PWB Options History — November 2021 In November 2021, PWB traded between $79.47 and $81.79. ATM implied volatility averaged 21.9%, placing in the 3.9% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 10.2% (HV 20d: 11.7%). Max pain ranged from $72.00 to $72.00. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.89.
Notable Days 2021-11-17 : Highest Volume — 19 contracts2021-11-23 : Largest IV spike — 51.8% change2021-11-24 : Highest IV Rank — 10.6%2021-11-24 : Largest Expected Move — 9.2%Monthly Statistics Metric Avg Min Max Open Close Price $80.67 $79.47 $81.79 $79.47 $79.80 Max Pain $72.00 $72.00 $72.00 $72.00 $72.00 ATM IV 21.9% 17.1% 32.2% 21.5% 26.7% Expected Move 6.2% 4.9% 9.2% 6.2% 7.6% HV 20d 11.7% 9.6% 15.8% 12.1% 15.8% HV 60d 14.7% 14.2% 15.8% 14.2% 15.8% IV Rank 3.9% 0.9% 10.6% 3.7% 7.0% IV Percentile 16.6% 2.0% 30.8% 16.4% 28.0% Term Structure 0.2% -6.8% 6.3% -1.1% -3.3% VWIV 29.8% 18.6% 39.3% 25.8% 37.1% Skew 25d 3.4% -2.2% 12.7% 10.0% 4.0% Skew 10d 6.0% -0.2% 18.4% 4.5% 6.1% Call IV 25d 21.6% 15.8% 29.7% 15.8% 25.9% Put IV 25d 25.0% 19.2% 42.4% 25.8% 29.9% Bid-Ask Spread % 124.80 103.32 141.25 139.25 126.95 Gamma HHI 0.36 0.24 0.61 0.32 0.38 Net GEX 3.3K -512 9.8K -512 2.6K Net DEX -55.5K -89.0K 3.5K 3.5K -71.1K Net VEX -234 -325 -80 -84 -324 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.89 0.27 4.00 4.00 0.31 Total Volume 14.75 5 19 5 17 Total OI 16.2 5 22 5 20
Daily Data (20 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 2021-11-01 $79.47 $0.00 21.5% 6.2% 12.1% 3.7% 0.0% 10.0% -1.1% -512 3.5K -84 4.00 139.25 N/A N/A 1 4 1 4 2021-11-02 $79.70 $0.00 21.8% 6.2% 11.7% 3.9% 0.0% 8.7% -2.4% -507 3.0K -83 4.00 141.25 N/A N/A 1 4 1 4 2021-11-03 $80.10 $0.00 20.7% 5.9% 11.5% 3.2% 0.0% 0.7% -0.9% -494 2.5K -80 2.00 137.01 N/A N/A 2 4 1 4 2021-11-04 $80.91 $72.00 19.8% 5.4% 11.0% 2.6% 25.8% 2.8% 2.8% -326 -4.0K -95 1.33 128.03 N/A N/A 3 4 2 4 2021-11-05 $81.09 $72.00 20.4% 5.7% 10.4% 3.0% 25.4% 2.8% 2.9% 1.5K -11.7K -108 2.00 126.05 N/A N/A 2 4 4 4 2021-11-08 $81.79 $72.00 19.8% 5.2% 9.6% 2.6% 27.6% 2.5% 2.5% 2.4K -19.3K -104 0.31 128.10 N/A N/A 13 4 5 4 2021-11-09 $80.72 $72.00 23.3% 5.6% 10.9% 4.8% 23.8% 3.3% 3.5% 4.2K -68.9K -282 0.29 103.32 N/A N/A 14 4 15 4 2021-11-10 $79.83 $72.00 18.1% 5.2% 12.2% 1.5% 18.9% 1.8% 6.3% 4.2K -67.1K -284 0.29 105.59 N/A N/A 14 4 16 4 2021-11-11 $79.97 $72.00 19.8% 5.7% 10.8% 2.6% 28.6% 2.7% 1.5% 5.5K -72.3K -288 0.31 126.26 N/A N/A 13 4 17 4 2021-11-15 $80.64 $72.00 19.7% 5.7% 10.7% 2.6% 31.5% -0.4% 1.9% 5.4K -79.8K -267 0.31 128.14 N/A N/A 13 4 17 4 2021-11-16 $81.47 $72.00 21.1% 6.0% 10.8% 3.4% 22.7% 5.8% 2.0% 6.5K -82.3K -267 0.31 103.82 N/A N/A 13 4 17 4 2021-11-17 $81.07 $72.00 20.8% 6.0% 11.0% 3.2% 34.8% -0.5% 0.4% 5.7K -84.3K -261 0.27 128.59 N/A N/A 15 4 17 4 2021-11-18 $81.33 $72.00 21.2% 6.1% 11.0% 3.5% 31.4% 1.1% 0.2% 5.4K -89.0K -304 0.27 125.81 N/A N/A 15 4 18 4 2021-11-19 $81.55 $72.00 19.0% 5.5% 11.0% 2.1% 32.0% -1.2% 0.1% 9.8K -88.3K -290 0.29 127.23 N/A N/A 14 4 17 4 2021-11-22 $81.60 $72.00 17.1% 4.9% 11.1% 0.9% 18.6% -2.2% 1.2% 2.6K -78.8K -294 0.27 119.99 N/A N/A 15 4 15 4 2021-11-23 $80.29 $72.00 26.0% 7.5% 12.2% 6.6% 36.1% 5.3% -2.6% 3.0K -70.9K -311 0.29 112.85 N/A N/A 14 4 16 4 2021-11-24 $81.01 $72.00 32.2% 9.2% 12.5% 10.6% 36.5% 12.7% -6.8% 3.3K -81.1K -320 0.29 125.09 N/A N/A 14 4 17 4 2021-11-26 $79.83 $72.00 25.4% 7.3% 13.4% 6.2% 36.4% 3.6% -2.7% 2.6K -70.3K -325 0.31 133.07 N/A N/A 13 4 16 4 2021-11-29 $81.15 $72.00 23.3% 6.7% 14.4% 4.8% 39.3% 3.8% -1.8% 2.8K -80.3K -309 0.31 129.55 N/A N/A 13 4 16 4 2021-11-30 $79.80 $72.00 26.7% 7.6% 15.8% 7.0% 37.1% 4.0% -3.3% 2.6K -71.1K -324 0.31 126.95 N/A N/A 13 4 16 4
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