PWB Options History — September 2008

In September 2008, PWB traded between $13.67 and $16.57. ATM implied volatility averaged 87.0%, placing in the 46.8% IV rank vs the trailing year. The 30-day expected move averaged 23.1%. IV traded above realized volatility by 54.8% (HV 20d: 32.2%). Max pain ranged from $15.00 to $18.00. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.00.

Notable Days

2008-09-11: Highest Volume — 8 contracts
2008-09-22: Largest IV spike — 167.9% change
2008-09-17: Highest IV Rank — 100.0%
2008-09-12: Largest Expected Move — 30.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$15.48	$13.67	$16.57	$16.57	$14.62
Max Pain	$16.29	$15.00	$18.00	$18.00	$15.00
ATM IV	87.0%	32.2%	171.8%	67.2%	92.7%
Expected Move	23.1%	9.2%	30.4%	19.3%	26.6%
HV 20d	32.2%	14.9%	64.4%	16.4%	64.4%
HV 60d	24.0%	16.8%	39.4%	16.8%	39.4%
IV Rank	46.8%	10.5%	100.0%	34.7%	49.3%
IV Percentile	84.5%	23.0%	100.0%	78.2%	88.5%
Term Structure	-36.6%	-74.5%	37.4%	-44.6%	-73.1%
Skew 25d	29.5%	-14.6%	89.5%	32.8%	40.8%
Skew 10d	3.7%	-42.7%	50.3%	-0.4%	40.8%
Call IV 25d	60.0%	36.6%	101.0%	62.0%	48.0%
Put IV 25d	89.5%	32.6%	135.8%	94.8%	88.9%
Bid-Ask Spread %	180.83	148.70	196.13	173.88	186.15
Gamma HHI	0.49	0.42	0.54	0.46	0.50
Net GEX	-1.3K	-4.8K	500	-4.7K	233
Net DEX	112.7K	-13.3K	227.3K	126.1K	-11.6K
Net VEX	-114	-288	-31	-288	-47
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	138.286	18	203	195	18

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	Put OI
2008-09-02	$16.57	$18.00	67.2%	19.3%	16.4%	34.7%	0.0%	32.8%	-44.6%	-4.7K	126.1K	-288	173.88	N/A	N/A	0	45	150
2008-09-03	$16.38	$18.00	71.7%	20.6%	14.9%	37.7%	0.0%	60.2%	-35.2%	-4.8K	138.1K	-261	173.61	N/A	N/A	0	45	150
2008-09-04	$15.86	$18.00	75.3%	21.6%	18.1%	40.1%	0.0%	51.0%	-46.1%	-3.8K	148.1K	-229	172.29	N/A	N/A	0	45	150
2008-09-05	$15.84	$18.00	77.8%	22.3%	17.7%	41.8%	0.0%	51.0%	-50.9%	-3.7K	148.5K	-222	172.09	N/A	N/A	0	45	150
2008-09-08	$15.86	$18.00	76.2%	0.0%	16.6%	40.7%	0.0%	-4.5%	37.4%	-3.5K	134.7K	-222	196.13	N/A	N/A	0	45	150
2008-09-09	$15.25	$18.00	80.9%	0.0%	20.9%	43.9%	0.0%	-13.8%	29.0%	24	222.8K	-31	192.17	N/A	N/A	0	45	150
2008-09-10	$15.51	$18.00	96.0%	27.5%	22.3%	54.0%	0.0%	27.6%	-74.5%	-3.4K	156.9K	-170	167.55	N/A	N/A	0	45	150
2008-09-11	$15.89	$18.00	100.4%	28.8%	24.0%	57.0%	0.0%	70.0%	-71.0%	-3.8K	147.7K	-177	174.26	N/A	N/A	8	45	150
2008-09-12	$16.03	$18.00	106.1%	30.4%	24.4%	60.9%	0.0%	89.5%	-73.1%	-3.7K	134.9K	-201	175.34	N/A	N/A	0	53	150
2008-09-15	$15.39	$15.00	82.9%	23.8%	27.8%	45.2%	0.0%	-12.3%	0.0%	256	217.5K	-54	191.15	N/A	N/A	0	53	150
2008-09-16	$15.56	$15.00	80.0%	22.9%	28.4%	43.3%	0.0%	-9.7%	0.0%	262	219.6K	-55	192.56	N/A	N/A	0	53	150
2008-09-17	$14.71	$15.00	171.8%	9.8%	33.9%	100.0%	0.0%	-14.6%	0.0%	390	213.3K	-38	148.70	N/A	N/A	0	53	150
2008-09-18	$15.35	$15.00	84.3%	24.2%	37.8%	43.9%	0.0%	-13.6%	0.0%	254	217.0K	-53	191.37	N/A	N/A	0	53	150
2008-09-19	$15.91	$15.00	32.2%	9.2%	40.5%	10.5%	0.0%	-4.8%	0.0%	500	227.3K	-44	157.67	N/A	N/A	0	53	150
2008-09-22	$15.32	$15.00	86.3%	24.7%	42.0%	45.2%	0.0%	48.2%	0.0%	259	-13.1K	-52	192.41	N/A	N/A	0	18	0
2008-09-23	$15.20	$15.00	87.1%	25.0%	41.9%	45.7%	0.0%	46.7%	0.0%	254	-12.8K	-51	189.28	N/A	N/A	0	18	0
2008-09-24	$15.25	$15.00	87.4%	25.1%	41.9%	45.9%	0.0%	47.4%	0.0%	255	-12.9K	-51	189.49	N/A	N/A	0	18	0
2008-09-25	$15.45	$15.00	87.3%	25.0%	42.3%	45.8%	0.0%	50.3%	0.0%	263	-13.3K	-51	191.37	N/A	N/A	0	18	0
2008-09-26	$15.40	$15.00	88.0%	25.2%	42.1%	46.3%	0.0%	50.1%	0.0%	261	-13.2K	-51	191.37	N/A	N/A	0	18	0
2008-09-29	$13.67	$15.00	95.1%	27.3%	58.4%	50.8%	0.0%	26.9%	0.0%	203	-9.8K	-43	178.68	N/A	N/A	0	18	0
2008-09-30	$14.62	$15.00	92.7%	26.6%	64.4%	49.3%	0.0%	40.8%	0.0%	233	-11.6K	-47	186.15	N/A	N/A	0	18	0