OGE Options History — August 2008

In August 2008, OGE traded between $15.98 and $17.32. ATM implied volatility averaged 52.5%, placing in the 22.7% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 31.9% (HV 20d: 20.6%). 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 15 of 21 days. Put/call ratio averaged 0.07.

Notable Days

2008-08-15: Highest Volume — 82 contracts
2008-08-08: Largest IV spike — 108.3% change
2008-08-11: Highest IV Rank — 80.0%
2008-08-01: Largest Expected Move — 13.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$16.61	$15.98	$17.32	$15.98	$16.85
Max Pain	$15.00	$15.00	$15.00	$15.00	$15.00
ATM IV	52.5%	13.4%	156.2%	46.1%	15.7%
Expected Move	6.4%	3.8%	13.2%	13.2%	4.5%
HV 20d	20.6%	18.4%	22.8%	18.7%	21.4%
HV 60d	17.9%	16.5%	19.2%	16.8%	19.2%
IV Rank	22.7%	0.8%	80.0%	18.8%	2.4%
IV Percentile	51.8%	1.2%	99.6%	92.9%	7.9%
Term Structure	-1.7%	-35.9%	11.5%	-35.9%	2.5%
VWIV	13.6%	8.9%	18.3%	8.9%	18.3%
Bid-Ask Spread %	131.08	95.27	165.83	165.83	116.10
Gamma HHI	0.92	0.88	0.95	0.89	0.94
Net GEX	34.0K	10.3K	66.2K	10.3K	50.4K
Net DEX	-336.5K	-570.7K	-127.1K	-127.1K	-427.8K
Net VEX	-1.5K	-2.0K	-923	-923	-1.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.07	0.00	0.91	0.00	0.00
Total Volume	14.095	0	82	0	0
Total OI	937.81	814	1,096	814	1,096

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
2008-08-01	$15.98	$15.00	46.1%	13.2%	18.7%	18.8%	0.0%	0.0%	-35.9%	10.3K	-127.1K	-923	0.00	165.83	0	0	614	200
2008-08-04	$16.07	$15.00	50.6%	7.5%	18.8%	21.3%	0.0%	0.0%	-20.7%	15.1K	-189.6K	-1.3K	0.00	143.72	6	0	614	200
2008-08-05	$16.31	$15.00	105.3%	6.9%	19.0%	51.7%	8.9%	0.0%	10.4%	18.0K	-239.3K	-1.4K	0.00	142.40	36	0	620	200
2008-08-06	$16.24	$15.00	68.3%	7.6%	18.4%	31.2%	0.0%	0.0%	-19.7%	18.7K	-231.7K	-1.4K	0.00	145.13	4	0	648	200
2008-08-07	$16.00	$15.00	59.3%	8.9%	18.7%	26.2%	0.0%	0.0%	-23.2%	12.4K	-140.7K	-997	0.00	136.77	10	0	652	200
2008-08-08	$16.43	$15.00	123.5%	7.2%	21.0%	61.9%	0.0%	0.0%	10.8%	21.5K	-286.6K	-1.5K	0.00	140.08	6	0	662	200
2008-08-11	$16.40	$15.00	156.2%	7.3%	20.7%	80.0%	0.0%	0.0%	11.5%	21.4K	-282.8K	-1.5K	0.00	141.03	0	0	668	200
2008-08-12	$16.25	$15.00	128.8%	7.2%	21.0%	64.8%	0.0%	0.0%	10.7%	19.6K	-247.9K	-1.4K	0.00	144.95	4	0	668	200
2008-08-13	$16.38	$15.00	154.4%	7.5%	20.0%	79.0%	0.0%	0.0%	11.1%	21.4K	-275.2K	-1.5K	0.00	142.23	0	0	672	200
2008-08-14	$16.25	$15.00	29.0%	8.3%	19.9%	9.3%	0.0%	0.0%	-23.6%	19.8K	-245.3K	-1.4K	0.00	145.13	0	0	672	200
2008-08-15	$16.64	$15.00	28.1%	8.1%	21.2%	11.0%	0.0%	0.0%	10.6%	24.8K	-343.7K	-1.5K	0.00	136.24	82	0	672	200
2008-08-18	$16.86	$15.00	15.9%	4.6%	21.4%	2.5%	18.3%	0.0%	0.4%	40.0K	-422.4K	-1.7K	0.00	116.49	20	0	754	194
2008-08-19	$16.96	$15.00	15.3%	4.4%	21.4%	2.1%	0.0%	0.0%	1.1%	48.5K	-429.3K	-1.6K	0.91	117.35	22	20	774	194
2008-08-20	$16.90	$15.00	15.1%	4.3%	21.6%	1.9%	0.0%	0.0%	6.5%	44.9K	-417.8K	-1.7K	0.00	131.95	20	0	796	214
2008-08-21	$16.90	$15.00	15.0%	4.3%	21.4%	1.9%	0.0%	0.0%	7.7%	47.9K	-396.0K	-1.7K	0.00	128.29	20	0	816	214
2008-08-22	$16.98	$15.00	14.1%	4.0%	21.3%	1.3%	0.0%	0.0%	1.5%	54.7K	-457.6K	-1.8K	0.00	116.73	0	0	836	214
2008-08-25	$16.75	$15.00	13.4%	3.8%	22.1%	0.8%	0.0%	0.0%	2.8%	43.0K	-353.5K	-1.6K	0.00	118.26	0	0	836	214
2008-08-26	$17.06	$15.00	17.5%	5.0%	22.8%	3.7%	0.0%	0.0%	-1.2%	51.9K	-476.1K	-1.8K	0.00	121.04	0	0	836	214
2008-08-27	$17.16	$15.00	13.7%	3.9%	21.0%	1.0%	0.0%	0.0%	0.8%	63.5K	-505.8K	-1.8K	0.00	95.27	30	0	836	214
2008-08-28	$17.32	$15.00	16.9%	4.8%	20.7%	3.2%	0.0%	0.0%	0.2%	66.2K	-570.7K	-2.0K	0.00	107.63	16	0	866	214
2008-08-29	$16.85	$15.00	15.7%	4.5%	21.4%	2.4%	0.0%	0.0%	2.5%	50.4K	-427.8K	-1.8K	0.00	116.10	0	0	882	214