WM Options History — May 2007 In May 2007, WM traded between $42.38 and $44.08. ATM implied volatility averaged 18.2%. The 30-day expected move averaged 5.3%. IV traded below realized volatility by 1.5% (HV 20d: 19.7%). Max pain ranged from $40.00 to $42.50. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 1.18.
Notable Days 2007-05-09 : Highest Volume — 37,240 contracts2007-05-24 : Largest IV spike — 47.8% change2007-05-14 : Largest Expected Move — 6.0%Monthly Statistics Metric Avg Min Max Open Close Price $43.08 $42.38 $44.08 $42.38 $43.72 Max Pain $42.16 $40.00 $42.50 $42.50 $42.50 ATM IV 18.2% 12.3% 20.9% 17.9% 18.3% Expected Move 5.3% 3.5% 6.0% 5.1% 5.2% HV 20d 19.7% 12.5% 26.6% 26.6% 14.2% HV 60d 26.0% 24.3% 27.2% 27.1% 24.3% Term Structure 2.0% -0.2% 3.9% -0.2% 2.9% VWIV 18.5% 13.4% 21.3% 18.5% 19.8% Skew 25d 4.0% -2.4% 13.9% 2.8% 0.7% Skew 10d 8.8% -8.7% 23.0% 1.8% 14.2% Call IV 25d 17.5% 14.0% 23.9% 18.6% 17.5% Put IV 25d 21.5% 17.9% 27.9% 21.3% 18.2% Bid-Ask Spread % 11.78 6.78 21.26 8.56 10.50 Gamma HHI 0.19 0.16 0.24 0.16 0.21 Net GEX 3.9M -638.2K 8.1M -638.2K 4.1M Net DEX -113.4M -197.1M -37.9M -37.9M -137.3M Net VEX -3.0M -3.2M -2.0M -3.0M -3.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.18 0.18 2.94 0.72 2.94 Total Volume 8,442.955 2,366 37,240 5,068 5,476 Total OI 418,570.045 311,180 445,447 409,906 414,386
Daily Data (22 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 2007-05-01 $42.38 $42.50 17.9% 5.1% 26.6% 0.0% 18.5% 2.8% -0.2% -638.2K -37.9M -3.0M 0.72 8.56 N/A N/A 2,942 2,126 164,521 245,385 2007-05-02 $42.71 $42.50 17.3% 5.0% 26.4% 0.0% 17.6% 1.2% 0.6% 1.8M -75.5M -3.0M 1.11 13.23 N/A N/A 9,402 10,454 165,701 245,383 2007-05-03 $43.03 $42.50 18.1% 5.2% 25.8% 0.0% 17.9% 3.0% 1.2% 2.1M -96.7M -3.1M 0.93 13.10 N/A N/A 9,888 9,222 171,869 249,712 2007-05-04 $42.88 $40.00 17.8% 5.4% 25.9% 0.0% 19.4% 4.1% 2.3% 2.9M -98.5M -3.2M 0.64 20.74 N/A N/A 4,536 2,884 178,398 253,729 2007-05-07 $42.87 $40.00 19.0% 5.5% 25.1% 0.0% 18.4% 3.4% 2.0% 2.7M -94.6M -3.2M 0.42 21.26 N/A N/A 5,957 2,500 180,603 255,633 2007-05-08 $42.89 $40.00 18.4% 5.8% 24.6% 0.0% 19.1% 4.3% 1.3% 3.4M -100.0M -3.2M 1.27 12.32 N/A N/A 1,888 2,389 183,186 255,295 2007-05-09 $43.13 $42.50 19.0% 5.9% 24.6% 0.0% 19.7% 4.0% 1.2% 4.7M -130.6M -3.2M 1.99 14.79 N/A N/A 12,467 24,773 183,770 255,919 2007-05-10 $42.51 $42.50 19.6% 5.6% 25.4% 0.0% 19.6% 2.8% 1.4% 4.6M -88.1M -3.2M 1.28 8.41 N/A N/A 1,106 1,421 193,543 242,658 2007-05-11 $42.99 $42.50 20.2% 5.8% 25.3% 0.0% 19.0% 4.2% 1.9% 5.5M -122.5M -3.2M 0.18 7.45 N/A N/A 4,027 716 193,900 244,782 2007-05-14 $42.62 $42.50 20.9% 6.0% 23.3% 0.0% 20.6% 3.5% 1.3% 4.1M -51.9M -2.0M 0.62 16.19 N/A N/A 2,347 1,453 142,131 169,049 2007-05-15 $42.42 $42.50 19.9% 5.7% 22.6% 0.0% 21.3% 9.5% 1.4% 6.4M -87.5M -3.2M 1.62 7.30 N/A N/A 1,950 3,162 195,401 245,358 2007-05-16 $42.83 $42.50 19.9% 5.7% 14.7% 0.0% 19.6% 7.5% 1.7% 8.1M -116.2M -3.1M 2.29 7.03 N/A N/A 1,489 3,409 196,027 246,790 2007-05-17 $42.99 $42.50 19.4% 5.6% 14.8% 0.0% 19.1% 13.9% 1.9% 4.8M -136.5M -3.1M 0.29 11.23 N/A N/A 3,203 943 196,261 249,186 2007-05-18 $43.07 $42.50 18.4% 5.3% 14.2% 0.0% 18.5% 12.5% 2.4% 5.0M -148.2M -3.0M 0.23 9.21 N/A N/A 5,107 1,182 196,411 246,321 2007-05-21 $42.96 $42.50 17.6% 5.0% 12.5% 0.0% 17.8% 2.8% 2.7% 1.6M -84.0M -3.0M 1.93 10.15 N/A N/A 2,089 4,027 169,401 227,413 2007-05-22 $44.08 $42.50 15.7% 4.5% 14.7% 0.0% 16.9% -2.4% 2.8% 6.4M -197.1M -2.9M 0.33 8.55 N/A N/A 15,011 4,996 170,659 229,480 2007-05-23 $43.77 $42.50 12.3% 3.5% 14.3% 0.0% 13.4% 0.8% 2.6% 5.1M -175.1M -3.0M 1.78 15.38 N/A N/A 1,226 2,180 175,568 231,766 2007-05-24 $43.34 $42.50 18.1% 5.2% 14.9% 0.0% 17.7% 2.0% 2.9% 3.7M -139.5M -3.0M 2.33 9.04 N/A N/A 2,131 4,969 175,961 231,258 2007-05-25 $43.26 $42.50 18.0% 5.2% 14.9% 0.0% 17.4% 2.3% 2.4% 2.4M -107.1M -3.1M 0.47 17.93 N/A N/A 2,744 1,291 174,520 236,122 2007-05-29 $43.46 $42.50 17.8% 5.1% 14.4% 0.0% 17.7% 1.4% 3.9% 3.4M -122.6M -3.0M 1.52 10.03 N/A N/A 938 1,428 175,961 235,962 2007-05-30 $43.78 $42.50 16.2% 4.6% 14.3% 0.0% 17.7% 3.1% 2.6% 4.4M -148.0M -3.0M 1.11 6.78 N/A N/A 2,035 2,261 176,141 237,021 2007-05-31 $43.72 $42.50 18.3% 5.2% 14.2% 0.0% 19.8% 0.7% 2.9% 4.1M -137.3M -3.0M 2.94 10.50 N/A N/A 1,389 4,087 176,854 237,532
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