PWB Options History — January 2008

In January 2008, PWB traded between $16.28 and $18.58. ATM implied volatility averaged 41.4%, placing in the 18.0% IV rank vs the trailing year. The 30-day expected move averaged 11.0%. IV traded above realized volatility by 16.0% (HV 20d: 25.4%). Max pain ranged from $19.00 to $19.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 2.50.

Notable Days

2008-01-23: Highest Volume — 50 contracts
2008-01-25: Largest IV spike — 160.3% change
2008-01-07: Highest IV Rank — 38.3%
2008-01-25: Largest Expected Move — 18.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$17.27	$16.28	$18.58	$18.49	$16.57
Max Pain	$19.00	$19.00	$19.00	$19.00	$19.00
ATM IV	41.4%	22.2%	77.0%	45.6%	26.0%
Expected Move	11.0%	6.9%	18.1%	13.1%	7.5%
HV 20d	25.4%	21.8%	28.4%	21.9%	28.3%
HV 60d	23.6%	20.9%	25.5%	20.9%	24.9%
IV Rank	18.0%	7.0%	38.3%	20.4%	9.2%
IV Percentile	62.2%	46.4%	86.1%	64.8%	48.0%
Term Structure	-4.2%	-20.4%	21.9%	14.1%	-4.8%
Skew 25d	1.6%	-16.9%	20.7%	9.1%	0.1%
Skew 10d	-0.3%	-30.9%	23.2%	18.7%	3.4%
Call IV 25d	48.7%	20.2%	82.3%	73.1%	37.2%
Put IV 25d	50.3%	19.6%	86.8%	82.2%	37.4%
Bid-Ask Spread %	143.29	93.33	174.24	174.24	132.12
Gamma HHI	0.56	0.48	0.64	0.51	0.59
Net GEX	-3.6K	-4.8K	-2.8K	-3.2K	-3.6K
Net DEX	87.4K	39.7K	141.5K	45.4K	94.1K
Net VEX	-568	-708	-401	-640	-423
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.50	0.00	5.00	0.00	5.00
Total Volume	4.952	0	50	0	0
Total OI	192.857	169	206	182	169

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
2008-01-02	$18.49	$19.00	45.6%	13.1%	21.9%	20.4%	0.0%	9.1%	14.1%	-3.2K	45.4K	-640	0.00	174.24	N/A	N/A	0	0	57	125
2008-01-03	$18.58	$19.00	38.6%	11.1%	21.8%	16.4%	0.0%	3.7%	21.9%	-3.4K	39.7K	-627	0.00	174.10	N/A	N/A	0	0	57	125
2008-01-04	$18.08	$0.00	68.7%	11.6%	23.3%	33.6%	0.0%	2.9%	-5.7%	-3.4K	62.3K	-623	0.00	170.70	N/A	N/A	0	0	57	125
2008-01-07	$18.00	$0.00	77.0%	12.1%	22.4%	38.3%	0.0%	2.5%	-7.5%	-3.4K	66.1K	-610	0.00	171.21	N/A	N/A	0	0	57	125
2008-01-08	$17.59	$0.00	22.2%	7.3%	23.5%	7.0%	0.0%	4.2%	0.8%	-4.0K	68.8K	-578	0.00	93.33	N/A	N/A	24	0	57	125
2008-01-09	$18.03	$0.00	27.2%	7.4%	25.3%	9.9%	0.0%	4.4%	1.3%	-3.5K	51.2K	-708	0.00	93.78	N/A	N/A	0	0	81	125
2008-01-10	$18.06	$0.00	26.2%	7.5%	22.9%	9.3%	0.0%	-1.5%	3.0%	-3.5K	47.7K	-705	0.00	98.13	N/A	N/A	0	0	81	125
2008-01-11	$17.73	$0.00	44.8%	12.8%	21.9%	19.9%	0.0%	18.0%	-13.7%	-3.1K	60.1K	-691	0.00	173.15	N/A	N/A	0	0	81	125
2008-01-14	$18.09	$0.00	46.3%	13.3%	23.4%	20.8%	0.0%	8.6%	-12.1%	-2.9K	42.8K	-696	0.00	173.00	N/A	N/A	0	0	81	125
2008-01-15	$17.51	$0.00	24.4%	7.0%	25.6%	8.3%	0.0%	4.9%	2.9%	-4.8K	70.4K	-648	0.00	102.64	N/A	N/A	0	0	81	125
2008-01-16	$17.15	$0.00	50.5%	14.5%	25.6%	23.2%	0.0%	-2.5%	-13.5%	-2.8K	83.4K	-613	0.00	172.54	N/A	N/A	0	0	81	125
2008-01-17	$16.63	$0.00	52.1%	14.9%	27.0%	24.1%	0.0%	-9.8%	-18.2%	-3.1K	107.9K	-546	0.00	169.57	N/A	N/A	0	0	81	125
2008-01-18	$16.61	$0.00	28.0%	8.0%	27.0%	10.3%	0.0%	2.3%	1.0%	-4.2K	119.4K	-533	0.00	101.76	N/A	N/A	0	0	81	125
2008-01-22	$16.28	$0.00	59.4%	17.0%	26.8%	28.3%	0.0%	-16.9%	-19.5%	-2.8K	120.3K	-480	0.00	163.81	N/A	N/A	0	0	64	125
2008-01-23	$16.31	$0.00	60.6%	17.4%	25.6%	28.9%	0.0%	-16.7%	-20.1%	-2.8K	120.5K	-469	0.00	165.19	N/A	N/A	0	50	64	125
2008-01-24	$16.71	$0.00	24.2%	6.9%	27.5%	8.2%	0.0%	0.1%	5.0%	-4.6K	121.2K	-509	0.00	128.14	N/A	N/A	0	0	64	125
2008-01-25	$16.40	$0.00	63.0%	18.1%	27.5%	30.3%	0.0%	20.7%	-20.4%	-3.0K	116.4K	-500	0.00	166.27	N/A	N/A	0	0	64	125
2008-01-28	$16.62	$0.00	27.4%	7.8%	28.4%	10.0%	0.0%	0.2%	0.6%	-4.5K	128.0K	-467	0.00	128.49	N/A	N/A	0	0	64	125
2008-01-29	$16.61	$0.00	28.1%	8.1%	28.4%	10.4%	0.0%	0.2%	-0.1%	-4.4K	128.3K	-455	0.00	127.95	N/A	N/A	0	0	64	125
2008-01-30	$16.60	$0.00	28.9%	8.3%	28.4%	10.9%	0.0%	0.1%	-3.0%	-4.3K	141.5K	-401	5.00	128.98	N/A	N/A	5	25	64	125
2008-01-31	$16.57	$0.00	26.0%	7.5%	28.3%	9.2%	0.0%	0.1%	-4.8%	-3.6K	94.1K	-423	0.00	132.12	N/A	N/A	0	0	69	100