PWB Options History — December 2007 In December 2007, PWB traded between $18.25 and $19.12. ATM implied volatility averaged 46.2%, placing in the 20.7% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded above realized volatility by 22.8% (HV 20d: 23.4%). Max pain ranged from $18.00 to $19.00. Net GEX was positive for 3 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.00.
Notable Days 2007-12-05 : Highest Volume — 20 contracts2007-12-06 : Largest IV spike — 138.8% change2007-12-12 : Highest IV Rank — 40.7%2007-12-06 : Largest Expected Move — 18.1%Monthly Statistics Metric Avg Min Max Open Close Price $18.73 $18.25 $19.12 $18.54 $18.75 Max Pain $18.80 $18.00 $19.00 $18.00 $19.00 ATM IV 46.2% 23.8% 81.3% 58.5% 37.8% Expected Move 10.7% 5.5% 18.1% 16.8% 10.8% HV 20d 23.4% 21.3% 24.5% 24.5% 21.4% HV 60d 20.0% 18.6% 20.9% 18.6% 20.8% IV Rank 20.7% 8.0% 40.7% 27.7% 15.9% IV Percentile 67.6% 52.9% 87.3% 78.7% 61.0% Term Structure -1.3% -49.4% 21.5% -47.5% 18.2% Skew 25d 15.2% -24.1% 55.6% 7.3% 55.6% Skew 10d 29.3% 0.5% 72.6% 30.2% 72.6% Call IV 25d 43.8% 16.1% 80.0% 76.0% 21.5% Put IV 25d 59.0% 22.0% 88.7% 83.3% 77.2% Bid-Ask Spread % 156.05 95.90 174.09 166.22 173.64 Gamma HHI 0.49 0.40 0.59 0.59 0.51 Net GEX -1.6K -3.8K 4.1K -2.9K -3.2K Net DEX 26.5K -5.1K 57.4K 51.2K 32.2K Net VEX -703 -767 -647 -681 -647 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 1.75 0 20 0 0 Total OI 203.6 182 220 190 182
Daily Data (20 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 2007-12-03 $18.54 $18.00 58.5% 16.8% 24.5% 27.7% 0.0% 7.3% -47.5% -2.9K 51.2K -681 0.00 166.22 N/A N/A 0 0 55 135 2007-12-04 $18.41 $18.00 61.9% 17.8% 24.5% 29.7% 0.0% 6.1% -21.0% -2.6K 57.4K -677 0.00 166.85 N/A N/A 0 0 55 135 2007-12-05 $18.68 $18.00 26.5% 7.6% 24.4% 9.5% 0.0% -4.9% -0.5% -1.8K 44.7K -653 0.00 104.74 N/A N/A 20 0 55 135 2007-12-06 $18.97 $18.00 63.2% 18.1% 24.0% 30.4% 0.0% 12.6% -49.4% -2.4K 12.9K -767 0.00 166.92 N/A N/A 0 0 75 135 2007-12-07 $18.96 $19.00 65.3% 7.6% 23.4% 31.6% 0.0% 6.5% 12.5% -2.7K 11.6K -761 0.00 168.03 N/A N/A 10 0 75 135 2007-12-10 $19.12 $19.00 72.7% 7.8% 22.5% 35.8% 0.0% 7.7% 12.6% -1.7K -5.1K -763 0.00 167.48 N/A N/A 0 0 85 135 2007-12-11 $18.53 $19.00 60.7% 8.0% 23.6% 29.0% 0.0% 6.1% 8.2% -1.4K 9.5K -767 0.00 166.31 N/A N/A 0 0 85 135 2007-12-12 $18.95 $19.00 81.3% 5.5% 23.2% 40.7% 0.0% -24.1% 9.2% -1.1K 6.7K -752 0.00 145.99 N/A N/A 0 0 85 135 2007-12-13 $18.88 $19.00 23.8% 6.8% 23.2% 8.0% 0.0% 29.4% 1.8% 1.8K 12.7K -723 0.00 134.04 N/A N/A 0 0 85 135 2007-12-14 $18.63 $19.00 39.0% 11.2% 23.6% 16.6% 0.0% 0.0% -8.5% -3.8K 41.6K -702 0.00 154.38 N/A N/A 0 0 57 135 2007-12-17 $18.25 $19.00 46.0% 13.2% 24.5% 20.6% 0.0% 4.0% -9.4% -2.2K 38.9K -730 0.00 174.09 N/A N/A 0 0 85 135 2007-12-18 $18.39 $19.00 46.5% 13.3% 24.0% 20.9% 0.0% 5.0% -11.8% -2.2K 34.8K -718 0.00 173.61 N/A N/A 0 0 85 135 2007-12-19 $18.34 $19.00 47.3% 13.6% 23.8% 21.4% 0.0% 1.9% -9.7% -1.0K 42.1K -709 0.00 173.89 N/A N/A 5 0 85 135 2007-12-20 $18.55 $19.00 28.0% 8.0% 23.6% 10.3% 0.0% 4.8% -0.7% 2.1K 31.0K -697 0.00 95.90 N/A N/A 0 0 85 135 2007-12-21 $18.86 $19.00 26.9% 7.7% 24.0% 9.7% 0.0% 8.8% 0.4% 4.1K 11.6K -690 0.00 99.87 N/A N/A 0 0 85 135 2007-12-24 $19.02 $19.00 37.1% 10.6% 23.2% 15.5% 0.0% 8.5% 9.4% -2.8K 21.6K -668 0.00 170.82 N/A N/A 0 0 57 125 2007-12-26 $19.09 $19.00 33.4% 9.6% 23.0% 13.4% 0.0% 50.1% 19.7% -2.5K 18.6K -661 0.00 171.63 N/A N/A 0 0 57 125 2007-12-27 $18.84 $19.00 33.0% 9.5% 21.3% 13.2% 0.0% 50.6% 21.5% -3.1K 27.6K -650 0.00 173.14 N/A N/A 0 0 57 125 2007-12-28 $18.85 $19.00 35.1% 10.1% 21.3% 14.4% 0.0% 52.0% 18.8% -3.1K 27.6K -647 0.00 173.42 N/A N/A 0 0 57 125 2007-12-31 $18.75 $19.00 37.8% 10.8% 21.4% 15.9% 0.0% 55.6% 18.2% -3.2K 32.2K -647 0.00 173.64 N/A N/A 0 0 57 125
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