PWB Options History — February 2008 In February 2008, PWB traded between $16.22 and $17.15. ATM implied volatility averaged 48.9%, placing in the 24.2% IV rank vs the trailing year. The 30-day expected move averaged 11.0%. IV traded above realized volatility by 24.3% (HV 20d: 24.6%). Max pain ranged from $18.00 to $18.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.00.
Notable Days 2008-02-12 : Highest Volume — 1 contracts2008-02-04 : Largest IV spike — 203.8% change2008-02-08 : Highest IV Rank — 66.5%2008-02-08 : Largest Expected Move — 33.2%Monthly Statistics Metric Avg Min Max Open Close Price $16.73 $16.22 $17.15 $16.98 $16.50 Max Pain $18.00 $18.00 $18.00 $18.00 $18.00 ATM IV 48.9% 22.2% 115.8% 26.9% 62.7% Expected Move 11.0% 6.4% 33.2% 7.7% 18.0% HV 20d 24.6% 19.7% 30.3% 30.1% 22.7% HV 60d 24.7% 23.7% 25.6% 25.5% 24.4% IV Rank 24.2% 7.7% 66.5% 9.7% 33.2% IV Percentile 64.0% 38.1% 94.8% 50.0% 81.7% Term Structure -5.8% -48.5% 4.5% 4.5% -16.6% Skew 25d -0.6% -10.5% 7.8% -0.7% 1.7% Skew 10d -3.1% -15.5% 2.3% -1.5% -11.8% Call IV 25d 46.0% 24.6% 144.9% 24.6% 84.1% Put IV 25d 45.4% 19.7% 136.4% 23.8% 85.8% Bid-Ask Spread % 137.96 118.26 188.28 148.61 160.48 Gamma HHI 0.55 0.44 0.62 0.57 0.51 Net GEX -3.1K -5.6K -554 -3.5K -2.1K Net DEX 93.2K 40.3K 117.5K 84.5K 90.3K Net VEX -376 -487 -298 -464 -327 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 0.1 0 1 0 0 Total OI 169.95 169 171 169 171
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 2008-02-01 $16.98 $0.00 26.9% 7.7% 30.1% 9.7% 0.0% -0.7% 4.5% -3.5K 84.5K -464 0.00 148.61 N/A N/A 0 0 69 100 2008-02-04 $16.89 $18.00 81.8% 11.8% 28.8% 41.0% 0.0% 1.7% -11.0% -2.1K 75.5K -454 0.00 157.54 N/A N/A 0 0 69 100 2008-02-05 $16.40 $18.00 31.3% 11.2% 30.3% 12.2% 0.0% 7.8% -10.9% -1.1K 78.7K -428 0.00 134.34 N/A N/A 0 0 69 100 2008-02-06 $16.22 $18.00 94.2% 10.7% 29.6% 52.9% 0.0% -3.3% -9.8% -1.6K 90.6K -387 0.00 147.73 N/A N/A 0 0 69 100 2008-02-07 $16.27 $18.00 99.1% 12.8% 27.8% 56.0% 0.0% -1.4% -7.7% -1.9K 91.1K -394 0.00 156.93 N/A N/A 0 0 69 100 2008-02-08 $16.34 $18.00 115.8% 33.2% 27.9% 66.5% 0.0% -8.5% -48.5% -554 40.3K -487 0.00 188.28 N/A N/A 0 0 69 100 2008-02-11 $16.59 $18.00 46.6% 8.0% 28.3% 23.1% 0.0% -1.6% 1.3% -3.3K 111.4K -334 0.00 118.86 N/A N/A 0 0 69 100 2008-02-12 $16.67 $18.00 48.8% 7.9% 27.1% 24.4% 0.0% -0.8% 1.4% -3.7K 106.1K -352 0.00 118.26 N/A N/A 1 0 69 100 2008-02-13 $16.97 $18.00 56.9% 7.8% 25.9% 29.5% 0.0% 0.6% 1.6% -4.3K 98.9K -383 0.00 118.41 N/A N/A 0 0 70 100 2008-02-14 $16.79 $18.00 27.5% 7.9% 25.2% 11.1% 0.0% -0.7% 1.8% -3.8K 104.9K -361 0.00 119.10 N/A N/A 0 0 70 100 2008-02-15 $16.72 $18.00 27.6% 7.9% 22.7% 11.1% 0.0% -0.9% 1.0% -3.9K 105.7K -348 0.00 118.96 N/A N/A 0 0 70 100 2008-02-19 $16.74 $18.00 50.2% 14.4% 22.7% 25.3% 0.0% 1.4% -14.6% -1.9K 80.1K -397 0.00 160.35 N/A N/A 0 0 70 100 2008-02-20 $16.87 $18.00 26.3% 7.5% 21.4% 10.3% 0.0% -0.8% 0.9% -4.1K 107.2K -348 0.00 121.55 N/A N/A 1 0 70 100 2008-02-21 $16.66 $18.00 25.1% 7.2% 22.0% 9.6% 0.0% -1.5% -2.4% -3.6K 113.2K -304 0.00 122.00 N/A N/A 0 0 71 100 2008-02-22 $16.73 $18.00 22.2% 6.4% 20.3% 7.7% 0.0% -0.2% 2.1% -3.7K 117.5K -298 0.00 124.06 N/A N/A 0 0 71 100 2008-02-25 $17.05 $18.00 48.4% 13.9% 20.1% 24.2% 0.0% 1.9% -3.0% -2.4K 74.2K -389 0.00 161.05 N/A N/A 0 0 71 100 2008-02-26 $17.15 $18.00 26.1% 7.5% 19.7% 10.2% 0.0% 2.1% -0.2% -5.6K 98.5K -358 0.00 124.31 N/A N/A 0 0 71 100 2008-02-27 $17.08 $18.00 28.4% 8.1% 19.8% 11.6% 0.0% 2.3% -2.3% -5.1K 97.2K -350 0.00 122.99 N/A N/A 0 0 71 100 2008-02-28 $16.99 $18.00 32.3% 9.3% 19.9% 14.1% 0.0% -10.5% -2.7% -4.3K 98.0K -349 0.00 135.39 N/A N/A 0 0 71 100 2008-02-29 $16.50 $18.00 62.7% 18.0% 22.7% 33.2% 0.0% 1.7% -16.6% -2.1K 90.3K -327 0.00 160.48 N/A N/A 0 0 71 100
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