PWB Options History — March 2007 In March 2007, PWB traded between $16.13 and $17.03. ATM implied volatility averaged 21.3%. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 3.3% (HV 20d: 18.1%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 9 of 22 days.
Notable Days 2007-03-15 : Largest IV drop — 63.1% change2007-03-02 : Largest Expected Move — 6.4%Monthly Statistics Metric Avg Min Max Open Close Price $16.64 $16.13 $17.03 $16.52 $16.76 Max Pain $15.00 $15.00 $15.00 $15.00 $15.00 ATM IV 21.3% 11.3% 45.4% 19.3% 19.4% Expected Move 4.5% 3.2% 6.4% 5.5% 5.6% HV 20d 18.1% 14.1% 20.8% 16.0% 14.1% HV 60d 13.9% 13.6% 14.3% 13.9% 13.6% Term Structure -2.1% -10.2% 5.1% -8.0% -10.2% Skew 25d 0.6% -0.2% 3.4% 0.1% -0.1% Skew 10d 1.4% -0.1% 2.6% 1.6% 1.6% Call IV 25d 19.4% 16.2% 28.4% 22.9% 23.5% Put IV 25d 20.0% 17.0% 29.2% 22.9% 23.4% Bid-Ask Spread % 129.29 123.25 149.46 123.55 131.74 Gamma HHI 0.80 0.67 0.96 0.67 0.90 Net GEX 6.5K 2.9K 10.0K 8.7K 3.5K Net DEX -176.7K -212.7K -148.8K -203.7K -149.7K Net VEX -155 -227 -90 -211 -116 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 0 0 0 0 0 Total OI 127.909 100 152 152 100
Daily Data (22 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 2007-03-01 $16.52 $15.00 19.3% 5.5% 16.0% 0.0% 0.0% 0.1% -8.0% 8.7K -203.7K -211 0.00 123.55 N/A N/A 0 0 152 0 2007-03-02 $16.33 $15.00 22.3% 6.4% 16.4% 0.0% 0.0% 0.8% -5.4% 9.2K -190.9K -224 0.00 123.84 N/A N/A 0 0 152 0 2007-03-05 $16.13 $0.00 22.4% 4.2% 16.5% 0.0% 0.0% -0.1% -1.5% 9.9K -178.9K -227 0.00 124.26 N/A N/A 0 0 152 0 2007-03-06 $16.44 $0.00 26.6% 4.3% 18.3% 0.0% 0.0% -0.2% 0.5% 8.9K -196.6K -208 0.00 123.25 N/A N/A 0 0 152 0 2007-03-07 $16.43 $0.00 28.0% 4.2% 18.3% 0.0% 0.0% -0.1% 2.5% 9.0K -194.6K -208 0.00 123.80 N/A N/A 0 0 152 0 2007-03-08 $16.58 $0.00 23.6% 3.9% 18.5% 0.0% 0.0% 0.9% 0.2% 8.7K -208.4K -181 0.00 124.03 N/A N/A 0 0 152 0 2007-03-09 $16.58 $0.00 27.6% 3.9% 18.5% 0.0% 0.0% 0.3% 0.1% 8.6K -208.0K -178 0.00 124.28 N/A N/A 0 0 152 0 2007-03-12 $16.64 $0.00 31.9% 3.8% 18.4% 0.0% 0.0% 0.6% -0.3% 8.5K -212.7K -157 0.00 125.68 N/A N/A 0 0 152 0 2007-03-13 $16.37 $0.00 37.2% 4.4% 19.2% 0.0% 0.0% 0.2% 0.5% 9.9K -192.0K -190 0.00 123.84 N/A N/A 0 0 152 0 2007-03-14 $16.36 $0.00 45.4% 4.7% 19.0% 0.0% 0.0% 0.2% 1.5% 9.7K -191.6K -190 0.00 123.91 N/A N/A 0 0 152 0 2007-03-15 $16.49 $0.00 16.7% 4.8% 19.0% 0.0% 0.0% -0.0% -3.7% 9.4K -202.5K -167 0.00 124.69 N/A N/A 0 0 152 0 2007-03-16 $16.43 $0.00 15.9% 4.5% 18.9% 0.0% 0.0% 0.1% -2.5% 10.0K -185.0K -159 0.00 124.41 N/A N/A 0 0 142 0 2007-03-19 $16.62 $0.00 14.4% 4.1% 19.5% 0.0% 0.0% 0.5% -4.8% 3.6K -148.8K -120 0.00 126.13 N/A N/A 0 0 100 0 2007-03-20 $16.73 $0.00 12.3% 3.5% 19.6% 0.0% 0.0% 2.1% 1.8% 3.5K -151.1K -115 0.00 127.38 N/A N/A 0 0 100 0 2007-03-21 $17.03 $0.00 11.3% 3.2% 20.8% 0.0% 0.0% 1.6% 2.9% 2.9K -156.8K -102 0.00 129.98 N/A N/A 0 0 100 0 2007-03-22 $17.01 $0.00 17.3% 5.0% 20.8% 0.0% 0.0% 1.0% -4.1% 3.2K -152.3K -121 0.00 149.46 N/A N/A 0 0 100 0 2007-03-23 $17.03 $0.00 13.0% 3.7% 20.7% 0.0% 0.0% 3.4% 5.1% 3.2K -152.4K -114 0.00 149.46 N/A N/A 0 0 100 0 2007-03-26 $17.02 $0.00 18.6% 5.3% 20.7% 0.0% 0.0% 1.1% -5.2% 3.2K -152.3K -119 0.00 149.46 N/A N/A 0 0 100 0 2007-03-27 $16.91 $0.00 14.1% 4.0% 14.8% 0.0% 0.0% 0.1% -2.8% 3.0K -156.9K -90 0.00 133.63 N/A N/A 0 0 100 0 2007-03-28 $16.82 $0.00 15.8% 4.5% 14.7% 0.0% 0.0% 0.6% -5.8% 3.5K -150.6K -111 0.00 129.17 N/A N/A 0 0 100 0 2007-03-29 $16.79 $0.00 16.1% 4.6% 14.8% 0.0% 0.0% 0.1% -6.2% 3.6K -151.0K -107 0.00 128.47 N/A N/A 0 0 100 0 2007-03-30 $16.76 $0.00 19.4% 5.6% 14.1% 0.0% 0.0% -0.1% -10.2% 3.5K -149.7K -116 0.00 131.74 N/A N/A 0 0 100 0
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