OGE Options History — February 2008

In February 2008, OGE traded between $16.23 and $16.93. ATM implied volatility averaged 25.7%, placing in the 9.2% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 2.7% (HV 20d: 23.0%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.34.

Notable Days

2008-02-04: Highest Volume — 100 contracts
2008-02-08: Largest IV spike — 297.3% change
2008-02-08: Highest IV Rank — 42.2%
2008-02-08: Largest Expected Move — 7.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$16.55	$16.23	$16.93	$16.52	$16.23
Max Pain	$17.50	$17.50	$17.50	$17.50	$17.50
ATM IV	25.7%	14.6%	86.2%	16.6%	15.9%
Expected Move	6.5%	4.6%	7.2%	4.8%	4.6%
HV 20d	23.0%	17.0%	26.7%	23.6%	23.2%
HV 60d	20.1%	19.4%	21.5%	20.1%	21.5%
IV Rank	9.2%	3.1%	42.2%	4.2%	3.9%
IV Percentile	71.6%	29.8%	99.2%	44.0%	35.7%
Term Structure	1.2%	-2.5%	12.9%	8.3%	12.9%
VWIV	22.2%	14.5%	24.8%	24.2%	14.5%
Bid-Ask Spread %	80.45	61.36	105.36	105.36	104.34
Gamma HHI	0.62	0.50	0.73	0.50	0.64
Net GEX	26.7K	17.8K	41.3K	17.8K	19.9K
Net DEX	-125.9K	-302.0K	10.6K	-49.5K	10.6K
Net VEX	-2.7K	-3.2K	-2.3K	-2.5K	-2.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.34	0.00	4.00	0.50	0.00
Total Volume	31.8	0	100	60	18
Total OI	1,371.7	1,232	1,512	1,232	1,512

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
2008-02-01	$16.52	$0.00	16.6%	4.8%	23.6%	4.2%	0.0%	0.0%	8.3%	17.8K	-49.5K	-2.5K	0.50	105.36	40	20	968	264
2008-02-04	$16.80	$17.50	14.6%	6.9%	24.6%	3.1%	24.2%	0.0%	-1.5%	22.9K	-165.1K	-2.8K	4.00	61.36	20	80	1,008	244
2008-02-05	$16.27	$17.50	19.9%	7.0%	26.7%	6.0%	0.0%	0.0%	-1.6%	19.8K	-51.3K	-2.5K	0.00	63.67	0	0	1,028	244
2008-02-06	$16.39	$17.50	20.1%	7.1%	26.7%	6.1%	24.8%	0.0%	-2.3%	20.9K	-72.7K	-2.5K	0.00	66.61	32	0	1,028	244
2008-02-07	$16.41	$17.50	21.7%	6.6%	26.3%	7.0%	23.2%	0.0%	-0.5%	20.2K	-53.0K	-2.5K	0.00	64.49	20	0	1,028	244
2008-02-08	$16.45	$17.50	86.2%	7.2%	25.4%	42.2%	0.0%	0.0%	-2.4%	21.8K	-89.8K	-2.5K	0.00	81.40	40	0	1,044	244
2008-02-11	$16.44	$17.50	28.7%	7.0%	25.3%	10.8%	0.0%	0.0%	-1.9%	21.5K	-90.9K	-2.5K	0.29	68.00	70	20	1,018	244
2008-02-12	$16.57	$17.50	29.5%	7.2%	25.5%	11.3%	0.0%	0.0%	-2.5%	23.9K	-143.4K	-2.9K	0.00	72.00	10	0	1,068	264
2008-02-13	$16.48	$17.50	35.6%	7.1%	25.3%	14.6%	0.0%	0.0%	-2.3%	22.9K	-100.6K	-2.8K	0.00	73.27	0	20	1,058	264
2008-02-14	$16.27	$17.50	24.0%	6.9%	25.4%	8.3%	24.2%	0.0%	-1.4%	20.5K	-46.7K	-2.6K	0.00	71.16	2	0	1,058	272
2008-02-15	$16.34	$17.50	24.4%	7.0%	24.9%	8.5%	0.0%	0.0%	-1.5%	20.9K	-53.8K	-2.6K	0.00	76.45	28	0	1,060	272
2008-02-19	$16.34	$17.50	21.3%	6.1%	24.4%	6.8%	21.4%	0.0%	3.1%	20.9K	-25.0K	-2.5K	0.00	94.74	88	0	1,074	272
2008-02-20	$16.61	$17.50	22.6%	6.5%	21.3%	7.5%	0.0%	0.0%	2.6%	30.6K	-149.8K	-2.9K	0.00	87.06	40	0	1,162	272
2008-02-21	$16.56	$17.50	21.7%	6.2%	21.3%	7.0%	0.0%	0.0%	3.2%	31.8K	-137.9K	-2.9K	0.00	90.43	14	0	1,202	272
2008-02-22	$16.77	$17.50	22.2%	6.4%	19.4%	7.3%	0.0%	0.0%	2.4%	37.0K	-231.5K	-3.2K	0.00	84.96	0	0	1,216	272
2008-02-25	$16.85	$17.50	22.1%	6.3%	18.3%	7.2%	22.1%	0.0%	2.1%	39.2K	-256.7K	-3.1K	0.00	85.17	36	0	1,216	272
2008-02-26	$16.93	$17.50	22.9%	6.6%	17.0%	7.6%	22.9%	0.0%	1.6%	41.3K	-302.0K	-3.2K	0.00	83.57	14	0	1,230	272
2008-02-27	$16.79	$17.50	22.0%	6.3%	17.2%	7.2%	22.0%	0.0%	2.2%	39.4K	-248.8K	-3.1K	0.71	87.45	14	10	1,240	272
2008-02-28	$16.93	$17.50	21.5%	6.2%	17.4%	6.9%	0.0%	0.0%	3.5%	41.2K	-259.9K	-3.1K	0.00	87.58	0	0	1,240	272
2008-02-29	$16.23	$17.50	15.9%	4.6%	23.2%	3.9%	14.5%	0.0%	12.9%	19.9K	10.6K	-2.3K	0.00	104.34	18	0	1,240	272