PWB Options History — November 2008 In November 2008, PWB traded between $9.29 and $12.40. ATM implied volatility averaged 70.5%, placing in the 33.0% IV rank vs the trailing year. The 30-day expected move averaged 20.2%. IV traded below realized volatility by 6.7% (HV 20d: 77.2%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 7 of 19 trading days.
Notable Days 2008-11-14 : Largest IV spike — 40.5% change2008-11-20 : Highest IV Rank — 49.4%2008-11-20 : Largest Expected Move — 27.4%Monthly Statistics Metric Avg Min Max Open Close Price $10.90 $9.29 $12.40 $11.88 $10.86 Max Pain $15.00 $15.00 $15.00 $15.00 $15.00 ATM IV 70.5% 48.6% 95.7% 74.4% 79.6% Expected Move 20.2% 13.9% 27.4% 21.3% 22.8% HV 20d 77.2% 67.0% 90.5% 89.5% 67.0% HV 60d 69.8% 64.9% 74.7% 64.9% 74.5% IV Rank 33.0% 18.1% 49.4% 37.4% 38.7% IV Percentile 63.5% 34.9% 84.5% 68.7% 70.6% Skew 25d 21.7% -28.2% 49.6% -28.2% 39.8% Skew 10d 15.7% -44.3% 49.6% -44.3% 39.8% Call IV 25d 61.8% 35.9% 88.5% 88.5% 59.7% Put IV 25d 83.5% 58.5% 111.6% 60.3% 99.5% Bid-Ask Spread % 116.76 107.17 123.50 121.03 117.36 Gamma HHI 0.81 0.57 1.00 0.57 1.00 Net GEX 45 0 186 156 0 Net DEX -653 -3.4K 0 -2.9K 0 Net VEX -4 -17 0 -15 0 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 0 0 0 0 0 Total OI 18 18 18 18 18
Daily Data (19 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 2008-11-03 $11.88 $15.00 74.4% 21.3% 89.5% 37.4% 0.0% -28.2% 0.0% 156 -2.9K -15 0.00 121.03 N/A N/A 0 0 18 0 2008-11-04 $12.40 $15.00 70.4% 20.2% 88.9% 34.8% 0.0% -25.5% 0.0% 186 -3.4K -17 0.00 123.50 N/A N/A 0 0 18 0 2008-11-05 $11.84 $15.00 65.3% 18.7% 90.5% 30.0% 0.0% 5.4% 0.0% 146 -2.0K -12 0.00 112.67 N/A N/A 0 0 18 0 2008-11-06 $11.22 $15.00 57.1% 16.4% 88.9% 24.6% 0.0% 22.4% 0.0% 80 -850 -6 0.00 118.38 N/A N/A 0 0 18 0 2008-11-07 $11.55 $15.00 54.6% 15.7% 89.5% 22.1% 0.0% 22.7% 0.0% 101 -1.1K -7 0.00 119.79 N/A N/A 0 0 18 0 2008-11-10 $11.58 $15.00 56.8% 16.3% 78.7% 23.6% 0.0% 24.5% 0.0% 103 -1.2K -7 0.00 119.54 N/A N/A 0 0 18 0 2008-11-11 $11.24 $15.00 60.8% 17.4% 78.9% 26.2% 0.0% 24.4% 0.0% 82 -871 -5 0.00 118.38 N/A N/A 0 0 18 0 2008-11-12 $10.63 $15.00 68.6% 19.7% 70.7% 31.4% 0.0% 26.0% 0.0% 0 0 0 0.00 116.46 N/A N/A 0 0 18 0 2008-11-13 $11.36 $15.00 48.6% 13.9% 73.8% 18.1% 0.0% 0.0% 0.0% 0 0 0 0.00 118.96 N/A N/A 0 0 18 0 2008-11-14 $10.88 $15.00 68.4% 19.6% 75.3% 31.2% 0.0% 27.9% 0.0% 0 0 0 0.00 117.25 N/A N/A 0 0 18 0 2008-11-17 $10.61 $15.00 73.5% 21.1% 70.7% 34.6% 0.0% 27.1% 0.0% 0 0 0 0.00 116.46 N/A N/A 0 0 18 0 2008-11-18 $10.51 $15.00 60.7% 17.4% 69.5% 26.1% 0.0% 49.6% 0.0% 0 0 0 0.00 107.17 N/A N/A 0 0 18 0 2008-11-19 $9.92 $15.00 83.3% 23.9% 69.4% 41.1% 0.0% 25.8% 0.0% 0 0 0 0.00 114.91 N/A N/A 0 0 18 0 2008-11-20 $9.29 $15.00 95.7% 27.4% 72.4% 49.4% 0.0% 31.9% 0.0% 0 0 0 0.00 113.45 N/A N/A 0 0 18 0 2008-11-21 $9.81 $15.00 89.9% 25.8% 75.0% 45.6% 0.0% 31.5% 0.0% 0 0 0 0.00 114.46 N/A N/A 0 0 18 0 2008-11-24 $10.33 $15.00 87.5% 25.1% 76.1% 43.9% 0.0% 32.4% 0.0% 0 0 0 0.00 115.64 N/A N/A 0 0 18 0 2008-11-25 $10.39 $15.00 87.3% 25.0% 70.1% 43.8% 0.0% 30.9% 0.0% 0 0 0 0.00 115.91 N/A N/A 0 0 18 0 2008-11-26 $10.86 $15.00 57.2% 16.4% 71.9% 23.8% 0.0% 0.0% 0.0% 0 0 0 0.00 117.05 N/A N/A 0 0 18 0 2008-11-28 $10.86 $15.00 79.6% 22.8% 67.0% 38.7% 0.0% 39.8% 0.0% 0 0 0 0.00 117.36 N/A N/A 0 0 18 0
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