OGE Options History — March 2013

In March 2013, OGE traded between $28.91 and $34.99. ATM implied volatility averaged 13.4%, placing in the 4.3% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded below realized volatility by 10.7% (HV 20d: 24.1%). Max pain ranged from $27.50 to $32.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.23.

Notable Days

2013-03-12: Highest Volume — 1,552 contracts
2013-03-04: Largest IV drop — 53.5% change
2013-03-01: Highest IV Rank — 13.3%
2013-03-01: Largest Expected Move — 6.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$32.03	$28.91	$34.99	$28.91	$34.99
Max Pain	$30.38	$27.50	$32.50	$27.50	$32.50
ATM IV	13.4%	10.5%	24.0%	24.0%	12.7%
Expected Move	4.2%	3.0%	6.9%	6.9%	3.6%
HV 20d	24.1%	10.5%	37.0%	10.5%	34.4%
HV 60d	17.6%	11.9%	23.1%	11.9%	22.6%
IV Rank	4.3%	1.9%	13.3%	13.3%	3.7%
IV Percentile	4.5%	0.8%	8.7%	8.7%	5.6%
Term Structure	1.1%	0.1%	3.7%	3.7%	1.6%
VWIV	15.1%	11.5%	27.6%	15.4%	12.7%
Skew 25d	21.9%	-0.9%	78.6%	5.9%	68.2%
Skew 10d	36.3%	-20.4%	101.0%	-16.4%	99.4%
Call IV 25d	15.5%	10.5%	29.8%	11.2%	29.8%
Put IV 25d	37.4%	14.6%	104.3%	17.2%	98.0%
Bid-Ask Spread %	105.96	96.21	126.93	126.93	103.44
Gamma HHI	0.75	0.44	1.00	0.96	0.60
Net GEX	1.1M	50.5K	4.0M	778.6K	51.8K
Net DEX	-6.2M	-18.8M	-1.4M	-2.6M	-2.9M
Net VEX	-7.3K	-11.3K	-3.2K	-8.3K	-4.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.23	0.00	2.86	0.00	0.00
Total Volume	346.2	0	1,552	6	214
Total OI	3,656	1,652	5,878	4,484	1,652

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	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2013-03-01	$28.91	$27.50	24.0%	6.9%	10.5%	13.3%	0.0%	5.9%	3.7%	778.6K	-2.6M	-8.3K	0.00	126.93	6	0	4,340	144
2013-03-04	$29.15	$30.00	11.2%	4.2%	11.0%	2.4%	0.0%	-0.6%	0.3%	989.9K	-1.4M	-5.4K	0.00	100.56	0	0	4,346	144
2013-03-05	$29.53	$30.00	12.1%	4.4%	11.8%	3.2%	15.4%	2.9%	0.4%	1.8M	-3.0M	-7.8K	0.00	102.62	550	0	4,346	144
2013-03-06	$29.75	$30.00	12.2%	4.4%	12.0%	3.3%	0.0%	3.6%	0.6%	2.3M	-4.7M	-10.0K	0.00	105.37	150	0	4,520	144
2013-03-07	$29.63	$30.00	10.9%	4.2%	12.1%	2.2%	14.8%	2.9%	1.1%	2.4M	-3.6M	-9.1K	0.00	107.47	138	0	4,592	144
2013-03-08	$30.00	$30.00	13.4%	4.3%	12.9%	4.3%	0.0%	4.0%	0.8%	2.6M	-7.0M	-10.9K	0.39	107.28	180	70	4,684	144
2013-03-11	$30.18	$30.00	13.8%	4.4%	13.0%	4.6%	15.4%	50.2%	0.1%	2.9M	-9.1M	-9.1K	0.00	110.70	1,418	0	4,704	214
2013-03-12	$30.16	$30.00	11.7%	4.2%	13.0%	2.8%	14.8%	51.8%	1.3%	4.0M	-9.9M	-11.3K	0.00	112.23	1,552	0	5,236	214
2013-03-13	$30.41	$30.00	11.3%	4.3%	13.2%	2.5%	0.0%	42.9%	0.8%	2.3M	-13.8M	-10.2K	0.00	110.91	456	0	5,568	214
2013-03-14	$30.68	$30.00	14.9%	4.3%	13.5%	5.6%	14.9%	28.5%	0.8%	1.2M	-14.7M	-9.2K	0.00	111.55	104	0	5,584	214
2013-03-15	$33.81	$30.00	10.5%	3.0%	36.5%	1.9%	12.7%	1.7%	0.6%	67.5K	-18.8M	-3.2K	0.37	96.21	254	94	5,664	214
2013-03-18	$33.81	$30.00	13.9%	4.0%	36.5%	4.7%	14.6%	2.7%	1.4%	72.3K	-5.3M	-4.9K	2.86	99.97	146	418	1,766	208
2013-03-19	$33.45	$30.00	16.7%	4.8%	37.0%	7.1%	15.9%	14.1%	0.2%	53.4K	-4.9M	-7.8K	0.00	97.92	4	0	1,822	626
2013-03-20	$33.81	$30.00	13.3%	3.8%	36.7%	4.2%	13.3%	2.7%	1.6%	52.2K	-5.1M	-7.3K	0.00	99.29	310	0	1,822	626
2013-03-21	$34.16	$30.00	13.7%	3.9%	36.5%	4.5%	11.5%	2.4%	1.0%	51.4K	-4.4M	-5.8K	0.00	98.42	352	0	1,528	626
2013-03-22	$34.23	$30.00	13.9%	4.0%	36.5%	4.7%	27.6%	1.2%	1.2%	50.5K	-3.2M	-5.8K	0.00	107.05	264	0	1,184	626
2013-03-25	$34.42	$32.50	13.1%	3.8%	35.2%	4.1%	0.0%	-0.9%	1.7%	61.5K	-3.0M	-5.6K	0.15	107.36	54	8	1,102	626
2013-03-26	$34.78	$32.50	12.9%	3.7%	35.0%	3.9%	12.9%	75.0%	1.5%	69.2K	-2.9M	-5.1K	0.57	107.57	70	40	1,040	626
2013-03-27	$34.77	$32.50	12.7%	3.6%	34.7%	3.7%	12.7%	78.6%	1.6%	67.2K	-3.0M	-5.1K	0.00	106.39	72	0	1,056	666
2013-03-28	$34.99	$32.50	12.7%	3.6%	34.4%	3.7%	0.0%	68.2%	1.6%	51.8K	-2.9M	-4.2K	0.00	103.44	214	0	986	666