OGE Options History — July 2007

In July 2007, OGE traded between $16.57 and $18.54. ATM implied volatility averaged 15.7%, placing in the 32.5% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded below realized volatility by 10.0% (HV 20d: 25.7%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.76.

Notable Days

2007-07-30: Highest Volume — 336 contracts
2007-07-12: Largest IV spike — 76.1% change
2007-07-16: Highest IV Rank — 47.3%
2007-07-02: Largest Expected Move — 5.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$17.78	$16.57	$18.54	$18.50	$16.57
Max Pain	$17.50	$17.50	$17.50	$17.50	$17.50
ATM IV	15.7%	9.7%	20.1%	20.1%	13.8%
Expected Move	4.9%	3.2%	5.8%	5.8%	4.0%
HV 20d	25.7%	21.3%	29.0%	29.0%	21.3%
HV 60d	20.5%	19.4%	22.1%	19.4%	22.1%
IV Rank	32.5%	4.2%	47.3%	47.3%	25.2%
IV Percentile	64.2%	6.2%	91.7%	91.3%	52.1%
Term Structure	1.2%	-9.2%	8.3%	-9.2%	4.3%
VWIV	24.6%	11.1%	33.5%	33.5%	11.1%
Bid-Ask Spread %	87.37	69.65	106.12	69.65	105.52
Gamma HHI	0.49	0.34	0.60	0.53	0.41
Net GEX	14.7K	284	21.8K	19.0K	21.5K
Net DEX	-283.5K	-493.0K	146.7K	-469.8K	-94.3K
Net VEX	-3.6K	-4.4K	-3.0K	-4.4K	-3.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.76	0.00	5.50	0.00	0.05
Total Volume	39.143	0	336	94	0
Total OI	1,874.857	1,684	2,044	1,914	1,918

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
2007-07-02	$18.50	$17.50	20.1%	5.8%	29.0%	0.0%	33.5%	0.0%	-9.2%	19.0K	-469.8K	-4.4K	0.00	69.65	94	0	1,352	562
2007-07-03	$18.54	$17.50	19.4%	5.6%	28.9%	0.0%	0.0%	0.0%	-7.3%	21.8K	-478.4K	-4.4K	0.00	79.65	80	0	1,402	562
2007-07-05	$18.22	$17.50	18.2%	5.2%	28.5%	47.3%	29.2%	0.0%	-7.3%	19.7K	-478.4K	-4.2K	0.00	80.09	44	0	1,482	562
2007-07-06	$17.99	$17.50	10.7%	5.2%	24.9%	9.1%	0.0%	0.0%	-0.2%	16.2K	-294.7K	-4.1K	0.00	82.10	0	10	1,430	562
2007-07-09	$17.91	$17.50	10.6%	5.1%	25.1%	8.8%	0.0%	0.0%	1.0%	17.6K	-341.2K	-3.8K	0.00	82.38	0	26	1,430	492
2007-07-10	$17.62	$17.50	13.7%	5.2%	25.9%	24.4%	0.0%	0.0%	2.0%	14.9K	-215.5K	-3.7K	0.00	79.85	0	30	1,430	492
2007-07-11	$17.74	$17.50	9.7%	5.0%	25.0%	4.2%	0.0%	0.0%	2.6%	15.8K	-260.2K	-3.7K	0.00	81.26	0	14	1,430	486
2007-07-12	$18.12	$17.50	17.1%	4.9%	25.8%	41.7%	0.0%	0.0%	3.4%	18.9K	-430.6K	-3.7K	0.00	87.37	20	0	1,430	486
2007-07-13	$18.29	$17.50	17.6%	5.0%	25.9%	44.2%	0.0%	0.0%	2.6%	21.3K	-493.0K	-3.9K	0.00	90.55	0	0	1,430	486
2007-07-16	$18.03	$17.50	18.2%	5.2%	26.1%	47.3%	0.0%	0.0%	1.0%	18.2K	-395.3K	-3.6K	0.25	85.24	16	4	1,430	486
2007-07-17	$17.95	$17.50	17.3%	5.0%	26.0%	42.9%	0.0%	0.0%	1.4%	18.2K	-369.8K	-3.5K	0.00	85.52	0	0	1,446	482
2007-07-18	$18.10	$17.50	17.6%	5.1%	26.1%	44.5%	0.0%	0.0%	1.5%	19.0K	-400.3K	-3.5K	0.00	87.59	0	26	1,446	482
2007-07-19	$18.27	$17.50	16.9%	4.8%	25.6%	40.6%	0.0%	0.0%	1.6%	19.9K	-468.1K	-3.6K	0.00	95.92	0	24	1,446	508
2007-07-20	$18.00	$17.50	17.1%	4.9%	26.2%	41.6%	0.0%	0.0%	2.1%	14.7K	-354.9K	-3.5K	0.00	87.89	0	0	1,446	520
2007-07-23	$17.89	$17.50	16.7%	4.8%	25.3%	40.0%	0.0%	0.0%	2.6%	12.3K	-292.8K	-3.4K	0.25	88.21	24	6	1,176	520
2007-07-24	$17.51	$17.50	17.8%	5.1%	26.8%	45.3%	0.0%	0.0%	1.5%	6.5K	-118.7K	-3.3K	0.00	82.15	0	0	1,174	526
2007-07-25	$17.58	$17.50	16.9%	4.9%	26.7%	41.0%	0.0%	0.0%	3.1%	9.0K	-175.5K	-3.4K	5.50	83.46	8	44	1,174	526
2007-07-26	$17.06	$17.50	17.4%	5.0%	28.4%	43.1%	0.0%	0.0%	2.3%	2.8K	26.1K	-3.3K	0.00	88.55	0	12	1,182	550
2007-07-27	$16.73	$17.50	11.8%	3.4%	21.5%	15.1%	0.0%	0.0%	7.7%	284	146.7K	-3.1K	0.00	105.74	0	4	1,182	562
2007-07-30	$16.84	$17.50	11.3%	3.2%	21.5%	12.1%	11.1%	0.0%	8.3%	1.8K	5.7K	-3.0K	0.05	106.12	320	16	1,182	502
2007-07-31	$16.57	$17.50	13.8%	4.0%	21.3%	25.2%	0.0%	0.0%	4.3%	21.5K	-94.3K	-3.0K	0.00	105.52	0	0	1,502	416