PWB Options History — August 2008

In August 2008, PWB traded between $16.45 and $17.09. ATM implied volatility averaged 72.5%, placing in the 38.2% IV rank vs the trailing year. The 30-day expected move averaged 20.8%. IV traded above realized volatility by 55.1% (HV 20d: 17.4%). Max pain ranged from $18.00 to $18.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 0 of 21 days. Put/call ratio averaged 0.00.

Notable Days

2008-08-01: Highest Volume — 10 contracts
2008-08-12: Largest IV spike — 159.0% change
2008-08-20: Highest IV Rank — 76.8%
2008-08-20: Largest Expected Move — 37.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$16.90	$16.45	$17.09	$16.72	$16.89
Max Pain	$18.00	$18.00	$18.00	$18.00	$18.00
ATM IV	72.5%	41.9%	129.8%	102.8%	60.4%
Expected Move	20.8%	12.0%	37.2%	29.5%	17.3%
HV 20d	17.4%	15.8%	19.0%	16.9%	15.9%
HV 60d	17.4%	16.6%	17.8%	16.6%	17.2%
IV Rank	38.2%	17.6%	76.8%	59.1%	30.1%
IV Percentile	66.7%	36.1%	98.4%	97.2%	69.4%
Term Structure	-33.9%	-99.1%	-10.9%	-74.0%	-30.7%
VWIV	60.3%	17.2%	128.9%	37.3%	58.7%
Skew 25d	11.7%	1.3%	19.1%	10.6%	18.0%
Skew 10d	9.9%	2.8%	19.1%	10.6%	7.8%
Call IV 25d	84.2%	53.1%	147.4%	118.7%	65.4%
Put IV 25d	96.0%	59.9%	165.7%	129.3%	83.4%
Bid-Ask Spread %	178.55	168.74	200.00	168.74	174.75
Gamma HHI	0.56	0.44	0.67	0.47	0.45
Net GEX	-1.9K	-4.7K	-243	-243	-4.7K
Net DEX	52.8K	16.7K	106.6K	16.7K	106.6K
Net VEX	-260	-312	-219	-219	-312
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	5.238	0	10	10	10
Total OI	124.524	85	185	85	185

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	Put Vol	Call OI	Put OI
2008-08-01	$16.72	$18.00	102.8%	29.5%	16.9%	59.1%	37.3%	10.6%	-74.0%	-243	16.7K	-219	168.74	N/A	N/A	0	10	35	50
2008-08-04	$16.45	$18.00	110.3%	31.6%	17.8%	64.1%	0.0%	5.4%	-44.0%	-425	21.0K	-240	199.23	N/A	N/A	0	0	35	60
2008-08-05	$16.80	$18.00	41.9%	12.0%	18.6%	17.6%	0.0%	1.3%	-12.2%	-1.1K	38.1K	-229	168.95	N/A	N/A	0	0	35	60
2008-08-06	$16.94	$18.00	42.2%	12.1%	17.9%	17.8%	37.5%	1.9%	-10.9%	-1.1K	35.6K	-233	169.05	N/A	N/A	0	10	35	60
2008-08-07	$16.72	$18.00	42.9%	12.3%	18.3%	18.3%	0.0%	1.3%	-14.0%	-1.5K	50.7K	-245	170.23	N/A	N/A	0	0	35	70
2008-08-08	$16.97	$18.00	43.1%	12.4%	19.0%	18.4%	0.0%	2.1%	-11.9%	-1.6K	45.5K	-251	169.62	N/A	N/A	0	0	35	70
2008-08-11	$16.94	$18.00	44.8%	12.8%	18.9%	19.5%	0.0%	1.9%	-13.6%	-1.6K	46.2K	-243	169.62	N/A	N/A	0	0	35	70
2008-08-12	$16.87	$18.00	115.9%	33.2%	18.6%	67.5%	0.0%	15.2%	-53.4%	-598	26.8K	-249	200.00	N/A	N/A	0	0	35	70
2008-08-13	$17.04	$18.00	116.9%	33.5%	18.0%	68.1%	0.0%	19.1%	-53.4%	-635	24.9K	-248	200.00	N/A	N/A	0	0	35	70
2008-08-14	$17.02	$18.00	118.5%	34.0%	17.5%	69.2%	118.9%	18.9%	-54.9%	-634	25.1K	-245	200.00	N/A	N/A	0	10	35	70
2008-08-15	$17.00	$18.00	120.2%	34.5%	17.5%	70.4%	0.0%	18.7%	-56.4%	-809	32.5K	-262	200.00	N/A	N/A	0	0	35	80
2008-08-18	$16.89	$18.00	49.3%	14.1%	17.1%	22.6%	17.2%	13.2%	-18.6%	-2.2K	59.0K	-238	172.21	N/A	N/A	10	0	35	80
2008-08-19	$16.79	$18.00	50.2%	14.4%	17.1%	23.2%	0.0%	16.7%	-20.7%	-1.7K	55.7K	-245	172.29	N/A	N/A	0	0	45	80
2008-08-20	$16.93	$18.00	129.8%	37.2%	17.3%	76.8%	128.9%	18.3%	-99.1%	-978	38.5K	-259	171.95	N/A	N/A	0	10	45	80
2008-08-21	$16.96	$18.00	51.6%	14.8%	17.0%	24.2%	42.2%	12.4%	-20.4%	-2.3K	59.8K	-266	172.19	N/A	N/A	0	10	45	90
2008-08-22	$17.09	$18.00	52.3%	15.0%	17.0%	24.6%	53.6%	9.6%	-19.3%	-3.0K	67.1K	-282	172.91	N/A	N/A	0	10	45	100
2008-08-25	$16.85	$18.00	55.6%	15.9%	17.0%	26.8%	53.5%	18.1%	-26.2%	-3.2K	82.9K	-283	174.96	N/A	N/A	0	10	45	110
2008-08-26	$16.88	$18.00	56.7%	16.2%	16.3%	27.6%	55.0%	16.9%	-26.0%	-3.7K	90.0K	-296	174.05	N/A	N/A	0	10	45	120
2008-08-27	$16.96	$18.00	57.7%	16.6%	15.8%	28.3%	0.0%	15.1%	-26.6%	-4.3K	95.6K	-309	174.41	N/A	N/A	0	0	45	130
2008-08-28	$17.09	$18.00	58.7%	16.8%	16.0%	29.0%	60.1%	11.9%	-26.2%	-4.6K	91.3K	-303	174.37	N/A	N/A	0	10	45	130
2008-08-29	$16.89	$18.00	60.4%	17.3%	15.9%	30.1%	58.7%	18.0%	-30.7%	-4.7K	106.6K	-312	174.75	N/A	N/A	0	10	45	140