PWB Options History — August 2007

In August 2007, PWB traded between $16.99 and $17.96. ATM implied volatility averaged 39.2%, placing in the 16.7% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded above realized volatility by 18.6% (HV 20d: 20.6%). Max pain ranged from $18.00 to $18.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 0.00.

Notable Days

2007-08-02: Highest Volume — 5 contracts
2007-08-06: Largest IV spike — 353.6% change
2007-08-10: Highest IV Rank — 48.6%
2007-08-01: Largest Expected Move — 18.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$17.57	$16.99	$17.96	$17.79	$17.86
Max Pain	$18.00	$18.00	$18.00	$18.00	$18.00
ATM IV	39.2%	14.1%	95.2%	65.0%	57.1%
Expected Move	9.7%	4.0%	18.6%	18.6%	16.4%
HV 20d	20.6%	16.8%	22.3%	16.9%	22.1%
HV 60d	16.2%	14.3%	17.8%	14.3%	17.8%
IV Rank	16.7%	2.4%	48.6%	31.5%	26.9%
IV Percentile	66.4%	26.7%	84.2%	80.7%	78.9%
Term Structure	-8.5%	-29.7%	5.4%	-29.7%	-20.2%
Skew 25d	6.5%	-0.4%	50.8%	2.6%	10.6%
Skew 10d	13.8%	0.1%	67.8%	6.0%	31.4%
Call IV 25d	37.6%	14.5%	88.6%	88.6%	69.9%
Put IV 25d	44.1%	15.5%	91.2%	91.2%	80.5%
Bid-Ask Spread %	137.18	41.75	175.88	175.88	174.81
Gamma HHI	1.00	1.00	1.00	1.00	1.00
Net GEX	596	281	734	281	655
Net DEX	-9.4K	-11.6K	-6.0K	-6.0K	-11.6K
Net VEX	-48	-53	-32	-32	-47
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	0.227	0	5	0	0
Total OI	12.091	8	13	8	12

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	Spread %	Call Wall	Put Wall	Call Vol	Call OI	Put OI
2007-08-01	$17.79	$18.00	65.0%	18.6%	16.9%	31.5%	0.0%	2.6%	-29.7%	281	-6.0K	-32	175.88	N/A	N/A	0	7	1
2007-08-02	$17.87	$18.00	14.1%	4.0%	16.8%	2.4%	0.0%	0.6%	-0.1%	303	-6.1K	-32	127.80	N/A	N/A	5	7	1
2007-08-03	$17.44	$18.00	17.1%	4.9%	18.5%	4.1%	0.0%	3.4%	-4.5%	731	-8.7K	-53	41.75	N/A	N/A	0	12	1
2007-08-06	$17.72	$0.00	77.5%	11.2%	19.6%	38.6%	0.0%	6.9%	-18.2%	522	-10.5K	-53	173.64	N/A	N/A	0	12	1
2007-08-07	$17.77	$0.00	17.8%	4.4%	19.2%	4.5%	0.0%	-0.3%	0.9%	697	-10.4K	-53	111.14	N/A	N/A	0	12	1
2007-08-08	$17.96	$0.00	16.8%	4.5%	19.4%	4.0%	0.0%	1.6%	0.9%	680	-11.4K	-53	110.56	N/A	N/A	0	12	1
2007-08-09	$17.57	$0.00	23.5%	5.8%	19.7%	7.8%	0.0%	1.9%	0.8%	501	-9.4K	-52	104.14	N/A	N/A	0	12	1
2007-08-10	$17.55	$0.00	95.2%	11.8%	19.6%	48.6%	0.0%	5.9%	-20.5%	524	-9.7K	-52	174.24	N/A	N/A	0	12	1
2007-08-13	$17.59	$0.00	30.0%	5.7%	19.7%	11.5%	0.0%	1.6%	1.0%	502	-9.1K	-51	106.37	N/A	N/A	0	12	1
2007-08-14	$17.25	$0.00	30.5%	6.2%	20.3%	11.8%	0.0%	4.6%	-0.2%	579	-7.5K	-49	108.87	N/A	N/A	0	12	1
2007-08-16	$16.99	$0.00	21.5%	6.2%	20.7%	6.6%	0.0%	3.9%	0.4%	630	-6.5K	-48	108.38	N/A	N/A	0	12	1
2007-08-17	$17.28	$0.00	20.8%	6.0%	21.9%	6.2%	0.0%	4.7%	0.8%	590	-7.4K	-48	110.78	N/A	N/A	0	12	1
2007-08-20	$17.28	$0.00	20.8%	6.0%	22.0%	6.3%	0.0%	4.6%	0.2%	664	-9.1K	-47	111.55	N/A	N/A	0	12	0
2007-08-21	$17.37	$0.00	20.1%	5.8%	22.1%	5.8%	0.0%	4.3%	1.0%	734	-9.3K	-47	114.34	N/A	N/A	0	12	0
2007-08-22	$17.51	$0.00	48.4%	13.9%	22.2%	22.0%	0.0%	5.9%	-15.2%	632	-10.2K	-48	173.99	N/A	N/A	0	12	0
2007-08-23	$17.56	$0.00	17.0%	4.9%	22.2%	4.1%	0.0%	-0.4%	5.4%	734	-10.1K	-48	118.28	N/A	N/A	0	12	0
2007-08-24	$17.79	$0.00	49.8%	14.3%	22.3%	22.8%	0.0%	50.8%	-15.3%	652	-11.4K	-49	174.62	N/A	N/A	0	12	0
2007-08-27	$17.70	$0.00	52.7%	15.1%	21.1%	24.4%	0.0%	8.4%	-17.6%	639	-11.1K	-48	173.99	N/A	N/A	0	12	0
2007-08-28	$17.31	$0.00	55.9%	16.0%	21.8%	26.2%	0.0%	5.2%	-16.4%	595	-9.5K	-47	174.97	N/A	N/A	0	12	0
2007-08-29	$17.67	$0.00	54.9%	15.7%	22.1%	25.7%	0.0%	8.3%	-19.3%	633	-10.9K	-47	173.99	N/A	N/A	0	12	0
2007-08-30	$17.67	$0.00	56.0%	16.1%	21.8%	26.3%	0.0%	8.5%	-20.2%	632	-10.8K	-47	173.99	N/A	N/A	0	12	0
2007-08-31	$17.86	$0.00	57.1%	16.4%	22.1%	26.9%	0.0%	10.6%	-20.2%	655	-11.6K	-47	174.81	N/A	N/A	0	12	0