PWB Options History — March 2008 In March 2008, PWB traded between $15.83 and $16.85. ATM implied volatility averaged 42.7%, placing in the 20.6% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded above realized volatility by 18.0% (HV 20d: 24.7%). Max pain ranged from $17.00 to $18.00. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 11 of 20 days.
Notable Days 2008-03-20 : Highest Volume — 20 contracts2008-03-14 : Largest IV spike — 148.7% change2008-03-07 : Highest IV Rank — 42.3%2008-03-31 : Largest Expected Move — 19.4%Monthly Statistics Metric Avg Min Max Open Close Price $16.35 $15.83 $16.85 $16.55 $16.46 Max Pain $17.20 $17.00 $18.00 $18.00 $17.00 ATM IV 42.7% 21.4% 77.3% 57.1% 67.7% Expected Move 11.4% 6.1% 19.4% 16.4% 19.4% HV 20d 24.7% 18.2% 30.6% 20.8% 28.8% HV 60d 25.1% 23.5% 26.6% 24.4% 26.6% IV Rank 20.6% 7.2% 42.3% 29.6% 36.3% IV Percentile 59.4% 34.1% 88.1% 75.8% 85.3% Term Structure -5.5% -35.3% 10.2% -7.5% -22.1% Skew 25d -0.3% -17.2% 17.8% 1.9% -3.8% Skew 10d 2.9% -12.4% 47.7% 47.7% -4.0% Call IV 25d 51.2% 26.4% 97.3% 90.0% 97.3% Put IV 25d 50.9% 23.0% 97.2% 91.9% 93.5% Bid-Ask Spread % 140.44 117.15 173.26 160.18 173.26 Gamma HHI 0.41 0.31 0.58 0.51 0.46 Net GEX 482 -2.9K 2.2K -2.2K 1.8K Net DEX 37.9K -25.3K 138.4K 90.9K -20.9K Net VEX -170 -320 -113 -320 -146 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 2.5 0 20 0 0 Total OI 112.5 71 171 171 71
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 2008-03-03 $16.55 $18.00 57.1% 16.4% 20.8% 29.6% 0.0% 1.9% -7.5% -2.2K 90.9K -320 0.00 160.18 N/A N/A 0 0 71 100 2008-03-04 $16.42 $18.00 61.6% 17.7% 20.9% 32.5% 0.0% 0.0% -20.8% -2.9K 118.5K -204 0.00 119.15 N/A N/A 0 0 71 100 2008-03-05 $16.54 $18.00 60.3% 17.3% 18.2% 31.7% 0.0% 2.0% -8.1% -2.2K 92.4K -290 0.00 160.54 N/A N/A 0 0 71 100 2008-03-06 $16.27 $18.00 45.0% 12.9% 18.8% 22.1% 0.0% -17.2% -35.3% -208 138.4K -179 0.00 149.36 N/A N/A 0 0 71 100 2008-03-07 $16.09 $17.00 77.3% 13.9% 19.1% 42.3% 0.0% -6.4% -17.0% -1.8K 101.7K -254 0.00 162.19 N/A N/A 0 10 71 100 2008-03-10 $15.83 $17.00 31.3% 6.7% 19.8% 13.4% 0.0% -5.2% 6.6% 401 125.6K -137 0.00 117.15 N/A N/A 0 10 71 90 2008-03-11 $16.28 $17.00 33.2% 6.8% 21.7% 14.6% 0.0% 17.8% 8.9% 548 47.2K -135 0.00 122.50 N/A N/A 0 10 71 40 2008-03-12 $16.18 $17.00 34.0% 6.5% 21.7% 15.1% 0.0% -1.4% 10.1% 702 47.9K -125 0.00 124.04 N/A N/A 0 0 71 40 2008-03-13 $16.48 $17.00 21.4% 6.1% 21.7% 7.2% 0.0% 14.5% 9.2% 298 42.3K -162 0.00 139.10 N/A N/A 0 0 71 40 2008-03-14 $16.10 $17.00 53.1% 15.2% 22.9% 27.2% 0.0% -6.8% -20.5% 217 28.8K -174 0.00 163.17 N/A N/A 0 0 71 40 2008-03-17 $15.89 $17.00 28.9% 8.3% 23.2% 11.9% 0.0% -3.1% 5.8% 1.2K 17.6K -113 0.00 117.69 N/A N/A 0 0 71 20 2008-03-18 $16.54 $17.00 25.9% 7.4% 27.7% 10.1% 0.0% -1.7% 3.2% 1.1K 11.8K -147 0.00 125.64 N/A N/A 0 0 71 20 2008-03-19 $16.17 $17.00 28.1% 8.1% 28.6% 11.5% 0.0% -1.7% 6.7% 1.3K 15.1K -127 0.00 121.85 N/A N/A 0 0 71 20 2008-03-20 $16.18 $17.00 26.3% 7.5% 28.3% 10.3% 0.0% -1.0% 10.2% 1.4K 13.3K -135 0.00 123.27 N/A N/A 0 20 71 20 2008-03-24 $16.70 $17.00 58.1% 16.7% 30.6% 30.3% 0.0% 1.3% -23.3% 2.0K -24.1K -159 0.00 173.12 N/A N/A 0 0 71 0 2008-03-25 $16.85 $17.00 27.7% 8.0% 30.0% 11.2% 0.0% 5.0% 1.1% 2.2K -25.3K -166 0.00 127.49 N/A N/A 0 0 71 0 2008-03-26 $16.64 $17.00 26.1% 7.5% 30.2% 10.2% 0.0% 3.6% 1.6% 2.2K -23.6K -157 0.00 128.72 N/A N/A 0 0 71 0 2008-03-27 $16.49 $17.00 27.1% 7.8% 30.3% 10.8% 0.0% 1.4% 1.7% 1.8K -19.3K -135 0.00 127.83 N/A N/A 0 0 71 0 2008-03-28 $16.34 $17.00 63.2% 18.1% 30.4% 33.5% 0.0% -5.4% -19.7% 1.7K -20.0K -133 0.00 172.63 N/A N/A 0 0 71 0 2008-03-31 $16.46 $17.00 67.7% 19.4% 28.8% 36.3% 0.0% -3.8% -22.1% 1.8K -20.9K -146 0.00 173.26 N/A N/A 0 0 71 0
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