WM Options History — January 2007

In January 2007, WM traded between $43.73 and $45.50. ATM implied volatility averaged 15.9%. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 0.4% (HV 20d: 15.5%). Max pain ranged from $42.50 to $45.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 1.00.

Notable Days

  • 2007-01-17: Highest Volume — 33,144 contracts
  • 2007-01-18: Largest IV drop — 22.3% change
  • 2007-01-17: Largest Expected Move — 5.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.81$43.73$45.50$45.47$44.59
Max Pain$44.75$42.50$45.00$42.50$45.00
ATM IV15.9%13.7%20.2%17.2%14.4%
Expected Move4.5%3.9%5.8%4.9%4.1%
HV 20d15.5%13.9%16.8%13.9%16.5%
Term Structure0.5%-1.1%2.0%-0.6%-0.1%
VWIV16.0%13.9%19.5%17.3%14.6%
Skew 25d1.3%-2.4%4.6%1.6%-0.2%
Skew 10d2.6%-4.3%8.9%5.2%-1.6%
Call IV 25d15.9%13.5%17.9%17.5%16.8%
Put IV 25d17.3%14.8%20.4%19.1%16.5%
Bid-Ask Spread %9.795.1219.866.416.02
Gamma HHI0.380.210.640.400.31
Net GEX10.1M3.3M24.8M11.5M9.2M
Net DEX-157.7M-264.2M-79.4M-260.3M-124.6M
Net VEX-1.5M-1.8M-1.4M-1.4M-1.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.000.143.760.331.24
Total Volume11,317.452,00133,1444,5172,001
Total OI288,868.9202,038366,078318,042235,350

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-01-03$45.47$42.5017.2%4.9%0.0%0.0%17.3%1.6%-0.6%11.5M-260.3M-1.4M0.336.41N/AN/A3,3941,123140,902177,140
2007-01-04$45.50$42.5017.1%4.9%0.0%0.0%16.1%-2.4%-0.6%11.5M-264.2M-1.4M1.617.53N/AN/A2,0033,219142,032177,453
2007-01-05$45.05$45.0016.0%4.7%0.0%0.0%16.9%2.4%0.9%12.0M-225.6M-1.4M2.497.81N/AN/A1,3983,486142,527179,804
2007-01-08$45.13$45.0017.1%4.8%0.0%0.0%17.4%4.6%1.6%12.2M-228.0M-1.4M1.6411.65N/AN/A1,9063,122142,557182,322
2007-01-09$44.91$45.0016.4%4.8%0.0%0.0%17.1%3.8%1.4%12.6M-202.0M-1.4M3.7612.98N/AN/A1,6656,262143,372183,846
2007-01-10$44.93$45.0017.2%4.5%0.0%0.0%15.0%3.2%1.1%12.5M-206.2M-1.4M0.185.12N/AN/A2,609469144,186185,218
2007-01-11$44.93$45.0016.1%4.6%0.0%0.0%15.5%2.4%1.3%14.0M-207.8M-1.4M0.629.92N/AN/A1,297798145,331185,349
2007-01-12$45.04$45.0015.9%4.5%0.0%0.0%15.8%2.1%0.6%14.4M-220.8M-1.4M0.5314.20N/AN/A7,4283,942145,489185,752
2007-01-16$44.06$45.0018.0%5.2%0.0%0.0%18.2%0.7%-0.7%9.0M-124.3M-1.5M1.1914.31N/AN/A10,66712,743148,655187,580
2007-01-17$43.73$45.0020.2%5.8%0.0%0.0%19.5%2.6%-1.1%4.8M-79.4M-1.5M1.057.91N/AN/A16,14317,001152,248193,169
2007-01-18$44.26$45.0015.7%4.5%0.0%0.0%16.0%4.2%2.0%9.9M-130.1M-1.5M1.026.48N/AN/A15,19815,487160,404199,461
2007-01-19$44.67$45.0015.3%4.4%0.0%0.0%15.8%2.0%2.0%24.8M-144.7M-1.6M0.765.85N/AN/A7,6215,821161,611204,467
2007-01-22$45.04$45.0014.3%4.1%0.0%0.0%14.2%0.7%1.2%3.3M-93.7M-1.6M0.237.40N/AN/A13,1283,01189,307112,731
2007-01-23$45.07$45.0013.9%4.0%0.0%0.0%13.9%0.4%0.9%5.9M-108.9M-1.6M0.507.10N/AN/A5,0292,52497,071112,748
2007-01-24$45.35$45.0013.7%3.9%0.0%0.0%15.4%-0.6%0.5%7.7M-130.3M-1.6M0.3012.46N/AN/A6,8742,045101,224114,707
2007-01-25$44.96$45.0013.8%4.0%13.9%0.0%14.1%-0.5%0.6%6.8M-102.5M-1.7M1.3314.17N/AN/A1,9862,651105,469115,913
2007-01-26$45.31$45.0015.1%4.3%13.9%0.0%15.0%-0.5%0.3%7.9M-130.6M-1.6M0.1419.86N/AN/A24,4813,317106,595117,624
2007-01-29$44.12$45.0015.6%4.5%16.8%0.0%16.0%0.2%-0.8%6.1M-79.8M-1.7M0.5410.71N/AN/A5,1662,804107,709118,905
2007-01-30$44.14$45.0015.4%4.4%16.4%0.0%15.8%0.1%-0.8%6.6M-90.4M-1.8M0.557.89N/AN/A4,2102,320111,527119,623
2007-01-31$44.59$45.0014.4%4.1%16.5%0.0%14.6%-0.2%-0.1%9.2M-124.6M-1.8M1.246.02N/AN/A8951,106114,897120,453