PWB Options History — February 2007 In February 2007, PWB traded between $16.37 and $17.21. ATM implied volatility averaged 29.6%. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 19.6% (HV 20d: 10.0%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 0.00.
Notable Days 2007-02-05 : Highest Volume — 50 contracts2007-02-02 : Largest IV spike — 1016.0% change2007-02-05 : Largest Expected Move — 32.6%Monthly Statistics Metric Avg Min Max Open Close Price $17.04 $16.37 $17.21 $17.06 $16.52 Max Pain $15.00 $15.00 $15.00 $15.00 $15.00 ATM IV 29.6% 12.3% 185.3% 16.6% 18.8% Expected Move 7.1% 3.4% 32.6% 4.8% 5.4% HV 20d 10.0% 7.9% 16.3% 9.2% 16.3% Term Structure -7.0% -50.9% 1.3% -5.5% -7.5% VWIV 13.3% 13.3% 13.3% 13.3% 13.3% Skew 25d 5.0% -0.2% 40.9% -0.2% 0.0% Skew 10d 9.4% 0.5% 66.0% 1.5% 1.6% Call IV 25d 28.4% 13.0% 119.4% 20.9% 22.2% Put IV 25d 33.4% 14.0% 160.4% 20.7% 22.3% Bid-Ask Spread % 133.69 122.37 189.69 142.79 123.65 Gamma HHI 0.59 0.39 0.83 0.63 0.67 Net GEX 5.1K 1.4K 9.2K 1.7K 8.7K Net DEX -216.6K -244.0K -116.1K -156.3K -203.4K Net VEX -154 -248 -25 -25 -216 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.00 0.00 0.00 0.00 0.00 Total Volume 3.053 0 50 0 0 Total OI 142.421 94 152 94 152
Daily Data (19 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 Wall Put Wall Call Vol Put Vol Call OI Put OI 2007-02-01 $17.06 $0.00 16.6% 4.8% 9.2% 0.0% 0.0% -0.2% -5.5% 1.7K -156.3K -25 0.00 142.79 N/A N/A 0 0 94 0 2007-02-02 $17.16 $15.00 185.3% 31.4% 9.4% 0.0% 0.0% 39.8% -47.3% 1.4K -116.8K -248 0.00 189.61 N/A N/A 0 0 94 0 2007-02-05 $17.12 $15.00 113.7% 32.6% 9.3% 0.0% 0.0% 40.9% -50.9% 1.4K -116.1K -243 0.00 189.69 N/A N/A 50 0 94 0 2007-02-06 $17.06 $15.00 17.9% 3.5% 9.5% 0.0% 13.3% 0.1% -2.1% 4.0K -232.5K -115 0.00 122.37 N/A N/A 8 0 144 0 2007-02-07 $17.16 $15.00 18.5% 3.4% 9.6% 0.0% 0.0% 1.6% 1.2% 5.2K -240.0K -146 0.00 124.50 N/A N/A 0 0 152 0 2007-02-08 $17.11 $15.00 13.1% 3.8% 9.6% 0.0% 0.0% 1.2% 0.1% 5.3K -237.9K -157 0.00 122.81 N/A N/A 0 0 152 0 2007-02-09 $16.98 $15.00 12.3% 3.5% 9.7% 0.0% 0.0% 0.4% 0.1% 6.1K -231.4K -176 0.00 126.45 N/A N/A 0 0 152 0 2007-02-12 $16.91 $15.00 12.8% 3.7% 9.3% 0.0% 0.0% 0.4% -0.3% 6.5K -228.3K -177 0.00 126.67 N/A N/A 0 0 152 0 2007-02-13 $17.02 $15.00 12.4% 3.5% 9.6% 0.0% 0.0% 1.1% 1.3% 6.0K -232.4K -162 0.00 129.23 N/A N/A 0 0 152 0 2007-02-14 $17.15 $15.00 14.3% 4.1% 9.9% 0.0% 0.0% 1.6% -1.5% 5.0K -241.5K -132 0.00 123.07 N/A N/A 0 0 152 0 2007-02-15 $17.21 $15.00 13.1% 3.8% 9.6% 0.0% 0.0% 1.5% 0.7% 4.8K -243.3K -133 0.00 124.56 N/A N/A 0 0 152 0 2007-02-16 $17.15 $15.00 14.1% 4.1% 9.6% 0.0% 0.0% 0.4% -0.3% 5.3K -239.3K -140 0.00 124.50 N/A N/A 0 0 152 0 2007-02-20 $17.21 $15.00 15.1% 4.3% 9.2% 0.0% 0.0% 1.8% -2.7% 4.8K -244.0K -117 0.00 124.56 N/A N/A 0 0 152 0 2007-02-21 $17.20 $15.00 15.4% 4.4% 9.1% 0.0% 0.0% 1.8% -2.9% 4.9K -243.9K -115 0.00 124.44 N/A N/A 0 0 152 0 2007-02-22 $17.17 $15.00 15.1% 4.3% 8.7% 0.0% 0.0% 1.8% -1.8% 4.9K -243.7K -112 0.00 126.42 N/A N/A 0 0 152 0 2007-02-23 $17.08 $15.00 17.9% 5.1% 7.9% 0.0% 0.0% 0.1% -5.3% 5.8K -234.0K -152 0.00 141.48 N/A N/A 0 0 152 0 2007-02-26 $17.03 $15.00 16.1% 4.6% 7.9% 0.0% 0.0% 1.0% -3.1% 5.8K -237.5K -122 0.00 129.45 N/A N/A 0 0 152 0 2007-02-27 $16.37 $15.00 19.3% 5.5% 16.2% 0.0% 0.0% -0.0% -5.5% 9.2K -193.9K -232 0.00 123.80 N/A N/A 0 0 152 0 2007-02-28 $16.52 $15.00 18.8% 5.4% 16.3% 0.0% 0.0% 0.0% -7.5% 8.7K -203.4K -216 0.00 123.65 N/A N/A 0 0 152 0
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