OGE Options History — June 2008

In June 2008, OGE traded between $15.66 and $17.01. ATM implied volatility averaged 31.2%, placing in the 11.8% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 16.4% (HV 20d: 14.8%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.25.

Notable Days

2008-06-26: Highest Volume — 12 contracts
2008-06-30: Largest IV spike — 257.4% change
2008-06-30: Highest IV Rank — 43.6%
2008-06-30: Largest Expected Move — 25.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$16.45	$15.66	$17.01	$16.61	$15.86
Max Pain	$15.00	$15.00	$15.00	$15.00	$15.00
ATM IV	31.2%	17.2%	89.2%	30.1%	89.2%
Expected Move	8.7%	4.8%	25.6%	8.6%	25.6%
HV 20d	14.8%	13.0%	18.7%	13.6%	18.7%
HV 60d	16.0%	15.4%	16.7%	16.4%	16.6%
IV Rank	11.8%	4.2%	43.6%	11.2%	43.6%
IV Percentile	75.1%	23.4%	99.2%	90.9%	99.2%
Term Structure	-9.4%	-49.9%	4.6%	-20.8%	-28.0%
Bid-Ask Spread %	144.66	104.73	168.48	123.15	168.48
Gamma HHI	0.91	0.66	0.95	0.90	0.66
Net GEX	23.5K	10.2K	37.1K	27.1K	10.7K
Net DEX	-251.6K	-390.2K	-68.3K	-309.0K	-187.5K
Net VEX	-1.9K	-2.3K	-1.5K	-2.3K	-2.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.25	0.00	1.00	0.00	0.00
Total Volume	2	0	12	0	0
Total OI	1,097.524	812	1,218	1,218	822

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
2008-06-02	$16.61	$15.00	30.1%	8.6%	13.6%	11.2%	0.0%	0.0%	-20.8%	27.1K	-309.0K	-2.3K	0.00	123.15	0	0	920	298
2008-06-03	$16.57	$15.00	41.3%	11.8%	13.5%	17.3%	0.0%	0.0%	-1.0%	26.4K	-301.6K	-2.2K	0.00	145.77	0	0	920	298
2008-06-04	$16.66	$15.00	18.7%	5.4%	13.0%	5.0%	0.0%	0.0%	0.7%	28.3K	-295.6K	-2.2K	0.00	121.86	0	0	920	298
2008-06-05	$17.01	$15.00	18.8%	5.4%	14.4%	5.0%	0.0%	0.0%	4.6%	37.1K	-390.2K	-2.2K	0.00	104.73	0	0	920	298
2008-06-06	$16.74	$0.00	21.1%	5.5%	15.1%	6.3%	0.0%	0.0%	-4.5%	30.8K	-314.5K	-2.1K	0.00	124.99	0	0	920	298
2008-06-09	$16.86	$0.00	21.7%	5.4%	13.3%	6.6%	0.0%	0.0%	-4.5%	33.9K	-340.4K	-2.0K	0.00	124.78	0	0	920	298
2008-06-10	$16.72	$0.00	23.2%	4.8%	13.6%	7.4%	0.0%	0.0%	0.0%	31.1K	-315.0K	-2.0K	0.00	131.59	0	0	920	298
2008-06-11	$16.59	$0.00	24.7%	4.9%	13.9%	8.3%	0.0%	0.0%	-3.7%	27.0K	-274.8K	-2.0K	0.00	133.34	0	0	920	298
2008-06-12	$16.48	$0.00	17.2%	4.9%	14.1%	4.2%	0.0%	0.0%	-3.5%	25.1K	-251.7K	-1.9K	0.00	135.37	10	0	920	298
2008-06-13	$16.45	$0.00	29.0%	8.3%	14.1%	10.6%	0.0%	0.0%	-3.4%	25.0K	-265.2K	-1.9K	0.00	165.99	0	0	920	274
2008-06-16	$16.46	$0.00	30.3%	8.7%	13.9%	11.3%	0.0%	0.0%	-3.9%	20.4K	-250.7K	-1.8K	0.00	165.99	0	0	920	274
2008-06-17	$16.64	$0.00	17.9%	5.1%	14.1%	4.6%	0.0%	0.0%	-4.0%	29.3K	-307.3K	-1.8K	1.00	134.05	4	4	920	274
2008-06-18	$16.57	$0.00	31.2%	8.9%	14.2%	11.8%	0.0%	0.0%	-3.1%	27.5K	-297.9K	-1.8K	0.00	164.60	0	0	924	278
2008-06-19	$16.55	$0.00	31.6%	9.1%	14.2%	12.1%	0.0%	0.0%	-3.4%	27.4K	-293.3K	-1.8K	0.00	163.60	8	0	924	278
2008-06-20	$16.25	$0.00	35.6%	10.2%	15.2%	14.2%	0.0%	0.0%	-37.9%	18.3K	-209.6K	-1.7K	0.00	167.82	0	0	924	278
2008-06-23	$16.43	$0.00	33.3%	9.5%	15.8%	13.0%	0.0%	0.0%	-1.9%	17.1K	-190.5K	-1.7K	0.00	167.00	4	0	598	214
2008-06-24	$16.20	$0.00	38.6%	11.1%	15.4%	15.9%	0.0%	0.0%	-18.8%	14.6K	-150.5K	-1.7K	0.00	167.82	0	0	602	214
2008-06-25	$16.30	$0.00	34.3%	9.8%	15.6%	13.5%	0.0%	0.0%	-3.1%	15.3K	-184.1K	-1.9K	0.00	159.39	0	0	602	214
2008-06-26	$15.90	$0.00	42.9%	12.3%	17.5%	18.2%	0.0%	0.0%	-49.9%	10.8K	-85.2K	-1.5K	0.00	153.83	0	12	602	214
2008-06-27	$15.66	$0.00	24.9%	7.2%	18.0%	8.4%	0.0%	0.0%	-7.6%	10.2K	-68.3K	-1.5K	0.00	113.73	0	0	602	214
2008-06-30	$15.86	$0.00	89.2%	25.6%	18.7%	43.6%	0.0%	0.0%	-28.0%	10.7K	-187.5K	-2.2K	0.00	168.48	0	0	602	220