PWB Options History — September 2007 In September 2007, PWB traded between $17.64 and $18.94. ATM implied volatility averaged 50.0%, placing in the 22.9% IV rank vs the trailing year. The 30-day expected move averaged 12.2%. IV traded above realized volatility by 31.1% (HV 20d: 18.9%). Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 2 of 19 days. Put/call ratio averaged 0.00.
Notable Days 2007-09-04 : Highest Volume — 1 contracts2007-09-05 : Largest IV spike — 251.5% change2007-09-12 : Highest IV Rank — 42.6%2007-09-06 : Largest Expected Move — 19.1%Monthly Statistics Metric Avg Min Max Open Close Price $18.27 $17.64 $18.94 $18.10 $18.82 ATM IV 50.0% 16.0% 84.5% 18.5% 54.1% Expected Move 12.2% 4.6% 19.1% 5.3% 15.5% HV 20d 18.9% 15.3% 21.1% 20.6% 15.7% HV 60d 17.9% 17.3% 18.4% 17.4% 18.2% IV Rank 22.9% 3.5% 42.6% 4.9% 25.2% IV Percentile 70.1% 35.6% 85.5% 50.9% 75.7% Term Structure -15.2% -27.0% 1.4% -0.1% -19.3% Skew 25d 10.2% -0.7% 21.1% 0.8% 20.2% Skew 10d 25.3% 2.7% 40.1% 2.7% 39.5% Call IV 25d 48.5% 14.8% 80.2% 21.9% 56.0% Put IV 25d 58.7% 16.2% 93.5% 22.7% 76.2% Bid-Ask Spread % 158.49 112.05 175.71 118.47 162.55 Gamma HHI 0.86 0.83 1.00 1.00 0.84 Net GEX 670 600 922 817 614 Net DEX -14.1K -17.6K -11.4K -12.6K -16.1K Net VEX -46 -50 -41 -46 -43 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 0.053 0 1 1 0 Total OI 12.947 12 13 12 13
Daily Data (19 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 2007-09-04 $18.10 $0.00 18.5% 5.3% 20.6% 4.9% 0.0% 0.8% -0.1% 817 -12.6K -46 0.00 118.47 N/A N/A 1 0 12 0 2007-09-05 $17.90 $0.00 64.9% 18.6% 20.4% 31.4% 0.0% 12.2% -25.9% 615 -12.5K -50 0.00 175.34 N/A N/A 0 0 13 0 2007-09-06 $17.97 $0.00 66.8% 19.1% 20.4% 32.5% 0.0% 13.3% -27.0% 619 -12.8K -50 0.00 175.71 N/A N/A 0 0 13 0 2007-09-07 $17.64 $0.00 69.4% 11.8% 21.1% 34.0% 0.0% 6.6% -16.7% 600 -11.4K -49 0.00 173.64 N/A N/A 0 0 13 0 2007-09-10 $17.68 $0.00 77.5% 12.2% 19.6% 38.6% 0.0% 7.0% -17.8% 605 -11.6K -48 0.00 173.64 N/A N/A 0 0 13 0 2007-09-11 $17.93 $0.00 80.6% 12.3% 20.2% 40.3% 0.0% 8.9% -17.1% 618 -12.6K -49 0.00 173.90 N/A N/A 0 0 13 0 2007-09-12 $17.92 $0.00 84.5% 12.4% 20.2% 42.6% 0.0% 8.9% -17.6% 616 -12.5K -49 0.00 173.90 N/A N/A 0 0 13 0 2007-09-13 $17.98 $0.00 43.9% 12.6% 18.7% 19.4% 0.0% 9.5% -17.8% 620 -12.8K -48 0.00 173.53 N/A N/A 0 0 13 0 2007-09-14 $17.96 $0.00 44.5% 12.8% 17.6% 19.8% 0.0% 9.4% -18.4% 621 -12.7K -48 0.00 173.53 N/A N/A 0 0 13 0 2007-09-17 $17.88 $0.00 46.6% 13.4% 17.0% 21.0% 0.0% 9.1% -20.4% 616 -12.3K -47 0.00 174.54 N/A N/A 0 0 13 0 2007-09-18 $18.35 $0.00 16.0% 4.6% 19.0% 3.5% 0.0% 1.5% -0.8% 922 -15.2K -46 0.00 116.96 N/A N/A 0 0 13 0 2007-09-19 $18.56 $0.00 45.8% 13.1% 19.2% 20.5% 0.0% 14.9% -22.1% 624 -15.1K -46 0.00 165.37 N/A N/A 0 0 13 0 2007-09-20 $18.50 $0.00 47.8% 13.7% 19.3% 21.6% 0.0% 14.5% -18.0% 624 -14.9K -46 0.00 165.75 N/A N/A 0 0 13 0 2007-09-21 $18.69 $0.00 17.6% 5.0% 19.4% 4.4% 0.0% -0.7% 1.4% 880 -16.7K -43 0.00 112.83 N/A N/A 0 0 13 0 2007-09-24 $18.65 $0.00 49.9% 14.3% 19.2% 22.8% 0.0% 17.0% -16.9% 624 -15.4K -45 0.00 164.58 N/A N/A 0 0 13 0 2007-09-25 $18.74 $0.00 50.8% 14.6% 19.0% 23.4% 0.0% 18.2% -17.3% 620 -15.8K -44 0.00 163.49 N/A N/A 0 0 13 0 2007-09-26 $18.85 $0.00 17.8% 5.1% 16.5% 4.5% 0.0% 1.8% 0.5% 869 -17.6K -41 0.00 112.05 N/A N/A 0 0 13 0 2007-09-27 $18.94 $0.00 52.8% 15.1% 15.3% 24.5% 0.0% 21.1% -17.9% 608 -16.6K -43 0.00 161.63 N/A N/A 0 0 13 0 2007-09-28 $18.82 $0.00 54.1% 15.5% 15.7% 25.2% 0.0% 20.2% -19.3% 614 -16.1K -43 0.00 162.55 N/A N/A 0 0 13 0
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