WM Options History — March 2007

In March 2007, WM traded between $39.79 and $42.94. ATM implied volatility averaged 29.3%. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 1.5% (HV 20d: 27.8%). Max pain ranged from $42.50 to $45.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 0 of 22 days. Put/call ratio averaged 2.89.

Notable Days

  • 2007-03-13: Highest Volume — 71,056 contracts
  • 2007-03-13: Largest IV spike — 41.2% change
  • 2007-03-16: Largest Expected Move — 9.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.31$39.79$42.94$42.94$40.38
Max Pain$43.30$42.50$45.00$45.00$42.50
ATM IV29.3%23.3%37.9%25.5%30.9%
Expected Move8.2%7.0%9.9%7.3%8.9%
HV 20d27.8%21.7%33.1%21.9%32.1%
HV 60d23.1%20.0%24.5%20.2%23.9%
Term Structure-2.8%-6.4%-0.6%-0.8%-6.4%
VWIV29.6%25.3%35.0%25.4%30.5%
Skew 25d7.3%3.0%9.7%6.6%8.2%
Skew 10d15.1%10.8%21.7%14.6%15.2%
Call IV 25d25.8%22.0%30.4%22.1%26.9%
Put IV 25d33.1%28.3%39.7%28.7%35.0%
Bid-Ask Spread %10.176.8915.189.926.89
Gamma HHI0.230.190.280.200.28
Net GEX-9.5M-13.2M-3.2M-3.2M-13.0M
Net DEX186.3M22.5M323.0M22.5M271.7M
Net VEX-3.1M-3.5M-2.5M-2.6M-3.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.890.937.642.140.94
Total Volume22,869.7273,95971,0568,8153,959
Total OI419,309.5325,887468,739325,887464,351

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-03-01$42.94$45.0025.5%7.3%21.9%0.0%25.4%6.6%-0.8%-3.2M22.5M-2.6M2.149.92N/AN/A2,8096,006140,463185,424
2007-03-02$42.58$45.0025.8%7.4%21.7%0.0%25.3%3.0%-3.5%-4.6M59.0M-2.5M1.6313.07N/AN/A3,7346,079141,567186,231
2007-03-05$41.13$45.0035.9%8.9%23.6%0.0%29.7%6.8%-3.1%-7.0M159.5M-2.5M3.2210.71N/AN/A15,78750,758142,678189,578
2007-03-06$41.83$45.0027.0%7.7%24.9%0.0%27.7%7.4%-1.3%-8.9M141.3M-2.8M2.5113.73N/AN/A4,68211,767151,774216,880
2007-03-07$41.77$45.0025.9%7.6%24.9%0.0%28.2%7.1%-2.3%-9.2M142.1M-2.8M0.939.45N/AN/A9,0538,427152,847217,189
2007-03-08$42.00$45.0024.9%7.3%25.0%0.0%27.6%6.0%-1.4%-8.8M126.8M-2.8M7.0511.85N/AN/A2,67518,855159,710221,988
2007-03-09$42.02$45.0023.3%7.4%23.6%0.0%28.1%6.7%-2.0%-9.9M135.5M-2.9M0.977.29N/AN/A7,1546,969161,240235,795
2007-03-12$41.90$42.5026.8%7.4%22.8%0.0%28.1%6.3%-1.6%-11.0M141.3M-2.9M2.859.06N/AN/A5,71516,312165,330236,633
2007-03-13$39.79$42.5037.9%9.1%28.6%0.0%31.4%5.8%-3.6%-11.0M314.6M-3.0M2.4912.57N/AN/A20,37950,677168,642248,624
2007-03-14$39.93$42.5037.8%9.0%26.6%0.0%31.9%7.0%-3.0%-12.3M323.0M-3.1M2.3110.96N/AN/A11,61926,804179,331271,470
2007-03-15$40.27$42.5033.3%9.5%26.4%0.0%32.9%7.4%-5.3%-8.8M275.6M-3.2M1.119.94N/AN/A9,66310,740184,893275,931
2007-03-16$39.88$42.5034.4%9.9%26.5%0.0%35.0%9.3%-6.1%-9.0M322.9M-3.3M6.886.89N/AN/A5,09735,084188,152280,587
2007-03-19$40.27$42.5032.4%9.3%26.8%0.0%32.3%8.8%-3.5%-11.6M263.7M-3.3M3.1310.17N/AN/A7,23822,639159,594273,217
2007-03-20$41.27$42.5026.5%7.6%28.6%0.0%28.5%6.9%-1.2%-10.9M191.5M-3.3M2.018.53N/AN/A7,73915,555162,703274,402
2007-03-21$42.93$42.5024.6%7.1%32.5%0.0%28.0%7.5%-0.6%-6.0M46.1M-3.5M1.088.44N/AN/A11,24612,176167,314279,258
2007-03-22$42.06$42.5024.6%7.0%33.1%0.0%27.1%7.3%-0.9%-8.7M124.7M-3.4M4.259.11N/AN/A3,46914,726170,566279,808
2007-03-23$42.21$42.5025.7%7.4%32.6%0.0%29.5%9.2%-1.4%-8.3M120.5M-3.5M4.409.98N/AN/A2,57811,333170,586284,419
2007-03-26$41.54$42.5027.1%7.8%32.8%0.0%30.8%9.7%-2.7%-9.8M169.8M-3.3M2.7511.05N/AN/A2,3206,377172,280282,560
2007-03-27$41.11$42.5031.4%9.0%32.0%0.0%30.9%8.6%-3.4%-11.9M215.3M-3.3M7.6415.18N/AN/A2,33517,839173,275284,568
2007-03-28$40.35$42.5031.3%9.0%31.8%0.0%30.1%8.3%-2.9%-13.2M282.6M-3.3M1.128.59N/AN/A4,0794,576174,346285,836
2007-03-29$40.70$42.5032.0%9.2%32.1%0.0%31.8%8.0%-3.8%-12.6M247.9M-3.3M2.2210.33N/AN/A1,8974,208176,023286,746
2007-03-30$40.38$42.5030.9%8.9%32.1%0.0%30.5%8.2%-6.4%-13.0M271.7M-3.3M0.946.89N/AN/A2,0411,918176,338288,013