PWB Options History — October 2007 In October 2007, PWB traded between $18.60 and $19.29. ATM implied volatility averaged 43.7%, placing in the 19.3% IV rank vs the trailing year. The 30-day expected move averaged 11.8%. IV traded above realized volatility by 30.2% (HV 20d: 13.6%). Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 8 of 23 days.
Notable Days 2007-10-23 : Largest IV spike — 620.7% change2007-10-23 : Highest IV Rank — 68.0%2007-10-23 : Largest Expected Move — 37.0%Monthly Statistics Metric Avg Min Max Open Close Price $18.98 $18.60 $19.29 $19.01 $19.22 ATM IV 43.7% 15.8% 129.1% 58.0% 20.3% Expected Move 11.8% 4.5% 37.0% 16.6% 5.8% HV 20d 13.6% 10.6% 15.6% 15.6% 15.3% HV 60d 18.0% 16.7% 18.9% 18.3% 16.8% IV Rank 19.3% 3.4% 68.0% 27.4% 5.9% IV Percentile 63.3% 28.8% 92.1% 78.5% 51.4% Term Structure -11.7% -46.8% 7.3% -21.4% 0.1% Skew 25d 5.5% -12.4% 24.5% 23.9% 1.8% Skew 10d 11.5% -1.6% 47.2% 44.9% 0.0% Call IV 25d 48.7% 11.9% 148.2% 57.4% 21.4% Put IV 25d 54.2% 10.6% 162.3% 81.2% 23.3% Bid-Ask Spread % 146.57 83.59 200.00 160.71 116.51 Gamma HHI 0.83 0.79 0.85 0.84 0.80 Net GEX 725 275 1.1K 607 862 Net DEX -17.6K -21.0K -15.2K -16.9K -20.3K Net VEX -35 -42 -25 -42 -25 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 0 0 0 0 0 Total OI 13 13 13 13 13
Daily Data (23 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 2007-10-01 $19.01 $0.00 58.0% 16.6% 15.6% 27.4% 0.0% 23.9% -21.4% 607 -16.9K -42 0.00 160.71 N/A N/A 0 0 13 0 2007-10-02 $18.98 $0.00 59.6% 17.1% 15.2% 28.4% 0.0% 24.0% -22.8% 612 -16.8K -42 0.00 161.89 N/A N/A 0 0 13 0 2007-10-03 $18.87 $0.00 61.5% 17.6% 14.7% 29.4% 0.0% 23.4% -24.8% 621 -16.3K -41 0.00 162.55 N/A N/A 0 0 13 0 2007-10-04 $18.91 $0.00 63.3% 18.1% 14.7% 30.5% 0.0% 24.5% -26.0% 615 -16.5K -41 0.00 162.12 N/A N/A 0 0 13 0 2007-10-05 $19.12 $0.00 65.0% 11.0% 12.7% 31.4% 0.0% 2.6% -9.9% 597 -17.3K -39 0.00 174.96 N/A N/A 0 0 13 0 2007-10-08 $19.13 $0.00 72.6% 11.4% 12.8% 35.8% 0.0% 2.7% -10.7% 616 -17.5K -39 0.00 175.62 N/A N/A 0 0 13 0 2007-10-09 $19.23 $0.00 18.5% 5.1% 12.2% 4.9% 0.0% 3.8% 0.3% 790 -20.3K -31 0.00 110.78 N/A N/A 0 0 13 0 2007-10-10 $19.27 $0.00 19.2% 5.2% 12.1% 5.3% 0.0% 3.8% 0.6% 769 -20.5K -28 0.00 111.04 N/A N/A 0 0 13 0 2007-10-11 $19.12 $0.00 18.1% 5.2% 12.8% 4.7% 0.0% 3.6% 0.5% 821 -19.7K -30 0.00 109.97 N/A N/A 0 0 13 0 2007-10-12 $19.29 $0.00 17.9% 5.1% 12.8% 4.6% 0.0% -12.4% -0.0% 795 -21.0K -26 0.00 111.55 N/A N/A 0 0 13 0 2007-10-15 $19.04 $0.00 44.0% 12.6% 13.9% 19.4% 0.0% 2.1% -13.5% 630 -17.1K -37 0.00 176.28 N/A N/A 0 0 13 0 2007-10-16 $18.95 $0.00 44.8% 12.8% 11.2% 19.9% 0.0% 1.4% -14.3% 635 -16.7K -38 0.00 176.75 N/A N/A 0 0 13 0 2007-10-17 $19.07 $0.00 20.3% 5.8% 10.7% 5.9% 0.0% -1.3% -0.8% 930 -18.3K -34 0.00 86.33 N/A N/A 0 0 13 0 2007-10-18 $19.12 $0.00 17.7% 5.1% 10.6% 4.5% 0.0% 2.7% 1.3% 855 -19.6K -29 0.00 112.67 N/A N/A 0 0 13 0 2007-10-19 $18.62 $0.00 19.3% 5.5% 14.1% 5.4% 0.0% -3.8% 1.5% 986 -15.9K -37 0.00 113.97 N/A N/A 0 0 13 0 2007-10-22 $18.60 $0.00 17.9% 5.1% 14.1% 4.6% 0.0% 4.4% 7.3% 987 -15.9K -36 0.00 83.59 N/A N/A 0 0 13 0 2007-10-23 $18.82 $0.00 129.1% 37.0% 14.6% 68.0% 0.0% 14.1% -46.8% 275 -15.2K -38 0.00 200.00 N/A N/A 0 0 13 0 2007-10-24 $18.75 $0.00 51.9% 14.9% 14.5% 23.9% 0.0% 1.3% -20.3% 651 -15.8K -37 0.00 176.19 N/A N/A 0 0 13 0 2007-10-25 $18.78 $0.00 52.9% 15.2% 14.4% 24.6% 0.0% 1.3% -21.0% 649 -15.9K -35 0.00 175.88 N/A N/A 0 0 13 0 2007-10-26 $18.86 $0.00 15.8% 4.5% 14.3% 3.4% 0.0% -0.8% 1.8% 1.1K -18.2K -30 0.00 154.87 N/A N/A 0 0 13 0 2007-10-29 $18.97 $0.00 58.0% 16.6% 14.0% 27.5% 0.0% 1.7% -24.1% 645 -16.7K -34 0.00 178.68 N/A N/A 0 0 13 0 2007-10-30 $18.88 $0.00 59.7% 17.1% 14.1% 28.4% 0.0% 1.7% -26.0% 648 -16.3K -34 0.00 178.23 N/A N/A 0 0 13 0 2007-10-31 $19.22 $0.00 20.3% 5.8% 15.3% 5.9% 0.0% 1.8% 0.1% 862 -20.3K -25 0.00 116.51 N/A N/A 0 0 13 0
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