OGE Options History — November 2007

In November 2007, OGE traded between $17.50 and $18.45. ATM implied volatility averaged 20.4%, placing in the 6.3% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded below realized volatility by 8.6% (HV 20d: 29.0%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.13.

Notable Days

2007-11-01: Highest Volume — 208 contracts
2007-11-14: Largest IV spike — 32.3% change
2007-11-15: Highest IV Rank — 8.1%
2007-11-15: Largest Expected Move — 6.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$17.98	$17.50	$18.45	$18.36	$17.80
Max Pain	$15.24	$15.00	$17.50	$17.50	$15.00
ATM IV	20.4%	14.5%	23.8%	18.4%	20.8%
Expected Move	6.2%	5.3%	6.8%	5.3%	5.9%
HV 20d	29.0%	19.2%	31.6%	27.5%	19.2%
HV 60d	26.9%	24.7%	31.2%	31.2%	24.7%
IV Rank	6.3%	3.1%	8.1%	5.2%	6.5%
IV Percentile	74.6%	40.3%	86.4%	71.9%	77.8%
Term Structure	1.8%	-4.2%	4.6%	-4.2%	2.6%
VWIV	21.9%	17.1%	26.9%	17.1%	20.7%
Bid-Ask Spread %	90.54	83.47	109.08	108.91	88.03
Gamma HHI	0.56	0.45	0.70	0.63	0.49
Net GEX	55.5K	34.5K	88.0K	57.0K	34.7K
Net DEX	-1.4M	-1.9M	-1.0M	-1.7M	-1.1M
Net VEX	-4.2K	-4.7K	-3.5K	-3.5K	-3.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.13	0.00	1.00	0.41	0.00
Total Volume	42.762	0	208	208	2
Total OI	1,995.619	1,886	2,132	1,886	1,908

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
2007-11-01	$18.36	$17.50	18.4%	5.3%	27.5%	5.2%	17.1%	0.0%	-4.2%	57.0K	-1.7M	-3.5K	0.41	108.91	148	60	1,542	344
2007-11-02	$18.45	$17.50	20.2%	5.8%	27.4%	6.2%	0.0%	0.0%	0.0%	53.9K	-1.9M	-4.0K	0.00	109.08	148	0	1,622	394
2007-11-05	$18.12	$15.00	17.1%	5.8%	28.5%	4.5%	0.0%	0.0%	3.6%	64.3K	-1.6M	-4.1K	0.00	86.22	0	20	1,618	394
2007-11-06	$18.33	$15.00	20.1%	5.5%	28.1%	6.1%	18.5%	0.0%	4.4%	55.0K	-1.8M	-4.0K	0.00	101.61	58	0	1,618	414
2007-11-07	$17.91	$15.00	17.2%	5.7%	29.6%	4.5%	0.0%	0.0%	4.0%	74.8K	-1.5M	-4.3K	0.00	95.72	14	0	1,642	414
2007-11-08	$18.21	$15.00	19.8%	5.5%	29.9%	5.9%	26.9%	0.0%	4.6%	59.4K	-1.7M	-4.1K	0.00	98.46	52	0	1,642	414
2007-11-09	$17.96	$15.00	14.5%	6.4%	30.5%	3.1%	22.3%	0.0%	2.3%	70.9K	-1.6M	-4.4K	1.00	85.13	20	20	1,672	414
2007-11-12	$17.76	$15.00	16.8%	6.5%	30.9%	4.3%	22.5%	0.0%	2.6%	88.0K	-1.4M	-4.3K	0.00	84.33	18	0	1,652	434
2007-11-13	$17.82	$15.00	17.2%	6.4%	30.9%	4.5%	22.2%	0.0%	2.4%	84.0K	-1.4M	-4.2K	0.00	84.65	170	0	1,652	434
2007-11-14	$17.50	$15.00	22.7%	6.8%	31.0%	7.6%	23.7%	0.0%	1.1%	81.7K	-1.1M	-4.6K	0.71	83.47	28	20	1,646	434
2007-11-15	$17.73	$15.00	23.8%	6.8%	31.2%	8.1%	0.0%	0.0%	1.0%	70.4K	-1.3M	-4.6K	0.00	84.12	0	20	1,658	454
2007-11-16	$17.72	$15.00	23.6%	6.8%	30.8%	8.1%	0.0%	0.0%	1.6%	79.8K	-1.3M	-4.7K	0.00	84.19	14	0	1,658	474
2007-11-19	$17.88	$15.00	23.4%	6.7%	30.9%	7.9%	23.4%	0.0%	-0.1%	37.1K	-1.1M	-4.4K	0.00	95.02	30	0	1,484	452
2007-11-20	$18.21	$15.00	23.5%	6.7%	31.5%	8.0%	23.5%	0.0%	0.2%	38.2K	-1.3M	-4.5K	0.00	86.75	2	0	1,476	452
2007-11-21	$18.04	$15.00	23.4%	6.7%	31.6%	7.9%	22.7%	0.0%	0.6%	37.7K	-1.2M	-4.3K	0.00	85.86	4	0	1,474	452
2007-11-23	$18.04	$15.00	23.4%	6.7%	29.4%	8.0%	0.0%	0.0%	-0.4%	37.9K	-1.2M	-4.3K	0.00	86.52	0	0	1,474	452
2007-11-26	$17.95	$15.00	20.4%	5.8%	29.1%	6.3%	20.4%	0.0%	2.9%	36.6K	-1.2M	-4.1K	0.00	88.56	40	0	1,474	452
2007-11-27	$17.93	$15.00	20.8%	5.9%	29.0%	6.5%	0.0%	0.0%	2.7%	34.5K	-1.1M	-4.0K	0.00	88.56	0	0	1,454	452
2007-11-28	$17.99	$15.00	20.1%	5.8%	28.5%	6.1%	0.0%	0.0%	3.3%	34.8K	-1.2M	-4.0K	0.00	88.94	0	0	1,454	452
2007-11-29	$17.77	$15.00	21.3%	6.1%	23.9%	6.8%	21.3%	0.0%	1.8%	34.5K	-1.0M	-3.9K	0.00	87.26	10	0	1,454	452
2007-11-30	$17.80	$15.00	20.8%	5.9%	19.2%	6.5%	20.7%	0.0%	2.6%	34.7K	-1.1M	-3.9K	0.00	88.03	2	0	1,456	452