PWB Options History — July 2008

In July 2008, PWB traded between $16.39 and $17.00. ATM implied volatility averaged 74.5%, placing in the 42.8% IV rank vs the trailing year. The 30-day expected move averaged 18.5%. IV traded above realized volatility by 56.4% (HV 20d: 18.1%). Max pain ranged from $17.00 to $18.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 0 of 22 days. Put/call ratio averaged 0.00.

Notable Days

2008-07-21: Highest Volume — 10 contracts
2008-07-24: Largest IV spike — 158.7% change
2008-07-16: Highest IV Rank — 100.0%
2008-07-11: Largest Expected Move — 28.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$16.68	$16.39	$17.00	$17.00	$16.92
Max Pain	$17.68	$17.00	$18.00	$18.00	$18.00
ATM IV	74.5%	36.4%	164.1%	66.6%	39.6%
Expected Move	18.5%	10.3%	28.9%	19.1%	11.4%
HV 20d	18.1%	16.3%	20.3%	18.8%	16.3%
HV 60d	16.6%	15.9%	17.0%	16.2%	16.7%
IV Rank	42.8%	15.8%	100.0%	39.1%	17.0%
IV Percentile	72.7%	34.5%	100.0%	83.7%	36.1%
Term Structure	-28.4%	-73.5%	-5.8%	-35.4%	-8.6%
VWIV	46.8%	32.7%	105.3%	34.1%	39.1%
Skew 25d	18.9%	0.7%	70.0%	55.5%	1.8%
Skew 10d	-9.1%	-41.1%	11.5%	-15.9%	6.0%
Call IV 25d	62.4%	29.6%	110.9%	29.6%	54.8%
Put IV 25d	81.2%	50.1%	121.7%	85.1%	56.6%
Bid-Ask Spread %	173.58	164.40	200.00	173.03	168.06
Gamma HHI	0.48	0.36	0.57	0.52	0.43
Net GEX	570	-285	959	959	-285
Net DEX	-9.8K	-20.8K	16.9K	-20.1K	16.9K
Net VEX	-112	-198	-77	-91	-198
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	2.727	0	10	0	10
Total OI	37.864	25	75	26	75

Daily Data (22 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	Put Vol	Call OI	Put OI
2008-07-01	$17.00	$18.00	66.6%	19.1%	18.8%	39.1%	0.0%	55.5%	-35.4%	959	-20.1K	-91	173.03	N/A	N/A	0	0	26	0
2008-07-02	$16.59	$18.00	69.2%	19.8%	20.3%	40.9%	0.0%	27.6%	-41.3%	898	-17.5K	-87	168.01	N/A	N/A	0	0	26	0
2008-07-03	$16.57	$18.00	71.3%	20.4%	18.0%	42.4%	0.0%	26.8%	-43.6%	903	-17.5K	-87	168.01	N/A	N/A	0	0	26	0
2008-07-07	$16.47	$18.00	85.1%	24.4%	16.3%	52.1%	0.0%	20.7%	-42.5%	895	-16.7K	-85	167.05	N/A	N/A	0	0	26	0
2008-07-08	$16.73	$18.00	85.7%	24.6%	17.5%	52.5%	0.0%	46.7%	-56.4%	931	-18.2K	-84	170.14	N/A	N/A	0	0	26	0
2008-07-09	$16.49	$18.00	93.1%	26.7%	18.0%	57.7%	0.0%	58.2%	-48.0%	901	-16.8K	-84	167.55	N/A	N/A	0	0	26	0
2008-07-10	$16.66	$18.00	94.9%	27.2%	18.3%	59.0%	0.0%	67.4%	-66.7%	927	-17.8K	-84	170.14	N/A	N/A	0	0	26	0
2008-07-11	$16.62	$18.00	100.7%	28.9%	18.2%	63.1%	0.0%	70.0%	-73.5%	917	-17.5K	-83	168.50	N/A	N/A	0	0	26	0
2008-07-14	$16.54	$17.00	127.5%	10.3%	17.0%	82.0%	0.0%	0.7%	-7.6%	912	-16.9K	-81	164.40	N/A	N/A	0	0	26	0
2008-07-15	$16.39	$17.00	92.6%	26.6%	17.0%	57.4%	0.0%	3.6%	-31.2%	420	-20.4K	-85	198.52	N/A	N/A	0	0	26	0
2008-07-16	$16.67	$17.00	164.1%	10.3%	18.6%	100.0%	0.0%	0.8%	-6.3%	928	-17.6K	-80	164.78	N/A	N/A	0	0	26	0
2008-07-17	$16.50	$17.00	93.7%	26.9%	18.7%	53.9%	0.0%	5.6%	-31.7%	426	-20.8K	-84	199.23	N/A	N/A	0	0	26	0
2008-07-18	$16.52	$17.00	37.1%	10.6%	18.6%	16.9%	0.0%	0.8%	-9.2%	872	-16.1K	-77	165.81	N/A	N/A	0	0	26	0
2008-07-21	$16.75	$17.00	36.4%	10.4%	19.1%	16.4%	34.1%	1.1%	-6.7%	909	-17.6K	-78	166.83	N/A	N/A	0	10	25	0
2008-07-22	$16.86	$17.00	36.6%	10.5%	19.3%	15.9%	34.5%	1.5%	-5.8%	521	-7.8K	-106	166.68	N/A	N/A	0	10	25	10
2008-07-23	$16.79	$18.00	37.0%	10.6%	19.0%	15.8%	35.1%	1.2%	-7.6%	125	3.7K	-127	167.73	N/A	N/A	0	10	25	20
2008-07-24	$16.66	$18.00	95.6%	27.4%	18.9%	54.6%	105.3%	8.9%	-37.4%	-92	3.7K	-160	200.00	N/A	N/A	10	0	25	30
2008-07-25	$16.80	$18.00	96.1%	27.5%	16.7%	54.7%	0.0%	11.5%	-37.4%	82	-5.5K	-188	200.00	N/A	N/A	0	0	35	30
2008-07-28	$16.57	$18.00	38.8%	11.1%	17.3%	16.5%	0.0%	1.1%	-11.9%	142	11.3K	-163	169.06	N/A	N/A	0	0	35	30
2008-07-29	$16.81	$18.00	39.0%	11.2%	18.2%	16.6%	0.0%	1.3%	-8.6%	126	7.9K	-171	167.55	N/A	N/A	0	0	35	30
2008-07-30	$17.00	$18.00	39.2%	11.2%	18.6%	16.7%	32.7%	2.3%	-7.2%	130	4.8K	-177	167.73	N/A	N/A	0	10	35	30
2008-07-31	$16.92	$18.00	39.6%	11.4%	16.3%	17.0%	39.1%	1.8%	-8.6%	-285	16.9K	-198	168.06	N/A	N/A	0	10	35	40