WM Options History — April 2007

In April 2007, WM traded between $38.87 and $42.77. ATM implied volatility averaged 27.8%. The 30-day expected move averaged 7.5%. IV traded below realized volatility by 0.6% (HV 20d: 28.3%). Max pain ranged from $40.00 to $42.50. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 1.49.

Notable Days

  • 2007-04-25: Highest Volume — 118,543 contracts
  • 2007-04-12: Largest IV drop — 30.7% change
  • 2007-04-04: Largest Expected Move — 11.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.78$38.87$42.77$39.74$41.98
Max Pain$40.75$40.00$42.50$42.50$40.00
ATM IV27.8%17.6%41.4%38.1%17.9%
Expected Move7.5%5.1%11.0%10.9%5.1%
HV 20d28.3%24.7%31.9%30.3%27.4%
HV 60d25.8%24.1%27.6%24.1%27.1%
Term Structure-2.6%-9.5%2.7%-8.0%0.2%
VWIV26.9%12.4%41.2%38.0%19.0%
Skew 25d5.2%1.2%9.7%8.2%1.2%
Skew 10d12.7%4.4%25.3%14.8%4.4%
Call IV 25d24.6%13.7%35.3%33.3%19.1%
Put IV 25d29.8%20.3%44.6%41.5%20.3%
Bid-Ask Spread %9.726.3614.9811.9011.35
Gamma HHI0.230.150.310.280.16
Net GEX-10.8M-21.2M524.7K-13.4M-1.7M
Net DEX173.1M-173.7M436.7M321.3M-8.0M
Net VEX-3.1M-3.4M-3.0M-3.2M-3.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.490.073.822.260.52
Total Volume33,8968,554118,54330,9848,554
Total OI506,164.2399,005612,637465,545408,134

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-04-02$39.74$42.5038.1%10.9%30.3%0.0%38.0%8.2%-8.0%-13.4M321.3M-3.2M2.2611.90N/AN/A9,51021,474177,441288,104
2007-04-03$40.28$42.5036.3%10.4%30.0%0.0%37.1%8.2%-6.4%-14.7M289.6M-3.3M3.827.74N/AN/A4,36116,674181,263299,575
2007-04-04$39.76$42.5038.5%11.0%30.3%0.0%41.2%9.7%-8.9%-15.6M344.9M-3.3M1.617.51N/AN/A15,21824,470183,655308,545
2007-04-05$39.81$42.5038.5%11.0%30.2%0.0%39.1%9.3%-9.5%-16.1M336.2M-3.3M1.137.99N/AN/A6,2957,088191,707321,960
2007-04-09$39.25$40.0038.8%8.1%30.4%0.0%29.7%5.6%-3.5%-17.6M388.7M-3.1M1.687.06N/AN/A9,26815,526195,425317,427
2007-04-10$38.87$40.0041.4%8.4%30.5%0.0%29.7%6.9%-2.8%-17.6M424.5M-3.1M3.8214.13N/AN/A10,50640,159201,337323,145
2007-04-11$39.00$40.0039.9%8.5%24.7%0.0%30.9%6.2%-3.6%-20.5M426.4M-3.2M2.4813.35N/AN/A7,49218,600208,207348,164
2007-04-12$38.90$40.0027.6%7.9%24.7%0.0%29.6%5.8%-2.9%-21.2M436.7M-3.2M3.178.55N/AN/A13,89443,993212,871349,599
2007-04-13$39.42$40.0027.9%8.0%25.0%0.0%29.1%5.3%-2.9%-20.1M366.3M-3.4M1.219.15N/AN/A8,70110,518221,274361,207
2007-04-16$40.73$40.0028.5%8.2%27.4%0.0%27.9%5.9%-4.1%-16.8M209.1M-3.4M1.1713.78N/AN/A23,86427,895222,174367,515
2007-04-17$40.13$40.0029.6%8.5%27.8%0.0%29.9%6.1%-3.6%-18.2M250.0M-3.3M1.658.68N/AN/A26,00242,817229,925368,773
2007-04-18$42.17$40.0021.7%6.2%31.9%0.0%22.6%3.4%-0.8%-7.5M-68.4M-3.1M0.778.85N/AN/A26,83920,738234,914377,723
2007-04-19$42.27$40.0020.6%5.9%28.5%0.0%21.5%1.6%0.5%-2.4M-76.2M-3.1M0.559.12N/AN/A10,3715,727234,800368,779
2007-04-20$42.77$40.0019.3%5.5%27.8%0.0%19.8%2.7%0.7%524.7K-173.7M-3.1M0.337.00N/AN/A23,1257,737233,174363,121
2007-04-23$42.01$40.0018.7%5.4%28.6%0.0%20.1%2.2%1.0%-3.3M6.1M-3.0M0.6012.78N/AN/A13,0587,873157,954241,051
2007-04-24$41.65$40.0019.0%5.4%28.2%0.0%19.4%2.0%-0.1%-4.3M43.8M-3.0M1.186.62N/AN/A4,1624,896162,832242,980
2007-04-25$42.30$40.0017.7%5.1%28.4%0.0%12.4%7.5%2.7%-2.7M2.5M-3.0M0.077.59N/AN/A110,6617,882163,937243,557
2007-04-26$42.25$42.5017.8%5.1%27.4%0.0%21.2%3.1%0.1%-2.2M-21.3M-3.0M1.1214.98N/AN/A6,2747,053155,908246,897
2007-04-27$42.37$42.5017.6%5.1%27.3%0.0%19.6%3.5%0.5%-882.5K-35.8M-3.0M0.646.36N/AN/A5,2703,375159,917248,313
2007-04-30$41.98$40.0017.9%5.1%27.4%0.0%19.0%1.2%0.2%-1.7M-8.0M-3.0M0.5211.35N/AN/A5,6412,913162,915245,219