.1% -10.2% 7.4K -102.5K -131 0.00 129.89 0 0 52 0 2012-11-30 $28.57 $27.50 44.9% 12.9% 14.2% 29.8% 0.0% 23.4% -11.0% 5.7K -98.4K -135 0.00 131.54 0 0 52 0
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