PWB Options History — May 2007 In May 2007, PWB traded between $17.40 and $18.14. ATM implied volatility averaged 68.4%. The 30-day expected move averaged 19.3%. IV traded above realized volatility by 58.8% (HV 20d: 9.6%). Max pain ranged from $14.00 to $17.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 0.00.
Notable Days 2007-05-02 : Highest Volume — 2 contracts2007-05-21 : Largest IV spike — 1055.9% change2007-05-31 : Largest Expected Move — 48.5%Monthly Statistics Metric Avg Min Max Open Close Price $17.72 $17.40 $18.14 $17.50 $18.14 Max Pain $14.41 $14.00 $17.00 $17.00 $14.00 ATM IV 68.4% 11.2% 169.2% 21.9% 169.2% Expected Move 19.3% 2.8% 48.5% 6.3% 48.5% HV 20d 9.6% 7.5% 11.1% 8.5% 10.9% HV 60d 13.0% 10.3% 14.0% 13.5% 10.3% Term Structure -25.8% -73.8% 1.4% -6.8% -73.8% Skew 25d 3.4% -22.2% 56.2% 1.4% 17.8% Skew 10d 12.8% 1.2% 65.1% 7.1% 17.8% Call IV 25d 60.9% 10.4% 157.3% 21.1% 105.6% Put IV 25d 64.3% 12.6% 196.3% 22.5% 123.4% Bid-Ask Spread % 152.16 116.04 192.03 129.22 190.11 Gamma HHI 0.58 0.38 1.00 0.53 0.51 Net GEX 2.7K 363 4.4K 4.0K 1.5K Net DEX -178.3K -212.6K -133.3K -198.2K -137.9K Net VEX -74 -181 -4 -57 -115 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 0.091 0 2 0 0 Total OI 113.364 100 121 121 100
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 2007-05-01 $17.50 $17.00 21.9% 6.3% 8.5% 0.0% 0.0% 1.4% -6.8% 4.0K -198.2K -57 0.00 129.22 N/A N/A 0 0 121 0 2007-05-02 $17.63 $17.00 19.0% 5.4% 8.2% 0.0% 0.0% 2.2% -5.1% 3.5K -203.1K -48 0.00 129.80 N/A N/A 2 0 121 0 2007-05-03 $17.65 $17.00 20.5% 5.9% 8.2% 0.0% 0.0% 1.1% -12.4% 3.1K -204.5K -39 0.00 129.51 N/A N/A 0 0 121 0 2007-05-04 $17.68 $14.00 14.9% 2.8% 8.0% 0.0% 0.0% 3.5% 0.2% 2.7K -208.1K -25 0.00 119.41 N/A N/A 0 0 121 0 2007-05-07 $17.70 $14.00 22.8% 4.2% 7.9% 0.0% 0.0% 1.5% -0.3% 3.1K -205.7K -33 0.00 126.27 N/A N/A 0 0 121 0 2007-05-08 $17.72 $14.00 23.8% 4.3% 7.9% 0.0% 0.0% 1.9% -0.1% 3.1K -205.9K -32 0.00 136.38 N/A N/A 0 0 121 0 2007-05-09 $17.72 $14.00 111.2% 31.9% 7.5% 0.0% 0.0% -22.2% -54.7% 4.0K -167.9K -181 0.00 191.15 N/A N/A 0 0 121 0 2007-05-10 $17.40 $14.00 13.0% 3.7% 10.0% 0.0% 0.0% 0.0% -0.1% 4.4K -199.0K -34 0.00 118.74 N/A N/A 0 0 121 0 2007-05-11 $17.58 $14.00 15.3% 4.4% 10.5% 0.0% 0.0% 0.6% -1.0% 3.7K -203.2K -34 0.00 125.32 N/A N/A 0 0 121 0 2007-05-14 $17.57 $14.00 16.0% 4.6% 9.9% 0.0% 0.0% 1.6% -1.3% 3.8K -203.5K -30 0.00 128.09 N/A N/A 0 0 121 0 2007-05-15 $17.49 $14.00 17.0% 4.9% 9.9% 0.0% 0.0% 1.4% 1.4% 4.3K -200.5K -33 0.00 130.08 N/A N/A 0 0 121 0 2007-05-16 $17.65 $14.00 123.3% 35.4% 10.3% 0.0% 0.0% -12.4% -65.9% 4.4K -168.9K -155 0.00 192.03 N/A N/A 0 0 121 0 2007-05-17 $17.68 $14.00 11.2% 3.2% 10.3% 0.0% 0.0% -0.2% 0.8% 1.9K -211.7K -6 0.00 116.04 N/A N/A 0 0 121 0 2007-05-18 $17.77 $14.00 11.6% 3.3% 10.0% 0.0% 0.0% 4.6% -0.7% 1.7K -212.6K -5 0.00 120.53 N/A N/A 0 0 121 0 2007-05-21 $17.80 $14.00 134.1% 38.4% 9.9% 0.0% 0.0% -19.1% -47.9% 1.9K -138.7K -136 0.00 190.80 N/A N/A 0 0 100 0 2007-05-22 $17.84 $14.00 136.6% 39.2% 9.9% 0.0% 0.0% -21.3% -49.6% 1.9K -139.2K -133 0.00 190.18 N/A N/A 0 0 100 0 2007-05-23 $17.90 $14.00 139.2% 39.9% 9.7% 0.0% 0.0% 56.2% -51.3% 1.6K -134.6K -140 0.00 189.85 N/A N/A 0 0 100 0 2007-05-24 $17.70 $14.00 12.9% 3.7% 10.6% 0.0% 0.0% 0.2% -4.0% 363 -176.5K -4 0.00 120.25 N/A N/A 0 0 100 0 2007-05-25 $17.86 $14.00 145.5% 41.7% 11.1% 0.0% 0.0% 26.8% -56.3% 1.6K -133.8K -138 0.00 191.82 N/A N/A 0 0 100 0 2007-05-29 $17.86 $14.00 160.8% 46.1% 10.5% 0.0% 0.0% 12.7% -68.5% 1.6K -133.3K -125 0.00 191.72 N/A N/A 0 0 100 0 2007-05-30 $18.05 $14.00 164.7% 47.2% 11.1% 0.0% 0.0% 16.1% -70.6% 1.6K -136.5K -118 0.00 190.27 N/A N/A 0 0 100 0 2007-05-31 $18.14 $14.00 169.2% 48.5% 10.9% 0.0% 0.0% 17.8% -73.8% 1.5K -137.9K -115 0.00 190.11 N/A N/A 0 0 100 0
« Apr 2007 | All History | Jun 2007 » Home PWB History May 2007