OGE Options History — February 2013

In February 2013, OGE traded between $28.95 and $29.91. ATM implied volatility averaged 30.3%, placing in the 17.2% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 22.1% (HV 20d: 8.2%). Max pain ranged from $27.50 to $30.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 0.03.

Notable Days

2013-02-19: Highest Volume — 4,006 contracts
2013-02-19: Largest IV drop — 69.6% change
2013-02-05: Highest IV Rank — 43.3%
2013-02-15: Largest Expected Move — 10.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$29.55	$28.95	$29.91	$29.43	$28.95
Max Pain	$29.21	$27.50	$30.00	$27.50	$27.50
ATM IV	30.3%	8.3%	60.6%	51.9%	10.1%
Expected Move	7.2%	2.4%	10.7%	8.8%	2.9%
HV 20d	8.2%	6.4%	10.5%	10.0%	10.5%
HV 60d	11.5%	10.7%	13.0%	12.9%	12.0%
IV Rank	17.2%	0.0%	43.3%	35.8%	1.5%
IV Percentile	26.8%	0.0%	84.5%	75.4%	0.4%
Term Structure	-7.5%	-19.9%	13.6%	-14.6%	4.3%
VWIV	18.6%	8.4%	25.1%	24.6%	8.4%
Skew 25d	-3.7%	-32.9%	14.6%	0.3%	-1.0%
Skew 10d	-4.5%	-37.6%	8.2%	3.8%	-22.1%
Call IV 25d	34.6%	11.4%	52.3%	42.8%	13.0%
Put IV 25d	30.9%	9.4%	52.9%	43.1%	12.0%
Bid-Ask Spread %	121.10	96.40	131.49	130.19	122.83
Gamma HHI	0.89	0.50	1.00	0.50	0.97
Net GEX	363.8K	565	1.4M	1.1K	844.5K
Net DEX	-1.5M	-5.9M	-8.2K	-21.3K	-2.0M
Net VEX	-3.8K	-12.3K	-36	-56	-7.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.03	0.00	0.14	0.00	0.02
Total Volume	399.579	0	4,006	0	0
Total OI	1,550.211	6	4,484	12	4,484

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
2013-02-01	$29.43	$27.50	51.9%	8.8%	10.0%	35.8%	0.0%	0.3%	-14.6%	1.1K	-21.3K	-56	0.00	130.19	0	0	12	0
2013-02-04	$29.30	$27.50	57.4%	9.1%	9.8%	40.6%	0.0%	0.4%	-16.1%	1.1K	-20.7K	-55	0.00	130.44	0	0	12	0
2013-02-05	$29.42	$27.50	60.6%	5.0%	8.7%	43.3%	0.0%	14.6%	13.6%	1.3K	-22.3K	-50	0.00	129.30	0	0	12	0
2013-02-06	$29.53	$27.50	41.0%	9.2%	7.9%	26.5%	24.6%	0.4%	-16.1%	1.1K	-21.6K	-54	0.00	129.64	6	0	12	0
2013-02-07	$29.55	$30.00	33.0%	9.5%	7.9%	19.5%	0.0%	0.4%	-16.5%	565	-8.2K	-36	0.00	131.49	180	0	6	0
2013-02-08	$29.69	$30.00	23.3%	6.7%	7.8%	11.2%	0.0%	6.4%	3.7%	625	-8.4K	-36	0.00	130.75	6	0	6	0
2013-02-11	$29.70	$30.00	34.9%	10.0%	7.8%	21.2%	0.0%	-32.5%	-17.7%	1.2K	-16.9K	-78	0.00	131.42	0	0	12	0
2013-02-12	$29.73	$30.00	35.4%	10.2%	7.2%	21.6%	0.0%	0.6%	-18.1%	1.1K	-17.1K	-77	0.00	130.74	0	0	12	0
2013-02-13	$29.88	$30.00	35.9%	10.3%	6.9%	21.9%	0.0%	0.8%	-18.1%	1.1K	-17.8K	-78	0.00	130.48	0	0	12	0
2013-02-14	$29.77	$30.00	36.6%	10.5%	6.4%	22.4%	0.0%	-32.9%	-19.1%	1.2K	-17.2K	-77	0.00	129.08	0	0	12	0
2013-02-15	$29.70	$30.00	37.2%	10.7%	6.4%	23.0%	0.0%	0.6%	-19.9%	1.1K	-17.0K	-76	0.00	129.90	0	0	12	0
2013-02-19	$29.91	$30.00	11.3%	3.2%	6.4%	0.5%	11.3%	0.4%	0.5%	2.3K	-16.9K	-75	0.00	96.40	4,006	0	12	0
2013-02-20	$29.70	$30.00	12.5%	3.6%	6.4%	1.6%	0.0%	-16.2%	-0.1%	1.4M	-4.7M	-11.7K	0.00	113.17	16	0	4,012	0
2013-02-21	$29.57	$30.00	17.2%	4.9%	6.4%	5.7%	17.2%	-19.7%	-1.7%	1.1M	-4.8M	-11.6K	0.09	112.06	266	24	4,028	0
2013-02-22	$29.90	$30.00	18.7%	5.4%	7.3%	6.9%	18.7%	0.2%	-2.3%	1.0M	-5.9M	-12.3K	0.03	107.75	286	8	4,050	24
2013-02-25	$29.30	$30.00	25.4%	7.3%	10.5%	12.8%	25.1%	5.2%	-5.9%	729.4K	-4.3M	-10.8K	0.00	100.64	1,230	0	4,078	32
2013-02-26	$29.30	$30.00	24.2%	6.9%	10.2%	11.7%	24.5%	3.5%	-5.1%	773.0K	-4.0M	-10.1K	0.14	98.75	712	100	4,110	32
2013-02-27	$29.11	$27.50	8.3%	2.4%	10.4%	0.0%	8.4%	-2.0%	6.0%	1.0M	-2.1M	-7.4K	0.02	115.96	740	12	4,340	132
2013-02-28	$28.95	$27.50	10.1%	2.9%	10.5%	1.5%	0.0%	-1.0%	4.3%	844.5K	-2.0M	-7.3K	0.00	122.83	0	0	4,340	144