OGE Options History — December 2012

In December 2012, OGE traded between $27.67 and $28.50. ATM implied volatility averaged 43.5%, placing in the 28.6% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded above realized volatility by 32.5% (HV 20d: 11.0%). Max pain ranged from $27.50 to $27.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 0 of 20 days. Put/call ratio averaged 0.00.

Notable Days

2012-12-05: Highest Volume — 10 contracts
2012-12-05: Largest IV spike — 103.2% change
2012-12-12: Highest IV Rank — 49.5%
2012-12-05: Largest Expected Move — 14.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$28.17	$27.67	$28.50	$28.42	$28.16
Max Pain	$27.50	$27.50	$27.50	$27.50	$27.50
ATM IV	43.5%	25.3%	67.7%	26.5%	49.3%
Expected Move	10.8%	7.2%	14.7%	7.6%	14.1%
HV 20d	11.0%	8.2%	14.1%	13.8%	13.2%
HV 60d	11.4%	10.6%	12.3%	11.6%	12.3%
IV Rank	28.6%	12.8%	49.5%	13.9%	33.6%
IV Percentile	53.8%	18.7%	90.9%	23.0%	69.4%
Term Structure	-13.2%	-16.3%	-9.0%	-13.6%	-16.3%
VWIV	41.2%	41.2%	41.2%	41.2%	41.2%
Skew 25d	1.1%	-11.5%	28.5%	-6.2%	1.6%
Skew 10d	4.7%	-6.5%	10.0%	0.5%	8.1%
Call IV 25d	45.6%	16.2%	68.3%	22.3%	68.3%
Put IV 25d	46.7%	16.1%	70.2%	16.1%	69.9%
Bid-Ask Spread %	128.14	126.09	131.31	130.62	126.61
Gamma HHI	0.96	0.94	1.00	0.95	1.00
Net GEX	5.8K	155	14.4K	8.0K	173
Net DEX	-81.8K	-154.3K	-1.3K	-103.1K	-1.6K
Net VEX	-78	-138	-8	-120	-8
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	1	0	10	0	0
Total OI	45.1	2	62	52	2

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	Spread %	Call Vol	Call OI
2012-12-03	$28.42	$27.50	26.5%	7.6%	13.8%	13.9%	0.0%	-6.2%	-13.6%	8.0K	-103.1K	-120	130.62	0	52
2012-12-04	$28.25	$27.50	25.3%	7.2%	13.9%	12.8%	0.0%	-6.6%	-14.5%	8.4K	-97.6K	-122	130.54	0	52
2012-12-05	$28.46	$27.50	51.3%	14.7%	14.1%	35.4%	41.2%	28.5%	-14.4%	5.8K	-95.8K	-124	129.92	10	52
2012-12-06	$28.37	$27.50	27.9%	8.0%	10.2%	15.2%	0.0%	-6.5%	-13.7%	9.9K	-122.3K	-130	131.31	0	62
2012-12-07	$28.34	$0.00	54.9%	9.2%	10.2%	38.5%	0.0%	0.9%	-9.0%	6.7K	-110.2K	-138	128.43	0	62
2012-12-10	$28.26	$0.00	61.6%	9.7%	10.2%	44.2%	0.0%	0.9%	-10.6%	6.5K	-107.7K	-128	127.74	0	62
2012-12-11	$28.20	$0.00	64.5%	9.8%	8.3%	46.7%	0.0%	-11.5%	-11.1%	6.4K	-105.7K	-122	127.33	0	62
2012-12-12	$28.18	$0.00	67.7%	10.0%	8.2%	49.5%	0.0%	1.0%	-11.4%	6.4K	-105.4K	-116	128.17	0	62
2012-12-13	$27.93	$0.00	35.5%	10.2%	8.8%	21.7%	0.0%	1.0%	-12.5%	6.1K	-98.2K	-112	126.23	0	62
2012-12-14	$27.67	$0.00	36.2%	10.4%	8.2%	22.3%	0.0%	3.0%	-13.6%	9.9K	-92.6K	-106	126.79	0	62
2012-12-17	$28.18	$0.00	37.3%	10.7%	10.0%	23.3%	0.0%	1.1%	-13.1%	8.5K	-109.9K	-83	126.09	10	62
2012-12-18	$28.45	$0.00	37.6%	10.8%	10.4%	23.5%	0.0%	1.7%	-12.6%	6.3K	-109.2K	-74	129.56	0	60
2012-12-19	$28.36	$0.00	38.3%	11.0%	10.5%	24.1%	0.0%	1.1%	-13.3%	6.1K	-106.4K	-67	129.43	0	60
2012-12-20	$28.50	$0.00	37.9%	10.9%	10.5%	23.8%	0.0%	0.5%	-13.2%	6.4K	-111.1K	-55	128.50	0	60
2012-12-21	$28.10	$0.00	39.9%	11.4%	11.8%	25.5%	0.0%	1.2%	-15.2%	14.4K	-154.3K	-19	127.79	0	60
2012-12-24	$28.11	$0.00	42.1%	12.1%	11.5%	27.4%	0.0%	1.3%	-11.8%	168	-1.6K	-9	127.95	0	2
2012-12-26	$27.77	$0.00	44.3%	12.7%	12.2%	29.3%	0.0%	6.8%	-14.0%	159	-1.3K	-8	126.56	0	2
2012-12-27	$27.86	$0.00	45.1%	12.9%	12.3%	30.0%	0.0%	1.4%	-14.3%	158	-1.4K	-8	126.52	0	2
2012-12-28	$27.78	$0.00	46.2%	13.3%	12.2%	31.0%	0.0%	1.4%	-15.3%	155	-1.4K	-8	126.80	0	2
2012-12-31	$28.16	$0.00	49.3%	14.1%	13.2%	33.6%	0.0%	1.6%	-16.3%	173	-1.6K	-8	126.61	0	2