PWB Options History — November 2007

In November 2007, PWB traded between $17.77 and $19.17. ATM implied volatility averaged 42.4%, placing in the 18.5% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded above realized volatility by 20.8% (HV 20d: 21.5%). Max pain ranged from $18.00 to $18.00. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 3.75.

Notable Days

2007-11-06: Highest Volume — 80 contracts
2007-11-14: Largest IV spike — 398.2% change
2007-11-14: Highest IV Rank — 81.6%
2007-11-30: Largest Expected Move — 15.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$18.37	$17.77	$19.17	$18.85	$18.64
Max Pain	$18.00	$18.00	$18.00	$18.00	$18.00
ATM IV	42.4%	16.3%	153.0%	20.0%	54.3%
Expected Move	10.0%	5.6%	15.6%	5.7%	15.6%
HV 20d	21.5%	16.6%	26.4%	16.9%	24.6%
HV 60d	18.1%	16.6%	19.2%	17.3%	19.0%
IV Rank	18.5%	3.7%	81.6%	5.8%	25.3%
IV Percentile	63.8%	32.2%	96.8%	49.8%	75.5%
Term Structure	-4.9%	-20.1%	5.1%	0.3%	-20.1%
VWIV	26.4%	16.9%	42.7%	16.9%	20.7%
Skew 25d	1.3%	-4.8%	7.8%	-0.1%	7.8%
Skew 10d	10.0%	-1.1%	28.7%	1.2%	28.7%
Call IV 25d	39.3%	14.7%	72.2%	23.3%	69.3%
Put IV 25d	40.6%	15.1%	77.1%	23.2%	77.1%
Bid-Ask Spread %	127.64	88.75	169.43	117.76	166.14
Gamma HHI	0.77	0.47	0.93	0.82	0.59
Net GEX	-2.0K	-4.2K	1.0K	1.0K	-4.2K
Net DEX	39.8K	-19.4K	65.8K	-18.2K	61.5K
Net VEX	-360	-580	-26	-30	-576
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.75	0.00	15.00	15.00	0.00
Total Volume	9.143	0	80	0	20
Total OI	97.571	13	170	13	170

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
2007-11-01	$18.85	$0.00	20.0%	5.7%	16.9%	5.8%	0.0%	-0.1%	0.3%	1.0K	-18.2K	-30	0.00	117.76	N/A	N/A	0	0	13	0
2007-11-02	$18.98	$0.00	19.5%	5.6%	16.6%	5.5%	0.0%	0.6%	1.6%	926	-18.9K	-28	0.00	118.24	N/A	N/A	0	0	13	0
2007-11-05	$18.87	$18.00	16.3%	6.0%	16.7%	3.7%	0.0%	0.4%	-0.9%	1.0K	-18.2K	-27	0.00	101.10	N/A	N/A	0	0	13	0
2007-11-06	$19.17	$18.00	23.8%	7.1%	17.6%	7.9%	16.9%	-4.8%	-1.0%	843	-19.4K	-26	15.00	92.92	N/A	N/A	5	75	13	0
2007-11-07	$18.78	$18.00	19.7%	7.3%	19.0%	5.6%	25.3%	0.0%	-0.9%	-2.1K	30.0K	-342	0.00	90.68	N/A	N/A	5	0	13	75
2007-11-08	$18.53	$18.00	24.3%	7.4%	19.4%	8.2%	0.0%	2.2%	-1.0%	-1.6K	32.9K	-364	0.00	91.94	N/A	N/A	0	0	18	75
2007-11-09	$18.22	$18.00	93.6%	11.6%	19.7%	47.7%	0.0%	3.4%	-10.5%	-2.3K	38.7K	-367	0.00	167.68	N/A	N/A	0	0	18	75
2007-11-12	$17.77	$18.00	27.9%	7.5%	20.9%	10.3%	0.0%	1.3%	4.1%	-1.8K	47.9K	-357	0.00	90.02	N/A	N/A	0	0	18	75
2007-11-13	$18.23	$18.00	30.7%	8.0%	23.3%	11.9%	0.0%	-0.5%	4.9%	-1.5K	36.5K	-356	0.00	91.00	N/A	N/A	0	25	18	75
2007-11-14	$18.16	$18.00	153.0%	12.3%	23.1%	81.6%	0.0%	3.1%	-11.6%	-3.2K	59.2K	-463	0.00	167.93	N/A	N/A	0	0	18	100
2007-11-15	$18.02	$18.00	28.3%	8.1%	23.1%	10.5%	0.0%	2.4%	4.5%	-2.7K	61.1K	-457	0.00	88.75	N/A	N/A	0	0	18	100
2007-11-16	$18.24	$18.00	28.0%	8.0%	21.9%	10.4%	0.0%	-1.6%	5.1%	-2.4K	55.4K	-455	0.00	91.94	N/A	N/A	0	0	18	100
2007-11-19	$17.96	$18.00	46.5%	13.3%	22.5%	20.9%	0.0%	1.7%	-12.6%	-3.4K	62.9K	-451	0.00	167.92	N/A	N/A	0	0	18	100
2007-11-20	$18.12	$18.00	47.0%	13.5%	22.3%	21.2%	0.0%	2.9%	-12.5%	-3.2K	60.8K	-451	0.00	168.19	N/A	N/A	0	0	18	100
2007-11-21	$17.90	$18.00	48.1%	13.8%	22.6%	21.8%	0.0%	1.6%	-13.7%	-3.4K	65.5K	-447	0.00	169.16	N/A	N/A	0	0	18	100
2007-11-23	$18.11	$18.00	49.4%	14.2%	23.1%	22.5%	0.0%	-0.3%	-6.6%	-3.4K	61.3K	-444	0.00	162.82	N/A	N/A	0	0	18	100
2007-11-26	$17.85	$18.00	27.3%	7.8%	23.4%	10.0%	0.0%	-3.8%	2.6%	-2.9K	65.8K	-431	0.00	100.92	N/A	N/A	0	0	18	100
2007-11-27	$18.05	$18.00	53.3%	15.3%	23.7%	24.8%	0.0%	2.6%	-16.6%	-3.5K	61.8K	-433	0.00	169.43	N/A	N/A	17	0	18	100
2007-11-28	$18.60	$18.00	52.0%	14.9%	26.4%	24.0%	42.7%	7.2%	-18.5%	-1.6K	45.5K	-478	0.00	166.28	N/A	N/A	0	35	35	100
2007-11-29	$18.64	$18.00	26.7%	7.7%	25.5%	9.6%	20.7%	2.1%	0.6%	-2.8K	64.0K	-580	0.00	99.57	N/A	N/A	0	10	35	135
2007-11-30	$18.64	$18.00	54.3%	15.6%	24.6%	25.3%	0.0%	7.8%	-20.1%	-4.2K	61.5K	-576	0.00	166.14	N/A	N/A	20	0	35	135