OGE Options History — March 2008

In March 2008, OGE traded between $15.10 and $16.20. ATM implied volatility averaged 26.1%, placing in the 9.4% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 5.2% (HV 20d: 20.9%). 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 8 of 20 days. Put/call ratio averaged 0.73.

Notable Days

2008-03-12: Highest Volume — 58 contracts
2008-03-28: Largest IV spike — 215.4% change
2008-03-28: Highest IV Rank — 41.4%
2008-03-28: Largest Expected Move — 24.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$15.55	$15.10	$16.20	$16.11	$15.59
Max Pain	$16.25	$15.00	$17.50	$17.50	$15.00
ATM IV	26.1%	15.6%	84.7%	16.8%	24.2%
Expected Move	7.9%	4.8%	24.3%	4.8%	6.9%
HV 20d	20.9%	17.2%	23.0%	23.0%	17.2%
HV 60d	20.9%	20.4%	21.4%	21.4%	21.1%
IV Rank	9.4%	3.7%	41.4%	4.3%	8.3%
IV Percentile	74.6%	33.3%	98.8%	38.9%	83.3%
Term Structure	-0.4%	-27.5%	12.6%	12.6%	0.7%
VWIV	23.5%	16.0%	26.9%	16.0%	26.7%
Bid-Ask Spread %	86.07	34.60	155.87	104.33	34.60
Gamma HHI	0.57	0.41	0.71	0.65	0.64
Net GEX	13.5K	5.0K	26.7K	17.4K	8.3K
Net DEX	24.6K	-97.3K	121.5K	13.1K	31.5K
Net VEX	-2.0K	-2.8K	-1.7K	-2.2K	-2.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.73	0.00	6.25	0.00	0.00
Total Volume	17.8	0	58	10	0
Total OI	1,369.2	916	1,600	1,530	1,034

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
2008-03-03	$16.11	$17.50	16.8%	4.8%	23.0%	4.3%	16.0%	0.0%	12.6%	17.4K	13.1K	-2.2K	0.00	104.33	10	0	1,258	272
2008-03-04	$16.20	$17.50	17.8%	5.1%	22.1%	4.9%	0.0%	0.0%	11.4%	19.4K	-21.4K	-2.3K	0.00	104.36	0	0	1,268	272
2008-03-05	$16.09	$17.50	18.2%	5.2%	19.2%	5.1%	0.0%	0.0%	9.1%	17.5K	346	-2.2K	0.00	104.37	0	0	1,268	272
2008-03-06	$15.86	$17.50	20.0%	5.7%	19.6%	6.1%	0.0%	0.0%	2.6%	18.1K	32.6K	-2.1K	0.00	105.32	0	20	1,268	272
2008-03-07	$15.79	$15.00	21.4%	7.7%	19.6%	6.9%	26.9%	0.0%	-2.1%	18.6K	-23.4K	-2.2K	0.00	79.38	12	0	1,268	242
2008-03-10	$15.74	$17.50	20.7%	7.6%	19.6%	6.5%	0.0%	0.0%	-1.7%	15.1K	-44.2K	-2.1K	0.00	79.47	0	0	1,270	222
2008-03-11	$15.95	$17.50	18.9%	7.7%	20.3%	5.5%	24.4%	0.0%	-2.2%	13.0K	-97.3K	-2.1K	0.00	71.72	40	0	1,270	202
2008-03-12	$15.63	$17.50	15.6%	7.7%	21.1%	3.7%	0.0%	0.0%	-2.1%	11.5K	-41.9K	-1.9K	6.25	78.33	8	50	1,290	202
2008-03-13	$15.64	$17.50	26.8%	7.7%	21.1%	9.8%	0.0%	0.0%	-2.1%	9.5K	5.5K	-2.1K	0.00	78.88	0	0	1,282	252
2008-03-14	$15.26	$17.50	26.5%	7.6%	22.3%	9.6%	0.0%	0.0%	-1.6%	10.2K	69.0K	-1.9K	0.00	77.36	20	0	1,282	252
2008-03-17	$15.13	$17.50	26.7%	7.7%	22.2%	9.7%	26.7%	0.0%	-2.0%	11.9K	74.2K	-1.8K	0.07	58.36	30	2	1,292	252
2008-03-18	$15.23	$15.00	26.3%	7.5%	22.5%	9.5%	0.0%	0.0%	-1.1%	17.8K	25.7K	-1.9K	0.00	77.80	16	0	1,322	250
2008-03-19	$15.10	$15.00	26.3%	7.5%	21.3%	9.5%	0.0%	0.0%	-1.6%	26.7K	74.4K	-1.7K	0.00	84.32	0	20	1,330	250
2008-03-20	$15.14	$15.00	26.7%	7.7%	21.5%	9.8%	0.0%	0.0%	-1.6%	23.9K	50.5K	-1.8K	0.00	84.30	0	4	1,330	270
2008-03-24	$15.27	$15.00	25.9%	7.4%	21.1%	9.3%	0.0%	0.0%	1.7%	5.1K	88.6K	-1.8K	0.00	85.49	0	20	654	262
2008-03-25	$15.40	$15.00	25.8%	7.4%	21.4%	9.2%	0.0%	0.0%	0.9%	5.0K	121.5K	-1.8K	0.00	86.04	42	0	654	282
2008-03-26	$15.26	$15.00	26.5%	7.6%	21.2%	9.6%	0.0%	0.0%	0.4%	6.0K	109.9K	-1.8K	1.00	85.49	20	20	690	282
2008-03-27	$15.28	$15.00	26.9%	7.7%	21.2%	9.8%	0.0%	0.0%	-2.0%	6.0K	83.2K	-2.1K	0.00	85.64	22	0	710	302
2008-03-28	$15.33	$15.00	84.7%	24.3%	20.9%	41.4%	0.0%	0.0%	-27.5%	8.8K	-60.1K	-2.8K	0.00	155.87	0	0	732	302
2008-03-31	$15.59	$15.00	24.2%	6.9%	17.2%	8.3%	0.0%	0.0%	0.7%	8.3K	31.5K	-2.1K	0.00	34.60	0	0	732	302