OGE Options History — June 2007 In June 2007, OGE traded between $16.85 and $18.51. ATM implied volatility averaged 14.9%. The 30-day expected move averaged 4.4%. IV traded below realized volatility by 5.1% (HV 20d: 20.0%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 1.32.
Notable Days 2007-06-22 : Highest Volume — 498 contracts2007-06-22 : Largest IV drop — 35.4% change2007-06-04 : Largest Expected Move — 5.3%Monthly Statistics Metric Avg Min Max Open Close Price $17.48 $16.85 $18.51 $18.51 $18.32 Max Pain $17.86 $17.50 $20.00 $17.50 $17.50 ATM IV 14.9% 9.6% 19.0% 14.4% 15.4% Expected Move 4.4% 2.8% 5.3% 4.1% 4.4% HV 20d 20.0% 13.1% 29.0% 13.6% 29.0% HV 60d 15.3% 12.7% 19.3% 12.7% 19.3% Term Structure 1.3% -2.7% 8.0% 5.6% -2.4% VWIV 21.0% 14.8% 35.8% 18.2% 35.8% Bid-Ask Spread % 87.50 77.63 104.95 85.28 91.36 Gamma HHI 0.53 0.34 0.83 0.43 0.54 Net GEX 1.0K -15.8K 23.9K 4.4K 17.2K Net DEX 243.8K -390.3K 553.7K 112.4K -390.3K Net VEX -2.9K -4.1K -2.1K -3.2K -4.1K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.32 0.00 10.00 1.80 0.00 Total Volume 57.619 0 498 0 20 Total OI 1,654.381 1,286 1,916 1,714 1,916
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 2007-06-01 $18.51 $17.50 14.4% 4.1% 13.6% 0.0% 0.0% 0.0% 5.6% 4.4K 112.4K -3.2K 0.00 85.28 0 0 1,156 558 2007-06-04 $18.38 $20.00 15.2% 5.3% 13.1% 0.0% 0.0% 0.0% -2.7% 697 151.8K -3.2K 0.00 84.45 0 0 1,156 558 2007-06-05 $18.23 $20.00 14.3% 5.1% 13.3% 0.0% 0.0% 0.0% -1.6% -1.9K 187.3K -3.0K 0.00 81.95 0 0 1,156 558 2007-06-06 $17.84 $20.00 18.2% 5.2% 14.7% 0.0% 18.2% 0.0% -2.6% -12.5K 339.5K -2.7K 1.80 78.96 10 18 1,156 558 2007-06-07 $17.16 $17.50 15.3% 5.1% 19.0% 0.0% 0.0% 0.0% -0.7% -14.2K 553.7K -2.3K 0.00 79.72 20 0 1,166 558 2007-06-08 $17.22 $17.50 14.9% 5.1% 19.2% 0.0% 0.0% 0.0% -0.9% -13.4K 433.0K -2.4K 0.00 84.73 0 20 1,186 498 2007-06-11 $17.27 $17.50 17.3% 5.2% 18.6% 0.0% 0.0% 0.0% -1.1% -15.8K 451.7K -2.4K 0.00 86.11 0 0 1,186 518 2007-06-12 $16.98 $17.50 19.0% 5.0% 18.9% 0.0% 0.0% 0.0% -1.0% -7.1K 550.2K -2.1K 0.33 88.39 24 8 1,186 518 2007-06-13 $17.14 $17.50 18.5% 4.8% 19.8% 0.0% 0.0% 0.0% 0.1% -9.7K 487.2K -2.3K 1.17 87.82 72 84 1,206 510 2007-06-14 $17.18 $17.50 17.4% 5.0% 19.9% 0.0% 0.0% 0.0% 0.4% -11.7K 470.0K -2.9K 0.00 87.82 28 0 1,246 574 2007-06-15 $17.46 $17.50 17.3% 5.0% 21.3% 0.0% 17.3% 0.0% 0.7% 23.9K 241.7K -3.1K 4.00 85.75 2 8 1,262 486 2007-06-18 $17.34 $17.50 14.7% 4.2% 21.3% 0.0% 14.8% 0.0% 2.8% 5.2K 296.4K -2.9K 0.00 87.39 24 0 792 494 2007-06-19 $17.47 $17.50 15.3% 4.4% 21.7% 0.0% 19.0% 0.0% 2.1% 6.9K 261.2K -3.0K 0.80 87.54 10 8 804 494 2007-06-20 $17.24 $17.50 14.6% 4.2% 22.0% 0.0% 0.0% 0.0% 2.9% 5.7K 310.6K -2.9K 0.00 90.65 24 0 798 492 2007-06-21 $17.16 $17.50 15.1% 4.3% 21.7% 0.0% 0.0% 0.0% 2.1% 4.3K 358.2K -2.6K 10.00 92.01 4 40 794 492 2007-06-22 $16.85 $17.50 9.8% 2.8% 20.6% 0.0% 35.8% 0.0% 7.3% 538 425.4K -2.5K 0.00 104.95 498 0 794 532 2007-06-25 $16.91 $17.50 10.4% 3.0% 20.7% 0.0% 0.0% 0.0% 7.4% 9.8K 80.4K -3.3K 2.94 91.47 34 100 1,292 532 2007-06-26 $17.04 $17.50 9.6% 2.8% 20.9% 0.0% 0.0% 0.0% 8.0% 6.5K 111.1K -3.4K 0.00 91.84 48 0 1,272 562 2007-06-27 $17.29 $17.50 11.6% 3.3% 21.6% 0.0% 0.0% 0.0% 3.9% 8.8K 15.2K -3.6K 0.00 77.63 50 0 1,296 562 2007-06-28 $18.20 $17.50 14.5% 4.2% 28.9% 0.0% 0.0% 0.0% -2.1% 14.1K -326.3K -4.0K 0.00 91.61 56 0 1,306 562 2007-06-29 $18.32 $17.50 15.4% 4.4% 29.0% 0.0% 0.0% 0.0% -2.4% 17.2K -390.3K -4.1K 0.00 91.36 20 0 1,354 562
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