OGE Options History — December 2007

In December 2007, OGE traded between $17.84 and $18.59. ATM implied volatility averaged 20.2%, placing in the 6.2% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 2.1% (HV 20d: 18.0%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 1.02.

Notable Days

2007-12-07: Highest Volume — 96 contracts
2007-12-13: Largest IV spike — 88.4% change
2007-12-28: Highest IV Rank — 8.2%
2007-12-28: Largest Expected Move — 6.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$18.22	$17.84	$18.59	$18.00	$18.14
Max Pain	$16.39	$15.00	$17.50	$15.00	$17.50
ATM IV	20.2%	12.3%	23.9%	20.6%	22.9%
Expected Move	6.3%	3.8%	6.9%	5.9%	6.6%
HV 20d	18.0%	15.6%	19.6%	19.6%	17.6%
HV 60d	22.0%	21.4%	24.8%	24.8%	21.9%
IV Rank	6.2%	1.9%	8.2%	6.4%	7.6%
IV Percentile	67.8%	21.0%	88.8%	77.1%	79.6%
Term Structure	0.5%	-2.5%	11.1%	2.6%	-0.8%
VWIV	17.9%	12.3%	23.5%	20.9%	23.5%
Bid-Ask Spread %	85.11	73.13	105.06	91.70	85.37
Gamma HHI	0.51	0.48	0.57	0.49	0.54
Net GEX	33.7K	29.1K	45.5K	35.0K	30.2K
Net DEX	-1.2M	-1.6M	-476.7K	-1.2M	-476.7K
Net VEX	-3.4K	-3.8K	-3.2K	-3.8K	-3.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.02	0.00	10.00	0.00	1.00
Total Volume	20.8	0	96	0	0
Total OI	1,767.5	1,016	2,072	1,908	1,076

Daily Data (20 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
2007-12-03	$18.00	$15.00	20.6%	5.9%	19.6%	6.4%	0.0%	0.0%	2.6%	35.0K	-1.2M	-3.8K	0.00	91.70	0	0	1,456	452
2007-12-04	$18.16	$15.00	16.3%	4.7%	18.8%	4.1%	20.9%	0.0%	2.2%	34.8K	-1.3M	-3.7K	0.00	105.06	28	0	1,456	452
2007-12-05	$18.36	$15.00	13.1%	3.8%	18.7%	2.3%	12.3%	0.0%	11.1%	29.1K	-1.4M	-3.3K	0.00	104.90	58	0	1,456	452
2007-12-06	$18.52	$15.00	14.8%	4.2%	16.8%	3.2%	15.1%	0.0%	9.7%	30.7K	-1.5M	-3.4K	2.00	104.19	2	4	1,486	452
2007-12-07	$18.59	$0.00	16.5%	6.7%	15.9%	4.2%	0.0%	0.0%	-0.9%	32.1K	-1.6M	-3.3K	0.00	73.13	96	0	1,486	448
2007-12-10	$18.39	$0.00	13.1%	6.6%	15.6%	2.3%	0.0%	0.0%	-0.0%	32.6K	-1.6M	-3.6K	0.00	81.46	14	0	1,582	448
2007-12-11	$17.84	$0.00	15.1%	6.6%	18.7%	3.4%	0.0%	0.0%	-0.7%	45.5K	-1.2M	-3.8K	0.22	77.87	18	4	1,590	448
2007-12-12	$17.97	$0.00	12.3%	6.7%	18.8%	1.9%	0.0%	0.0%	-0.5%	41.3K	-1.3M	-3.6K	0.00	78.06	0	8	1,578	452
2007-12-13	$18.29	$0.00	23.1%	6.6%	18.4%	7.8%	0.0%	0.0%	-0.3%	33.9K	-1.5M	-3.5K	0.00	80.60	32	0	1,578	460
2007-12-14	$18.25	$0.00	23.4%	6.7%	18.0%	7.9%	0.0%	0.0%	-0.7%	36.7K	-1.5M	-3.5K	0.00	80.60	0	0	1,596	460
2007-12-17	$18.04	$0.00	23.6%	6.8%	18.7%	8.0%	0.0%	0.0%	-1.2%	38.4K	-1.4M	-3.4K	0.00	79.03	10	0	1,596	460
2007-12-18	$18.30	$0.00	23.4%	6.7%	19.1%	8.0%	0.0%	0.0%	-0.8%	33.5K	-1.5M	-3.4K	0.00	81.69	32	0	1,590	460
2007-12-19	$18.31	$0.00	23.8%	6.8%	17.9%	8.2%	0.0%	0.0%	-0.6%	32.4K	-1.5M	-3.4K	0.00	81.69	8	0	1,590	460
2007-12-20	$18.14	$0.00	23.8%	6.8%	17.9%	8.2%	0.0%	0.0%	-1.1%	32.4K	-1.5M	-3.3K	10.00	80.13	2	20	1,594	460
2007-12-21	$18.26	$0.00	23.5%	6.7%	18.1%	8.0%	23.5%	0.0%	-0.3%	31.1K	-1.5M	-3.4K	0.00	81.84	20	0	1,592	480
2007-12-24	$18.27	$17.50	23.6%	6.8%	18.0%	8.0%	0.0%	0.0%	-1.9%	32.3K	-555.3K	-3.2K	0.00	83.15	0	20	812	204
2007-12-26	$18.17	$17.50	22.8%	6.5%	18.1%	7.6%	0.0%	0.0%	-0.8%	30.5K	-507.2K	-3.3K	1.00	83.40	20	20	812	224
2007-12-27	$18.18	$17.50	23.4%	6.7%	18.1%	8.0%	0.0%	0.0%	-1.8%	30.1K	-499.9K	-3.4K	0.00	83.40	0	0	832	244
2007-12-28	$18.23	$17.50	23.9%	6.9%	17.5%	8.2%	0.0%	0.0%	-2.5%	31.1K	-547.9K	-3.4K	0.00	84.93	0	0	832	244
2007-12-31	$18.14	$17.50	22.9%	6.6%	17.6%	7.6%	0.0%	0.0%	-0.8%	30.2K	-476.7K	-3.3K	0.00	85.37	0	0	832	244