OGE Options History — June 2013

In June 2013, OGE traded between $32.59 and $34.52. ATM implied volatility averaged 17.7%, placing in the 8.5% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded below realized volatility by 1.9% (HV 20d: 19.7%). Max pain ranged from $32.50 to $35.00. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.43.

Notable Days

2013-06-25: Highest Volume — 4,354 contracts
2013-06-07: Largest IV drop — 35.0% change
2013-06-14: Highest IV Rank — 15.6%
2013-06-26: Largest Expected Move — 6.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$33.63	$32.59	$34.52	$33.82	$34.10
Max Pain	$33.25	$32.50	$35.00	$35.00	$32.50
ATM IV	17.7%	12.2%	21.0%	16.2%	18.6%
Expected Move	5.1%	3.6%	6.0%	4.6%	5.3%
HV 20d	19.7%	17.3%	22.9%	17.3%	22.8%
HV 60d	20.1%	16.3%	25.7%	25.2%	19.0%
IV Rank	8.5%	3.3%	15.6%	6.7%	8.7%
IV Percentile	28.9%	6.7%	35.7%	27.0%	32.5%
Term Structure	1.2%	-0.3%	2.8%	0.7%	2.3%
VWIV	19.3%	14.3%	23.1%	19.6%	23.1%
Skew 25d	3.3%	-2.9%	8.9%	1.4%	3.1%
Skew 10d	11.4%	-9.3%	63.6%	1.1%	53.7%
Call IV 25d	15.7%	11.9%	19.3%	16.4%	17.5%
Put IV 25d	19.1%	16.4%	28.1%	17.8%	20.6%
Bid-Ask Spread %	101.62	95.30	114.21	101.57	100.06
Gamma HHI	0.41	0.31	0.77	0.34	0.75
Net GEX	124.3K	-23.5K	661.9K	16.5K	661.9K
Net DEX	-444.8K	-6.5M	1.5M	666.6K	-6.5M
Net VEX	-28.4K	-54.3K	-19.3K	-19.5K	-54.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.43	0.00	4.27	0.00	0.12
Total Volume	392.3	8	4,354	100	462
Total OI	4,676.9	3,136	8,638	3,136	8,520

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
2013-06-03	$33.82	$35.00	16.2%	4.6%	17.3%	6.7%	0.0%	1.4%	0.7%	16.5K	666.6K	-19.5K	0.00	101.57	0	100	1,388	1,748
2013-06-04	$33.60	$35.00	18.4%	5.3%	17.3%	8.6%	0.0%	2.2%	0.9%	2.8K	943.0K	-20.2K	0.00	100.26	0	12	1,388	1,848
2013-06-05	$32.98	$35.00	18.6%	5.3%	17.6%	8.7%	0.0%	4.7%	0.5%	-23.5K	1.5M	-19.3K	0.00	109.67	8	0	1,388	1,840
2013-06-06	$33.40	$35.00	18.7%	5.4%	18.6%	8.8%	0.0%	6.8%	1.1%	-5.4K	1.1M	-19.7K	1.88	113.85	102	192	1,396	1,840
2013-06-07	$33.95	$35.00	12.2%	4.8%	18.7%	3.3%	19.6%	3.3%	2.1%	24.5K	633.2K	-21.7K	0.09	97.63	88	8	1,490	2,032
2013-06-10	$33.93	$32.50	16.2%	3.6%	18.6%	6.7%	14.3%	4.2%	-0.1%	31.5K	335.1K	-21.2K	4.27	114.21	60	256	1,576	2,032
2013-06-11	$33.64	$32.50	18.4%	5.5%	18.5%	8.6%	18.9%	1.3%	0.6%	6.2K	939.0K	-23.6K	0.21	98.87	116	24	1,636	2,282
2013-06-12	$33.24	$32.50	18.5%	5.5%	17.3%	8.7%	19.4%	3.2%	0.4%	-6.5K	1.3M	-23.6K	0.09	95.30	248	22	1,752	2,306
2013-06-13	$33.74	$32.50	19.1%	5.5%	18.0%	9.2%	0.0%	3.0%	0.7%	49.6K	349.4K	-25.6K	0.00	97.93	100	0	2,000	2,308
2013-06-14	$34.09	$32.50	16.2%	4.7%	18.1%	15.6%	19.5%	3.0%	2.5%	82.0K	-240.5K	-26.7K	0.07	99.27	30	2	2,098	2,308
2013-06-17	$34.15	$32.50	16.6%	4.7%	17.4%	7.0%	20.7%	3.5%	2.4%	91.1K	-415.1K	-26.3K	0.00	99.49	120	0	2,128	2,306
2013-06-18	$34.52	$32.50	16.2%	4.6%	18.0%	6.7%	21.9%	3.1%	2.1%	126.1K	-868.7K	-26.5K	0.00	98.79	80	0	2,168	2,306
2013-06-19	$33.88	$32.50	15.7%	4.5%	18.9%	6.3%	15.4%	3.2%	2.8%	90.3K	-303.9K	-26.8K	0.00	97.47	134	0	2,240	2,306
2013-06-20	$32.59	$32.50	19.0%	5.5%	22.0%	9.1%	19.0%	6.2%	1.0%	25.6K	1.3M	-26.1K	0.03	102.35	130	4	2,318	2,306
2013-06-21	$33.12	$35.00	18.2%	5.2%	22.9%	8.4%	18.2%	4.6%	1.0%	10.7K	962.4K	-25.8K	0.00	105.37	120	0	2,210	2,310
2013-06-24	$32.99	$32.50	18.2%	5.2%	22.6%	8.4%	18.6%	-2.9%	0.9%	9.9K	619.3K	-26.3K	1.04	99.09	90	94	2,020	2,190
2013-06-25	$33.28	$32.50	20.1%	5.8%	22.9%	10.0%	20.1%	1.5%	0.8%	32.5K	211.1K	-27.5K	0.01	101.88	4,308	46	2,050	2,284
2013-06-26	$33.69	$32.50	21.0%	6.0%	22.7%	10.8%	18.9%	8.9%	-0.3%	617.9K	-5.2M	-53.1K	0.00	99.03	528	0	6,358	2,280
2013-06-27	$33.95	$32.50	18.7%	5.4%	22.9%	8.8%	21.6%	2.5%	1.3%	642.3K	-6.2M	-54.3K	0.00	100.33	362	0	6,302	2,280
2013-06-28	$34.10	$32.50	18.6%	5.3%	22.8%	8.7%	23.1%	3.1%	2.3%	661.9K	-6.5M	-54.0K	0.12	100.06	412	50	6,240	2,280