OGE Options History — September 2007

In September 2007, OGE traded between $15.96 and $17.05. ATM implied volatility averaged 21.4%, placing in the 6.8% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded below realized volatility by 12.6% (HV 20d: 33.9%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 0.25.

Notable Days

2007-09-24: Highest Volume — 192 contracts
2007-09-17: Largest IV drop — 28.4% change
2007-09-14: Highest IV Rank — 9.6%
2007-09-11: Largest Expected Move — 7.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$16.58	$15.96	$17.05	$16.95	$16.55
Max Pain	$17.50	$17.50	$17.50	$17.50	$17.50
ATM IV	21.4%	14.8%	26.4%	23.9%	14.8%
Expected Move	6.4%	4.2%	7.6%	6.9%	4.2%
HV 20d	33.9%	27.1%	38.8%	38.8%	27.3%
HV 60d	33.8%	32.5%	35.0%	32.5%	33.0%
IV Rank	6.8%	3.2%	9.6%	8.2%	3.2%
IV Percentile	83.3%	48.9%	94.3%	92.3%	48.9%
Term Structure	1.4%	-1.5%	10.1%	-0.5%	10.1%
VWIV	21.1%	13.2%	26.3%	26.3%	13.2%
Bid-Ask Spread %	59.53	13.48	128.89	13.48	104.98
Gamma HHI	0.61	0.42	0.75	0.73	0.57
Net GEX	34.7K	14.1K	56.4K	52.8K	31.2K
Net DEX	-313.7K	-551.2K	-18.3K	-551.2K	-384.5K
Net VEX	-2.8K	-3.2K	-2.1K	-3.1K	-3.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.25	0.00	1.30	0.00	0.00
Total Volume	43.474	0	192	60	12
Total OI	1,899.684	1,150	2,248	1,950	1,394

Daily Data (19 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
2007-09-04	$16.95	$17.50	23.9%	6.9%	38.8%	8.2%	0.0%	0.0%	-0.5%	52.8K	-551.2K	-3.1K	0.00	13.48	0	60	1,630	320
2007-09-05	$16.78	$17.50	19.5%	5.6%	38.6%	5.8%	0.0%	0.0%	-0.1%	46.4K	-414.9K	-2.9K	0.00	18.30	0	0	1,630	350
2007-09-06	$17.05	$17.50	24.6%	7.1%	38.8%	8.6%	0.0%	0.0%	-0.6%	52.0K	-539.6K	-3.0K	0.00	18.80	4	0	1,630	350
2007-09-07	$16.91	$17.50	25.8%	6.8%	30.9%	9.2%	0.0%	0.0%	-0.4%	48.5K	-463.7K	-3.0K	0.00	51.89	0	0	1,634	350
2007-09-10	$15.96	$17.50	18.6%	7.5%	38.0%	5.3%	26.3%	0.0%	-0.3%	14.1K	-18.3K	-2.1K	1.00	39.45	40	40	1,634	350
2007-09-11	$15.99	$17.50	17.7%	7.6%	35.6%	4.8%	0.0%	0.0%	-0.9%	25.4K	-109.3K	-2.5K	0.00	39.16	10	0	1,674	378
2007-09-12	$16.21	$17.50	20.2%	7.5%	34.5%	6.2%	0.0%	0.0%	0.3%	16.3K	-88.1K	-2.3K	0.00	34.87	0	0	1,674	378
2007-09-13	$16.07	$17.50	25.4%	7.3%	34.5%	9.0%	22.0%	0.0%	0.5%	15.3K	-72.0K	-2.3K	0.00	54.37	160	0	1,674	378
2007-09-14	$16.18	$17.50	26.4%	7.6%	34.5%	9.6%	0.0%	0.0%	0.0%	22.8K	-117.9K	-2.5K	0.00	35.27	40	0	1,834	378
2007-09-17	$16.26	$17.50	18.9%	5.4%	34.1%	5.5%	0.0%	0.0%	-1.5%	25.5K	-165.5K	-2.6K	0.00	36.92	0	0	1,870	378
2007-09-18	$16.74	$17.50	24.1%	6.9%	35.1%	8.3%	0.0%	0.0%	-1.3%	39.6K	-302.8K	-2.8K	0.00	57.70	12	0	1,870	378
2007-09-19	$16.96	$17.50	22.9%	6.6%	34.9%	7.7%	23.0%	0.0%	0.1%	56.4K	-395.0K	-2.8K	0.00	78.54	102	0	1,870	378
2007-09-20	$16.78	$17.50	23.8%	6.8%	33.1%	8.1%	0.0%	0.0%	-1.1%	39.4K	-306.6K	-2.7K	1.30	55.52	20	26	1,840	378
2007-09-21	$16.82	$17.50	23.3%	6.7%	33.0%	7.9%	0.0%	0.0%	-0.1%	45.0K	-346.4K	-2.7K	0.00	60.26	0	0	1,860	364
2007-09-24	$16.81	$17.50	17.2%	4.9%	33.0%	4.5%	0.0%	0.0%	6.3%	28.5K	-421.3K	-2.7K	0.26	116.22	152	40	902	248
2007-09-25	$16.61	$17.50	20.0%	5.7%	32.7%	6.1%	13.2%	0.0%	8.5%	32.1K	-408.4K	-2.9K	0.23	128.89	88	20	1,042	288
2007-09-26	$16.66	$17.50	22.3%	6.4%	30.6%	7.3%	0.0%	0.0%	2.7%	33.8K	-405.9K	-3.1K	0.00	94.88	0	0	1,086	308
2007-09-27	$16.71	$17.50	16.7%	4.8%	27.1%	4.2%	0.0%	0.0%	5.0%	34.2K	-449.5K	-3.2K	0.00	91.62	0	0	1,086	308
2007-09-28	$16.55	$17.50	14.8%	4.2%	27.3%	3.2%	0.0%	0.0%	10.1%	31.2K	-384.5K	-3.1K	0.00	104.98	12	0	1,086	308