WM Options History — June 2007

In June 2007, WM traded between $42.23 and $44.41. ATM implied volatility averaged 23.3%. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 6.0% (HV 20d: 17.2%). Max pain ranged from $42.50 to $45.00. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 2.18.

Notable Days

  • 2007-06-18: Highest Volume — 34,757 contracts
  • 2007-06-18: Largest IV spike — 18.4% change
  • 2007-06-29: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.08$42.23$44.41$44.30$42.64
Max Pain$44.88$42.50$45.00$42.50$45.00
ATM IV23.3%17.3%29.6%17.3%29.6%
Expected Move7.0%4.9%8.5%4.9%8.5%
HV 20d17.2%14.5%18.8%14.6%18.8%
HV 60d21.8%20.0%24.7%24.4%20.3%
Term Structure-0.6%-4.3%2.3%2.3%-4.3%
VWIV25.1%15.4%31.5%15.4%29.4%
Skew 25d3.2%0.6%6.2%2.4%4.8%
Skew 10d6.5%0.5%10.3%3.9%7.6%
Call IV 25d23.7%15.7%28.5%15.7%28.3%
Put IV 25d26.9%18.1%33.5%18.1%33.1%
Bid-Ask Spread %11.756.4515.5413.4414.39
Gamma HHI0.180.150.230.220.19
Net GEX-1.8M-9.5M7.1M6.1M-9.5M
Net DEX-53.9M-205.9M57.3M-193.1M57.3M
Net VEX-3.3M-3.6M-2.9M-3.0M-3.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.180.248.250.244.71
Total Volume13,784.5243,43034,7578,34313,303
Total OI469,719.762415,400547,253415,400547,253

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-06-01$44.30$42.5017.3%4.9%14.6%0.0%15.4%2.4%2.3%6.1M-193.1M-3.0M0.2413.44N/AN/A6,7431,600177,442237,958
2007-06-04$44.41$45.0017.3%5.7%14.5%0.0%21.0%3.0%0.6%7.1M-205.9M-2.9M0.3914.49N/AN/A2,9911,175180,480236,011
2007-06-05$44.00$45.0018.3%6.0%15.0%0.0%22.7%2.8%0.7%5.5M-171.6M-3.0M3.0814.87N/AN/A5,89118,161181,456236,616
2007-06-06$43.37$45.0020.1%6.5%16.0%0.0%23.0%2.8%1.6%2.3M-97.6M-3.2M0.3511.41N/AN/A5,1181,806184,084250,467
2007-06-07$42.36$45.0021.0%7.0%18.0%0.0%26.4%3.5%1.0%-1.1M-16.8M-3.3M1.448.88N/AN/A6,5069,392187,186252,437
2007-06-08$42.65$45.0018.7%6.7%17.5%0.0%25.2%2.7%1.2%-1.1M-36.0M-3.3M0.8414.86N/AN/A3,5232,945190,282256,321
2007-06-11$42.69$45.0020.6%6.6%17.0%0.0%23.7%3.4%0.9%-839.0K-42.1M-3.2M1.4215.54N/AN/A3,1524,471191,991257,278
2007-06-12$42.23$45.0020.4%6.6%17.2%0.0%24.2%2.9%0.7%-3.2M-12.4K-3.2M1.9713.95N/AN/A1,1532,277194,186259,650
2007-06-13$42.40$45.0021.8%6.5%17.1%0.0%24.0%4.0%1.5%-4.1M-3.7M-3.2M1.6214.29N/AN/A1,7102,774194,312260,341
2007-06-14$42.76$45.0022.3%6.4%17.1%0.0%23.0%4.0%1.1%-2.6M-37.8M-3.2M1.1811.38N/AN/A2,5863,049195,008260,857
2007-06-15$43.07$45.0020.9%6.0%17.2%0.0%20.8%2.8%1.2%-1.8M-83.5M-3.1M0.398.27N/AN/A4,7861,866196,809262,302
2007-06-18$43.92$45.0024.7%7.1%18.5%0.0%25.5%0.8%-1.9%3.0M-167.3M-3.1M0.5910.64N/AN/A21,84912,908185,300254,399
2007-06-19$43.79$45.0024.1%6.9%18.6%0.0%24.3%0.8%-2.8%1.9M-146.3M-3.1M0.756.45N/AN/A16,88212,665191,119263,021
2007-06-20$42.85$45.0024.2%6.9%17.8%0.0%25.6%0.6%-0.7%-2.0M-34.3M-3.2M8.258.78N/AN/A1,68313,877204,358271,013
2007-06-21$43.03$45.0025.6%7.3%17.8%0.0%27.0%3.6%-1.6%-2.6M-43.3M-3.3M4.809.20N/AN/A2,45511,790202,484279,954
2007-06-22$42.63$45.0026.7%7.6%17.7%0.0%27.2%2.8%-1.5%-4.5M-357.4K-3.3M7.8812.92N/AN/A2,59320,431203,567289,584
2007-06-25$42.63$45.0028.0%8.0%17.7%0.0%28.4%4.1%-2.5%-7.1M44.7M-3.4M2.8013.92N/AN/A8,16522,830204,878306,078
2007-06-26$42.66$45.0029.5%8.5%17.6%0.0%31.5%5.0%-4.0%-8.5M52.0M-3.6M1.4910.77N/AN/A5,9108,804209,623323,977
2007-06-27$42.75$45.0028.3%8.1%17.4%0.0%29.1%6.2%-2.8%-9.4M45.6M-3.6M0.668.55N/AN/A4,0052,649212,054329,393
2007-06-28$43.45$45.0028.9%8.3%18.5%0.0%28.6%4.9%-3.3%-5.4M-51.5M-3.5M1.019.81N/AN/A6,4726,529214,574328,012
2007-06-29$42.64$45.0029.6%8.5%18.8%0.0%29.4%4.8%-4.3%-9.5M57.3M-3.6M4.7114.39N/AN/A2,32810,975216,054331,199