Depends....Oblivion is very intensive outside. The frame rates going from inside to outside can vary a lot, yes as much as what you are experiencing.
How much memory do you have? How fast is your hard drive? What CPU are you running? Oblivion also kind of favors ATI cards, the game just seemed more optimized for ATI drivers. Also, at that resolution, you are depending on your CPU as much as your video card, practically.
The game goes to the hard drive a lot to load textures. There are several sites you can google for, that give you a list of things to change in the Oblivion .ini file, that can make the game run considerably better on higher end systems. When the game first came out, it was really, really tough on systems at the time, and some of the default ini settings can be increased quite a bit for todays hardware. For instance there is a setting that tells the game engine how much memory can be set aside for textures, and if you have the extra memory, you can increase this setting to decrease trips to the hard drive to load new areas and scenery. The game was originally written during Pentium D and early Athlon 64 days, when a gig of memory in a system was considered the norm.
Anyway, google is your friend, and there are lot of tips and tricks out there that can make the game run a lot smoother.