PWB Options History — January 2007

In January 2007, PWB traded between $16.67 and $17.16. ATM implied volatility averaged 60.6%. The 30-day expected move averaged 17.3%. IV traded above realized volatility by 51.1% (HV 20d: 9.5%). Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 0.00.

Notable Days

  • 2007-01-03: Highest Volume — 5 contracts
  • 2007-01-19: Largest IV spike — 959.5% change
  • 2007-01-29: Largest Expected Move — 47.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.92$16.67$17.16$16.71$17.08
ATM IV60.6%11.7%166.3%12.4%16.1%
Expected Move17.3%3.1%47.7%3.5%4.6%
HV 20d9.5%9.4%9.6%9.6%9.4%
Term Structure-48.6%-157.4%1.2%0.5%-5.9%
Skew 25d7.4%-1.6%28.3%2.1%0.1%
Skew 10d7.6%-1.5%28.4%-1.5%1.3%
Call IV 25d59.4%13.2%174.8%15.1%20.0%
Put IV 25d66.9%11.8%197.4%17.2%20.1%
Bid-Ask Spread %143.98105.08200.00114.53143.16
Gamma HHI0.620.540.710.560.66
Net GEX2.5K1.7K3.5K3.5K1.9K
Net DEX-149.8K-155.8K-140.7K-142.3K-155.0K
Net VEX-67-116-34-111-34
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume0.60550
Total OI9494949494

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-01-03$16.71$0.0012.4%3.5%0.0%0.0%0.0%2.1%0.5%3.5K-142.3K-1110.00114.53N/AN/A50940
2007-01-04$16.73$0.0011.9%3.4%0.0%0.0%0.0%1.8%0.6%3.2K-143.4K-1070.00115.39N/AN/A00940
2007-01-05$16.67$0.0013.0%3.6%0.0%0.0%0.0%-1.6%0.1%3.5K-140.7K-1160.00106.90N/AN/A00940
2007-01-08$16.68$0.0013.4%3.1%0.0%0.0%0.0%-1.6%-0.0%3.3K-143.8K-1000.00107.57N/AN/A20940
2007-01-09$16.73$0.0014.3%3.6%0.0%0.0%0.0%-0.9%-0.1%3.4K-143.0K-1010.00107.67N/AN/A00940
2007-01-10$16.80$0.0014.1%3.8%0.0%0.0%0.0%-0.6%-0.6%3.0K-146.2K-870.00105.09N/AN/A00940
2007-01-11$16.94$0.0012.6%3.6%0.0%0.0%0.0%0.6%-0.4%2.6K-150.2K-750.00105.42N/AN/A00940
2007-01-12$17.08$0.0013.6%3.9%0.0%0.0%0.0%1.5%-1.0%2.2K-153.1K-640.00105.08N/AN/A00940
2007-01-16$17.06$0.0011.7%3.4%0.0%0.0%0.0%0.6%0.6%2.2K-153.2K-590.00109.38N/AN/A00940
2007-01-17$17.11$0.0012.0%3.5%0.0%0.0%0.0%0.7%1.2%2.2K-153.1K-600.00109.28N/AN/A00940
2007-01-18$16.98$0.0012.6%3.6%0.0%0.0%0.0%0.6%-1.0%2.2K-153.1K-540.00107.44N/AN/A00940
2007-01-19$17.06$0.00133.8%38.4%0.0%0.0%0.0%23.6%-121.7%2.0K-153.4K-460.00200.00N/AN/A50940
2007-01-22$16.94$0.00141.8%40.7%0.0%0.0%0.0%21.6%-131.8%2.4K-151.2K-510.00200.00N/AN/A00940
2007-01-23$17.02$0.00144.3%41.4%0.0%0.0%0.0%24.1%-132.8%2.1K-152.8K-450.00200.00N/AN/A00940
2007-01-24$17.16$0.00146.5%42.0%0.0%0.0%0.0%28.3%-133.4%1.7K-155.8K-380.00200.00N/AN/A00940
2007-01-25$16.97$0.00150.6%43.2%9.6%0.0%0.0%23.6%-140.2%2.3K-151.7K-490.00200.00N/AN/A00940
2007-01-26$16.92$0.00154.2%44.2%9.4%0.0%0.0%22.6%-145.0%2.4K-150.9K-490.00200.00N/AN/A00940
2007-01-29$16.84$0.00166.3%47.7%9.4%0.0%0.0%0.2%-157.4%2.7K-148.9K-520.00200.00N/AN/A00940
2007-01-30$16.97$0.0015.7%4.5%9.5%0.0%0.0%1.3%-3.0%2.1K-153.9K-340.00142.63N/AN/A00940
2007-01-31$17.08$0.0016.1%4.6%9.4%0.0%0.0%0.1%-5.9%1.9K-155.0K-340.00143.16N/AN/A00940