WM Options History — February 2007 In February 2007, WM traded between $42.36 and $45.56. ATM implied volatility averaged 18.3%. The 30-day expected move averaged 5.2%. IV traded below realized volatility by 1.6% (HV 20d: 19.8%). Max pain ranged from $45.00 to $45.00. Net GEX was positive for 16 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 1.43.
Notable Days 2007-02-09 : Highest Volume — 26,456 contracts2007-02-26 : Largest IV spike — 64.2% change2007-02-27 : Largest Expected Move — 8.2%Monthly Statistics Metric Avg Min Max Open Close Price $44.51 $42.36 $45.56 $45.00 $43.08 Max Pain $45.00 $45.00 $45.00 $45.00 $45.00 ATM IV 18.3% 13.4% 28.5% 14.6% 25.0% Expected Move 5.2% 3.9% 8.2% 4.2% 7.2% HV 20d 19.8% 16.4% 22.3% 16.4% 22.3% Term Structure 0.1% -1.1% 1.0% -0.7% -0.2% VWIV 18.3% 13.6% 25.1% 14.9% 24.5% Skew 25d 3.6% -4.9% 9.2% -4.9% 6.1% Skew 10d 8.5% -7.8% 18.3% -7.8% 14.9% Call IV 25d 17.0% 13.0% 27.9% 17.5% 21.9% Put IV 25d 20.6% 12.6% 31.7% 12.6% 28.0% Bid-Ask Spread % 10.17 6.06 16.05 12.51 7.88 Gamma HHI 0.26 0.19 0.37 0.30 0.20 Net GEX 7.2M -4.7M 18.3M 9.9M -3.1M Net DEX -108.0M -199.5M 78.4M -145.1M 21.2M Net VEX -2.1M -2.6M -1.7M -1.7M -2.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.43 0.15 5.81 0.61 0.88 Total Volume 13,097.316 1,741 26,456 5,578 9,106 Total OI 277,464.895 233,601 324,223 233,601 324,223
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 2007-02-01 $45.00 $45.00 14.6% 4.2% 16.4% 0.0% 14.9% -4.9% -0.7% 9.9M -145.1M -1.7M 0.61 12.51 N/A N/A 3,469 2,109 112,774 120,827 2007-02-02 $45.56 $45.00 14.1% 3.9% 17.1% 0.0% 13.6% 2.2% 0.6% 12.8M -199.5M -1.7M 0.76 8.84 N/A N/A 4,266 3,230 115,301 122,112 2007-02-05 $45.30 $45.00 15.4% 4.1% 16.8% 0.0% 14.3% 2.0% 0.1% 12.5M -166.2M -1.7M 0.69 11.03 N/A N/A 2,859 1,983 117,362 123,514 2007-02-06 $45.27 $45.00 14.4% 4.2% 16.8% 0.0% 14.5% 2.4% 0.0% 11.7M -168.8M -1.8M 0.21 8.73 N/A N/A 1,438 303 118,776 123,317 2007-02-07 $45.35 $45.00 13.4% 4.0% 16.7% 0.0% 13.8% 1.8% 0.5% 12.8M -179.8M -1.7M 0.31 13.51 N/A N/A 2,243 696 119,597 123,402 2007-02-08 $44.17 $45.00 15.3% 4.4% 19.2% 0.0% 15.9% 2.3% 0.4% 7.0M -81.7M -1.8M 0.92 12.25 N/A N/A 11,606 10,703 121,174 123,535 2007-02-09 $43.35 $45.00 19.9% 5.7% 20.2% 0.0% 19.5% 3.3% 0.5% 1.5M -24.4M -1.9M 0.67 13.97 N/A N/A 15,859 10,597 129,116 130,703 2007-02-12 $43.67 $45.00 21.6% 6.2% 20.4% 0.0% 19.9% 4.0% -0.4% 3.4M -50.7M -2.0M 0.56 6.07 N/A N/A 10,019 5,606 142,275 138,356 2007-02-13 $44.78 $45.00 19.1% 5.5% 21.0% 0.0% 19.8% 4.9% -1.1% 11.0M -148.0M -2.1M 2.39 9.97 N/A N/A 6,799 16,247 148,092 141,448 2007-02-14 $45.23 $45.00 19.3% 5.5% 21.0% 0.0% 19.6% 4.6% 0.0% 12.6M -181.5M -2.2M 1.10 7.35 N/A N/A 6,403 7,031 150,217 153,015 2007-02-15 $45.01 $45.00 18.1% 5.2% 20.8% 0.0% 20.4% 3.7% -0.1% 14.1M -152.8M -2.2M 2.19 7.01 N/A N/A 1,624 3,559 152,094 158,314 2007-02-16 $45.20 $45.00 17.8% 5.1% 20.6% 0.0% 14.4% 4.2% -0.3% 18.3M -188.2M -2.2M 0.15 13.99 N/A N/A 13,877 2,098 150,696 158,211 2007-02-20 $45.51 $45.00 18.4% 5.3% 20.5% 0.0% 18.4% 5.0% -0.1% 6.5M -167.1M -2.1M 0.53 8.41 N/A N/A 5,097 2,695 123,310 153,207 2007-02-21 $44.95 $45.00 17.5% 5.0% 21.0% 0.0% 18.1% 3.5% 0.2% 6.1M -132.6M -2.1M 0.64 13.06 N/A N/A 3,574 2,297 125,402 153,808 2007-02-22 $44.72 $45.00 17.2% 4.9% 20.9% 0.0% 18.4% 4.1% 0.9% 5.0M -114.6M -2.2M 1.52 6.06 N/A N/A 6,445 9,811 127,468 154,285 2007-02-23 $43.88 $45.00 14.1% 4.0% 21.8% 0.0% 19.5% 9.2% 1.0% 1.0M -50.6M -2.3M 4.40 7.85 N/A N/A 3,522 15,500 132,276 162,746 2007-02-26 $43.34 $45.00 23.2% 6.6% 21.8% 0.0% 23.9% 6.4% 0.8% -2.1M 487.0K -2.4M 5.81 8.67 N/A N/A 3,566 20,732 132,993 170,729 2007-02-27 $42.36 $45.00 28.5% 8.2% 21.3% 0.0% 25.1% 3.8% -1.0% -4.7M 78.4M -2.6M 2.82 16.05 N/A N/A 5,728 16,152 135,627 181,531 2007-02-28 $43.08 $45.00 25.0% 7.2% 22.3% 0.0% 24.5% 6.1% -0.2% -3.1M 21.2M -2.6M 0.88 7.88 N/A N/A 4,842 4,264 138,658 185,565
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