PWB Options History — April 2007 In April 2007, PWB traded between $16.83 and $17.63. ATM implied volatility averaged 24.3%. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 14.3% (HV 20d: 9.9%). Max pain ranged from $17.00 to $17.00. 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 2007-04-03 : Highest Volume — 11 contracts2007-04-18 : Largest IV spike — 716.0% change2007-04-18 : Largest Expected Move — 36.7%Monthly Statistics Metric Avg Min Max Open Close Price $17.31 $16.83 $17.63 $16.83 $17.48 Max Pain $17.00 $17.00 $17.00 $17.00 $17.00 ATM IV 24.3% 12.9% 127.9% 16.9% 20.5% Expected Move 6.7% 3.1% 36.7% 4.8% 5.9% HV 20d 9.9% 7.7% 13.1% 13.1% 8.5% HV 60d 13.6% 13.4% 13.8% 13.6% 13.5% Term Structure 0.0% -33.9% 77.4% -6.0% -5.9% VWIV 13.1% 13.1% 13.1% 13.1% 13.1% Skew 25d 5.3% -0.1% 48.2% -0.1% 1.2% Skew 10d 9.8% -0.2% 60.0% 1.3% 6.7% Call IV 25d 29.6% 15.5% 130.8% 23.8% 20.7% Put IV 25d 34.8% 17.1% 179.0% 23.7% 21.9% Bid-Ask Spread % 133.52 118.35 196.13 130.87 131.13 Gamma HHI 0.58 0.37 0.98 0.96 0.53 Net GEX 3.5K 2.0K 4.3K 3.4K 4.0K Net DEX -181.4K -206.3K -133.5K -153.9K -197.4K Net VEX -90 -266 -33 -100 -58 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 1.05 0 11 0 0 Total OI 114.9 100 121 100 121
Daily Data (20 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 2007-04-02 $16.83 $0.00 16.9% 4.8% 13.1% 0.0% 0.0% -0.1% -6.0% 3.4K -153.9K -100 0.00 130.87 N/A N/A 0 0 100 0 2007-04-03 $17.00 $0.00 16.6% 4.7% 11.9% 0.0% 0.0% 0.7% -5.9% 2.8K -159.6K -79 0.00 134.70 N/A N/A 11 0 100 0 2007-04-04 $17.02 $0.00 17.0% 4.9% 11.9% 0.0% 0.0% 0.7% -7.0% 4.3K -170.0K -106 0.00 134.70 N/A N/A 0 0 111 0 2007-04-05 $17.12 $0.00 17.4% 5.0% 11.7% 0.0% 0.0% 0.6% -6.7% 3.9K -174.2K -88 0.00 134.86 N/A N/A 0 0 111 0 2007-04-09 $17.09 $17.00 20.2% 3.1% 11.7% 0.0% 0.0% 0.7% 4.2% 3.9K -173.8K -90 0.00 124.19 N/A N/A 0 0 111 0 2007-04-10 $17.17 $17.00 20.9% 3.1% 11.8% 0.0% 0.0% 0.8% 5.5% 4.0K -174.5K -88 0.00 124.19 N/A N/A 0 0 111 0 2007-04-11 $17.08 $17.00 64.1% 18.4% 10.1% 0.0% 0.0% 33.6% 77.4% 2.0K -133.5K -262 0.00 196.13 N/A N/A 0 0 111 0 2007-04-12 $17.22 $17.00 12.9% 3.7% 10.2% 0.0% 0.0% 2.2% 5.5% 3.8K -174.3K -94 0.00 128.12 N/A N/A 0 0 111 0 2007-04-13 $17.21 $17.00 13.1% 3.8% 10.1% 0.0% 0.0% 2.1% 5.4% 3.8K -173.5K -95 0.00 136.73 N/A N/A 0 0 111 0 2007-04-16 $17.40 $17.00 15.1% 4.3% 10.3% 0.0% 13.1% 1.3% -1.4% 2.9K -183.3K -57 0.00 123.61 N/A N/A 10 0 111 0 2007-04-17 $17.48 $17.00 15.7% 4.5% 9.8% 0.0% 0.0% 1.3% -1.5% 3.7K -198.9K -62 0.00 121.35 N/A N/A 0 0 121 0 2007-04-18 $17.43 $17.00 127.9% 36.7% 9.9% 0.0% 0.0% 48.2% -33.9% 2.1K -150.9K -266 0.00 194.29 N/A N/A 0 0 121 0 2007-04-19 $17.38 $17.00 17.3% 4.9% 8.1% 0.0% 0.0% 1.9% -3.6% 4.3K -193.7K -80 0.00 126.50 N/A N/A 0 0 121 0 2007-04-20 $17.53 $17.00 15.0% 4.3% 8.5% 0.0% 0.0% 0.5% -5.4% 3.6K -200.9K -58 0.00 122.98 N/A N/A 0 0 121 0 2007-04-23 $17.50 $17.00 18.1% 5.2% 8.5% 0.0% 0.0% 0.5% -4.2% 3.9K -197.7K -69 0.00 129.93 N/A N/A 0 0 121 0 2007-04-24 $17.48 $17.00 14.8% 4.3% 8.5% 0.0% 0.0% 0.6% -1.6% 3.7K -201.2K -46 0.00 118.61 N/A N/A 0 0 121 0 2007-04-25 $17.60 $17.00 13.8% 3.9% 8.2% 0.0% 0.0% 2.4% -5.5% 3.1K -205.0K -38 0.00 120.09 N/A N/A 0 0 121 0 2007-04-26 $17.63 $17.00 14.1% 4.1% 7.8% 0.0% 0.0% 3.0% -5.6% 3.0K -205.7K -38 0.00 119.08 N/A N/A 0 0 121 0 2007-04-27 $17.63 $17.00 13.7% 3.9% 7.7% 0.0% 0.0% 2.7% -3.8% 2.9K -206.3K -33 0.00 118.35 N/A N/A 0 0 121 0 2007-04-30 $17.48 $17.00 20.5% 5.9% 8.5% 0.0% 0.0% 1.2% -5.9% 4.0K -197.4K -58 0.00 131.13 N/A N/A 0 0 121 0
« Mar 2007 | All History | May 2007 » Home PWB History April 2007