PWB Options History — July 2007 In July 2007, PWB traded between $17.61 and $18.66. ATM implied volatility averaged 37.8%, placing in the 14.5% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded above realized volatility by 25.1% (HV 20d: 12.7%). Max pain ranged from $18.00 to $18.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 1 of 21 days.
Notable Days 2007-07-27 : Highest Volume — 1 contracts2007-07-10 : Largest IV spike — 338.8% change2007-07-11 : Highest IV Rank — 42.1%2007-07-05 : Largest Expected Move — 19.0%Monthly Statistics Metric Avg Min Max Open Close Price $18.28 $17.61 $18.66 $18.04 $17.61 Max Pain $18.00 $18.00 $18.00 $18.00 $18.00 ATM IV 37.8% 11.3% 83.7% 61.2% 16.0% Expected Move 8.8% 3.2% 19.0% 17.5% 4.6% HV 20d 12.7% 10.5% 16.5% 14.8% 16.5% HV 60d 12.1% 11.4% 14.1% 11.5% 14.1% IV Rank 14.5% 0.8% 42.1% 32.1% 3.5% IV Percentile 51.1% 2.9% 81.5% 81.0% 42.4% Term Structure -11.0% -25.2% 0.1% -22.5% -2.9% VWIV 53.5% 53.5% 53.5% 53.5% 53.5% Skew 25d -1.4% -12.8% 4.6% 2.5% 0.5% Skew 10d 7.9% -0.6% 18.9% 12.1% 1.4% Call IV 25d 45.2% 13.3% 87.7% 83.0% 20.4% Put IV 25d 43.7% 12.6% 92.3% 85.5% 20.9% Bid-Ask Spread % 152.40 119.86 178.93 178.93 121.24 Gamma HHI 1.00 1.00 1.00 1.00 1.00 Net GEX 398 293 600 320 353 Net DEX -8.4K -10.4K -5.3K -7.5K -5.3K Net VEX -30 -34 -24 -34 -32 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 0.048 0 1 0 0 Total OI 7.095 7 8 7 8
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 2007-07-02 $18.04 $0.00 61.2% 17.5% 14.8% 0.0% 0.0% 2.5% -22.5% 320 -7.5K -34 0.00 178.93 N/A N/A 0 0 7 0 2007-07-03 $18.11 $0.00 62.7% 18.0% 14.8% 0.0% 0.0% 3.3% -23.2% 320 -7.7K -33 0.00 177.38 N/A N/A 0 0 7 0 2007-07-05 $18.22 $0.00 66.2% 19.0% 14.6% 32.1% 0.0% 4.6% -25.2% 320 -7.9K -33 0.00 175.88 N/A N/A 0 0 7 0 2007-07-06 $18.31 $0.00 68.1% 11.5% 11.6% 33.2% 0.0% 4.2% -9.9% 318 -8.1K -33 0.00 174.44 N/A N/A 0 0 7 0 2007-07-09 $18.31 $0.00 18.3% 3.3% 10.5% 4.8% 0.0% 0.4% -2.2% 600 -9.3K -29 0.00 119.86 N/A N/A 0 0 7 0 2007-07-10 $18.07 $0.00 80.3% 7.0% 11.7% 40.1% 0.0% 1.3% -11.8% 322 -7.6K -33 0.00 177.17 N/A N/A 0 0 7 0 2007-07-11 $18.21 $0.00 83.7% 7.0% 11.4% 42.1% 0.0% -0.5% -11.7% 321 -7.9K -33 0.00 175.19 N/A N/A 0 0 7 0 2007-07-12 $18.51 $0.00 42.0% 12.0% 11.9% 18.3% 0.0% -7.8% -13.7% 311 -8.5K -32 0.00 173.53 N/A N/A 0 0 7 0 2007-07-13 $18.56 $0.00 42.5% 12.2% 11.8% 18.6% 0.0% -9.3% -13.9% 311 -8.6K -32 0.00 173.99 N/A N/A 0 0 7 0 2007-07-16 $18.56 $0.00 11.7% 3.3% 11.7% 1.0% 0.0% -2.1% -4.3% 536 -9.9K -26 0.00 120.44 N/A N/A 0 0 7 0 2007-07-17 $18.66 $0.00 45.0% 12.9% 11.8% 20.0% 0.0% -12.8% -15.4% 306 -8.8K -31 0.00 174.22 N/A N/A 0 0 7 0 2007-07-18 $18.62 $0.00 11.6% 3.3% 11.8% 1.0% 0.0% -1.8% -1.5% 546 -10.1K -26 0.00 121.39 N/A N/A 0 0 7 0 2007-07-19 $18.66 $0.00 11.3% 3.2% 11.2% 0.8% 0.0% -1.8% -1.9% 543 -10.4K -24 0.00 122.04 N/A N/A 0 0 7 0 2007-07-20 $18.56 $0.00 12.4% 3.6% 11.4% 1.5% 0.0% -2.2% -5.0% 574 -10.1K -25 0.00 120.50 N/A N/A 0 0 7 0 2007-07-23 $18.58 $0.00 13.2% 3.8% 10.9% 1.9% 0.0% -2.0% -2.1% 506 -9.7K -27 0.00 120.50 N/A N/A 0 0 7 0 2007-07-24 $18.33 $0.00 13.2% 3.8% 12.0% 1.9% 0.0% -2.6% -0.5% 550 -9.3K -27 0.00 120.79 N/A N/A 0 0 7 0 2007-07-25 $18.33 $0.00 30.6% 8.8% 11.9% 11.8% 0.0% -7.3% -18.3% 332 -8.1K -31 0.00 174.97 N/A N/A 0 0 7 0 2007-07-26 $18.07 $0.00 31.8% 9.1% 12.7% 12.5% 0.0% 1.0% -20.6% 336 -7.5K -31 0.00 178.68 N/A N/A 0 0 7 0 2007-07-27 $17.69 $0.00 57.3% 16.4% 14.9% 27.0% 53.5% 2.2% -23.8% 333 -6.6K -31 0.00 175.51 N/A N/A 0 1 7 0 2007-07-30 $17.95 $18.00 14.9% 4.3% 15.7% 2.9% 0.0% 0.3% 0.1% 293 -6.4K -33 0.00 123.76 N/A N/A 0 0 7 1 2007-07-31 $17.61 $18.00 16.0% 4.6% 16.5% 3.5% 0.0% 0.5% -2.9% 353 -5.3K -32 0.00 121.24 N/A N/A 0 0 7 1
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