PWB Options History — June 2008

In June 2008, PWB traded between $16.93 and $18.28. ATM implied volatility averaged 59.3%, placing in the 34.0% IV rank vs the trailing year. The 30-day expected move averaged 15.1%. IV traded above realized volatility by 43.3% (HV 20d: 16.0%). Max pain ranged from $17.00 to $18.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 0 of 21 days. Put/call ratio averaged 0.00.

Notable Days

2008-06-19: Highest Volume — 8 contracts
2008-06-12: Largest IV drop — 47.9% change
2008-06-11: Highest IV Rank — 51.9%
2008-06-05: Largest Expected Move — 18.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$17.65	$16.93	$18.28	$17.93	$16.93
Max Pain	$17.81	$17.00	$18.00	$17.00	$18.00
ATM IV	59.3%	44.3%	84.9%	61.2%	65.0%
Expected Move	15.1%	11.7%	18.9%	17.5%	18.6%
HV 20d	16.0%	12.3%	18.9%	12.4%	18.6%
HV 60d	18.0%	15.2%	20.8%	20.8%	16.2%
IV Rank	34.0%	23.8%	51.9%	32.2%	37.9%
IV Percentile	69.3%	42.9%	93.7%	76.6%	81.3%
Term Structure	-22.5%	-34.5%	-13.2%	-23.0%	-34.5%
Skew 25d	5.1%	-6.7%	49.5%	14.6%	49.5%
Skew 10d	0.9%	-17.4%	12.3%	11.3%	-17.4%
Call IV 25d	67.5%	32.4%	83.0%	70.0%	32.4%
Put IV 25d	72.6%	58.3%	89.8%	84.7%	81.9%
Bid-Ask Spread %	169.93	163.15	173.15	163.36	171.87
Gamma HHI	0.42	0.36	0.53	0.37	0.52
Net GEX	2.9K	943	4.7K	4.1K	946
Net DEX	-45.4K	-68.0K	-19.9K	-61.2K	-19.9K
Net VEX	-145	-204	-92	-204	-92
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	0.381	0	8	0	0
Total OI	76	26	96	96	26

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	Spread %	Call Wall	Put Wall	Call Vol	Call OI
2008-06-02	$17.93	$17.00	61.2%	17.5%	12.4%	32.2%	0.0%	14.6%	-23.0%	4.1K	-61.2K	-204	163.36	N/A	N/A	0	96
2008-06-03	$17.89	$17.00	62.9%	18.0%	12.5%	36.7%	0.0%	16.4%	-24.6%	4.1K	-60.1K	-200	163.65	N/A	N/A	0	96
2008-06-04	$17.89	$17.00	64.8%	18.6%	12.3%	38.0%	0.0%	16.8%	-26.0%	4.1K	-60.5K	-196	163.46	N/A	N/A	0	96
2008-06-05	$18.28	$17.00	66.0%	18.9%	13.1%	38.8%	0.0%	6.8%	-24.8%	4.7K	-68.0K	-199	163.15	N/A	N/A	0	96
2008-06-06	$17.82	$18.00	69.0%	11.7%	16.1%	41.0%	0.0%	1.1%	-13.2%	4.0K	-58.7K	-188	168.95	N/A	N/A	0	96
2008-06-09	$17.89	$18.00	77.1%	12.1%	16.0%	46.5%	0.0%	1.3%	-13.4%	4.1K	-60.3K	-180	169.38	N/A	N/A	0	96
2008-06-10	$17.82	$18.00	80.6%	12.3%	15.8%	49.0%	0.0%	1.2%	-14.8%	4.0K	-59.1K	-175	170.14	N/A	N/A	0	96
2008-06-11	$17.58	$18.00	84.9%	12.5%	16.3%	51.9%	0.0%	1.0%	-18.9%	3.7K	-54.6K	-168	171.93	N/A	N/A	0	96
2008-06-12	$17.61	$18.00	44.3%	12.7%	16.4%	23.8%	0.0%	1.1%	-19.3%	3.7K	-55.3K	-165	171.42	N/A	N/A	0	96
2008-06-13	$17.87	$18.00	44.6%	12.8%	16.6%	24.1%	0.0%	1.3%	-16.2%	4.0K	-60.4K	-164	170.70	N/A	N/A	0	96
2008-06-16	$17.88	$18.00	46.6%	13.4%	16.6%	25.7%	0.0%	1.4%	-18.3%	4.0K	-61.3K	-150	171.55	N/A	N/A	0	96
2008-06-17	$17.86	$18.00	47.4%	13.6%	16.6%	26.2%	0.0%	1.4%	-20.9%	4.0K	-60.9K	-145	171.55	N/A	N/A	0	96
2008-06-18	$17.75	$18.00	48.2%	13.8%	16.6%	26.6%	0.0%	1.3%	-22.2%	4.1K	-49.6K	-132	172.35	N/A	N/A	0	96
2008-06-19	$17.81	$18.00	49.0%	14.0%	15.9%	27.1%	0.0%	1.4%	-22.5%	1.0K	-27.5K	-101	171.76	N/A	N/A	8	96
2008-06-20	$17.54	$18.00	50.0%	14.3%	16.8%	27.8%	0.0%	1.2%	-24.7%	1.1K	-25.7K	-101	172.62	N/A	N/A	0	96
2008-06-23	$17.54	$18.00	52.8%	15.1%	16.7%	29.8%	0.0%	1.3%	-34.5%	996	-24.0K	-99	173.02	N/A	N/A	0	26
2008-06-24	$17.34	$18.00	55.8%	16.0%	16.8%	31.4%	0.0%	-0.4%	-21.0%	988	-22.6K	-97	172.63	N/A	N/A	0	26
2008-06-25	$17.44	$18.00	56.7%	16.3%	16.8%	32.1%	0.0%	1.0%	-20.4%	974	-23.2K	-96	173.15	N/A	N/A	0	26
2008-06-26	$16.96	$18.00	59.0%	16.9%	18.9%	33.7%	0.0%	-6.3%	-28.9%	943	-19.9K	-93	170.82	N/A	N/A	0	26
2008-06-27	$16.94	$18.00	60.4%	17.3%	18.7%	34.6%	0.0%	-6.7%	-30.3%	943	-19.9K	-93	171.08	N/A	N/A	0	26
2008-06-30	$16.93	$18.00	65.0%	18.6%	18.6%	37.9%	0.0%	49.5%	-34.5%	946	-19.9K	-92	171.87	N/A	N/A	0	26