PWB Options History — June 2007 In June 2007, PWB traded between $17.55 and $18.20. ATM implied volatility averaged 45.0%. The 30-day expected move averaged 10.6%. IV traded above realized volatility by 31.4% (HV 20d: 13.6%). Max pain ranged from $14.00 to $14.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.00.
Notable Days 2007-06-13 : Highest Volume — 7 contracts2007-06-07 : Largest IV spike — 518.6% change2007-06-20 : Largest Expected Move — 35.1%Monthly Statistics Metric Avg Min Max Open Close Price $17.91 $17.55 $18.20 $18.18 $17.81 Max Pain $14.00 $14.00 $14.00 $14.00 $14.00 ATM IV 45.0% 9.8% 154.4% 14.2% 11.9% Expected Move 10.6% 2.7% 35.1% 4.1% 3.4% HV 20d 13.6% 10.9% 14.7% 10.9% 14.0% HV 60d 11.0% 10.2% 11.5% 10.3% 11.3% Term Structure -10.6% -44.5% 1.6% -2.4% -1.5% Skew 25d 3.0% -0.1% 16.6% 0.7% 0.1% Skew 10d 4.2% -0.4% 16.6% 3.3% -0.4% Call IV 25d 46.5% 12.8% 139.4% 21.0% 18.2% Put IV 25d 49.6% 12.9% 155.7% 21.6% 18.4% Bid-Ask Spread % 148.71 120.87 200.00 123.06 127.76 Gamma HHI 0.97 0.60 1.00 1.00 1.00 Net GEX 535 6 2.4K 13 639 Net DEX -95.0K -185.0K -6.5K -181.8K -7.1K Net VEX -23 -35 0 0 -34 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 0.429 0 7 0 0 Total OI 55.524 7 105 100 7
Daily Data (21 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 2007-06-01 $18.18 $14.00 14.2% 4.1% 10.9% 0.0% 0.0% 0.7% -2.4% 13 -181.8K 0 0.00 123.06 N/A N/A 0 0 100 0 2007-06-04 $18.20 $0.00 16.9% 2.8% 10.9% 0.0% 0.0% 0.1% 0.8% 12 -182.0K 0 0.00 120.93 N/A N/A 2 0 100 0 2007-06-05 $18.12 $0.00 15.8% 2.7% 11.1% 0.0% 0.0% -0.1% 1.1% 6 -177.6K 0 0.00 121.70 N/A N/A 0 0 98 0 2007-06-06 $17.96 $0.00 16.8% 3.1% 11.7% 0.0% 0.0% 0.5% 0.5% 14 -176.0K 0 0.00 120.87 N/A N/A 0 0 98 0 2007-06-07 $17.55 $0.00 103.9% 29.8% 14.4% 0.0% 0.0% 7.5% -39.5% 1.8K -165.6K -20 0.00 200.00 N/A N/A 0 0 98 0 2007-06-08 $17.82 $0.00 104.3% 29.9% 13.8% 0.0% 0.0% 12.8% -39.1% 1.3K -170.8K -12 0.00 200.00 N/A N/A 0 0 98 0 2007-06-11 $17.77 $0.00 24.7% 2.8% 13.5% 0.0% 0.0% 0.6% 0.8% 39 -174.1K 0 0.00 123.19 N/A N/A 0 0 98 0 2007-06-12 $17.62 $0.00 31.8% 3.1% 13.8% 0.0% 0.0% 0.2% -1.0% 212 -172.4K -1 0.00 121.55 N/A N/A 0 0 98 0 2007-06-13 $17.84 $0.00 154.4% 12.5% 14.4% 0.0% 0.0% 1.4% -18.2% 2.4K -152.3K -32 0.00 176.28 N/A N/A 7 0 98 0 2007-06-14 $17.97 $0.00 112.0% 32.1% 14.3% 0.0% 0.0% 16.6% -44.5% 150 -183.6K -35 0.00 200.00 N/A N/A 0 0 105 0 2007-06-15 $18.06 $0.00 9.8% 2.8% 14.3% 0.0% 0.0% -0.0% 0.9% 612 -185.0K -34 0.00 124.87 N/A N/A 0 0 105 0 2007-06-18 $18.07 $0.00 10.3% 2.9% 14.3% 0.0% 0.0% -0.0% 1.0% 595 -8.5K -33 0.00 124.93 N/A N/A 0 0 7 0 2007-06-19 $18.06 $0.00 47.1% 13.5% 14.3% 0.0% 0.0% 2.5% -12.9% 318 -7.6K -35 0.00 177.17 N/A N/A 0 0 7 0 2007-06-20 $17.90 $0.00 122.5% 35.1% 14.6% 0.0% 0.0% 16.3% -34.3% 133 -7.4K -35 0.00 200.00 N/A N/A 0 0 7 0 2007-06-21 $18.00 $0.00 10.3% 2.9% 14.7% 0.0% 0.0% -0.0% 1.6% 606 -7.5K -34 0.00 127.76 N/A N/A 0 0 7 0 2007-06-22 $17.87 $0.00 49.7% 14.3% 14.4% 0.0% 0.0% 1.6% -15.0% 317 -7.2K -35 0.00 177.96 N/A N/A 0 0 7 0 2007-06-25 $17.79 $0.00 52.6% 15.1% 14.1% 0.0% 0.0% 1.5% -17.3% 316 -7.0K -35 0.00 176.57 N/A N/A 0 0 7 0 2007-06-26 $17.71 $0.00 13.1% 3.8% 14.2% 0.0% 0.0% 0.7% -4.8% 600 -6.5K -35 0.00 122.73 N/A N/A 0 0 7 0 2007-06-27 $17.88 $0.00 11.5% 3.3% 14.1% 0.0% 0.0% 0.5% 0.1% 606 -7.2K -34 0.00 127.66 N/A N/A 0 0 7 0 2007-06-28 $17.90 $0.00 11.8% 3.4% 14.0% 0.0% 0.0% 0.6% 0.2% 603 -7.2K -34 0.00 127.89 N/A N/A 0 0 7 0 2007-06-29 $17.81 $0.00 11.9% 3.4% 14.0% 0.0% 0.0% 0.1% -1.5% 639 -7.1K -34 0.00 127.76 N/A N/A 0 0 7 0
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