OGE Options History — January 2013 In January 2013, OGE traded between $28.16 and $29.36. ATM implied volatility averaged 43.7%, placing in the 28.8% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded above realized volatility by 29.5% (HV 20d: 14.3%). Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 0.00.
Notable Days 2013-01-23 : Highest Volume — 6 contracts2013-01-24 : Largest IV spike — 113.7% change2013-01-09 : Highest IV Rank — 49.0%2013-01-03 : Largest Expected Move — 14.7%Monthly Statistics Metric Avg Min Max Open Close Price $28.73 $28.16 $29.36 $28.73 $29.36 ATM IV 43.7% 19.5% 67.1% 51.0% 50.2% Expected Move 10.9% 5.6% 14.7% 14.6% 14.4% HV 20d 14.3% 10.1% 15.9% 15.0% 10.1% HV 60d 13.1% 12.9% 13.3% 13.0% 13.0% IV Rank 28.8% 7.9% 49.0% 35.1% 34.4% IV Percentile 51.9% 2.4% 90.5% 72.2% 71.0% Term Structure -18.7% -47.3% 2.5% -15.5% -47.3% Skew 25d 3.1% -14.5% 42.2% 1.7% 0.3% Skew 10d 4.9% 0.9% 14.5% 4.8% 5.8% Call IV 25d 53.2% 10.5% 72.6% 70.7% 69.8% Put IV 25d 56.3% 30.1% 72.6% 72.4% 70.2% Bid-Ask Spread % 129.72 127.48 131.79 129.35 129.72 Gamma HHI 0.86 0.50 1.00 1.00 0.50 Net GEX 523 186 1.3K 204 1.2K Net DEX -7.4K -21.7K -1.6K -1.9K -21.7K Net VEX -23 -58 -8 -9 -53 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 0.476 0 6 0 0 Total OI 5.048 2 12 2 12
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 2013-01-02 $28.73 $0.00 51.0% 14.6% 15.0% 35.1% 0.0% 1.7% -15.5% 204 -1.9K -9 0.00 129.35 0 0 2 0 2013-01-03 $28.66 $0.00 51.2% 14.7% 14.8% 35.2% 0.0% -0.0% -16.9% 204 -1.8K -9 0.00 129.97 0 0 2 0 2013-01-04 $28.90 $0.00 51.4% 8.8% 14.9% 35.4% 0.0% 1.1% -28.8% 218 -2.0K -9 0.00 129.35 0 0 2 0 2013-01-07 $28.57 $0.00 60.7% 9.6% 15.5% 43.4% 0.0% 1.1% -7.0% 201 -1.7K -9 0.00 128.68 0 0 2 0 2013-01-08 $28.32 $0.00 64.2% 6.0% 15.8% 46.5% 0.0% -14.5% -6.7% 193 -1.7K -9 0.00 127.72 0 0 2 0 2013-01-09 $28.39 $0.00 67.1% 9.9% 15.8% 49.0% 0.0% 1.1% -6.8% 196 -1.8K -9 0.00 130.35 0 0 2 0 2013-01-10 $28.57 $0.00 34.6% 9.9% 15.9% 20.9% 0.0% 1.1% -7.2% 210 -1.9K -9 0.00 129.73 0 0 2 0 2013-01-11 $28.63 $0.00 35.0% 10.0% 15.9% 21.2% 0.0% 1.1% -7.2% 214 -1.9K -9 0.00 131.79 0 0 2 0 2013-01-14 $28.45 $0.00 36.5% 10.5% 15.7% 22.5% 0.0% 1.1% -7.6% 219 -1.7K -8 0.00 129.31 0 0 2 0 2013-01-15 $28.34 $0.00 37.6% 10.8% 15.4% 23.5% 0.0% 1.2% -8.4% 197 -1.7K -8 0.00 130.88 0 0 2 0 2013-01-16 $28.16 $0.00 38.5% 11.0% 14.2% 24.3% 0.0% 1.2% -9.2% 186 -1.6K -8 0.00 128.65 0 0 2 0 2013-01-17 $28.36 $0.00 38.8% 11.1% 14.0% 24.5% 0.0% 1.2% -9.0% 196 -1.8K -8 0.00 129.16 0 0 2 0 2013-01-18 $28.59 $0.00 39.0% 11.2% 14.3% 24.8% 0.0% 1.3% -8.7% 215 -1.9K -8 0.00 129.87 0 0 2 0 2013-01-22 $28.89 $0.00 39.6% 11.4% 14.6% 25.2% 0.0% 1.3% -38.6% 238 -2.1K -8 0.00 130.60 4 0 2 0 2013-01-23 $28.77 $0.00 19.5% 5.6% 13.7% 7.9% 0.0% 42.2% 2.5% 650 -5.8K -35 0.00 131.37 6 0 6 0 2013-01-24 $28.82 $0.00 41.7% 11.9% 13.7% 27.0% 0.0% 1.4% -40.8% 1.2K -18.9K -58 0.00 130.60 0 0 12 0 2013-01-25 $28.99 $0.00 23.9% 6.9% 12.8% 11.7% 0.0% 24.1% -3.4% 1.2K -19.8K -57 0.00 130.39 0 0 12 0 2013-01-28 $29.20 $0.00 46.1% 13.2% 12.9% 30.8% 0.0% 1.0% -43.7% 1.3K -20.9K -55 0.00 127.48 0 0 12 0 2013-01-29 $29.30 $0.00 43.5% 12.5% 12.8% 28.6% 0.0% -4.2% -36.8% 1.2K -21.4K -55 0.00 129.19 0 0 12 0 2013-01-30 $29.34 $0.00 48.7% 14.0% 12.2% 33.1% 0.0% 0.7% -45.8% 1.2K -21.6K -55 0.00 129.99 0 0 12 0 2013-01-31 $29.36 $0.00 50.2% 14.4% 10.1% 34.4% 0.0% 0.3% -47.3% 1.2K -21.7K -53 0.00 129.72 0 0 12 0
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