To create a grade column that displays an average of a gouping of grade items to the student, such as their average exam grade, do the following: 

1. Go to Grades > Manage Grades
2. Click New > Item
3. On the "Choose a Grade Item Type" page, select "Calculated". 
4. Give the gradebook item a name, such as Exam Average. 
5. Do not select a category. 
6. In the "Grade Item to Include" list near the bottom of the page, select all of the items you want to factor into this average. If the items are under a category, such as exams, then you can just select the category to select all of the items within it. 
7. Click "Save and Close". 

Please note: if you ever add a quiz or exam that should be factored into this average, you will need to edit this gradebook item to add the new gradebook items to the average.