WM Options History — July 2007 In July 2007, WM traded between $37.53 and $43.68. ATM implied volatility averaged 28.5%, placing in the 55.3% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 8.0% (HV 20d: 20.5%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 2.32.
Notable Days 2007-07-27 : Highest Volume — 79,899 contracts2007-07-26 : Largest IV spike — 28.2% change2007-07-31 : Highest IV Rank — 84.0%2007-07-31 : Largest Expected Move — 10.5%Monthly Statistics Metric Avg Min Max Open Close Price $41.37 $37.53 $43.68 $43.09 $37.53 Max Pain $42.62 $40.00 $45.00 $45.00 $40.00 ATM IV 28.5% 23.0% 36.8% 30.0% 36.8% Expected Move 7.9% 6.6% 10.5% 8.6% 10.5% HV 20d 20.5% 16.9% 26.7% 19.3% 26.7% HV 60d 19.0% 16.5% 21.2% 20.4% 21.2% IV Rank 55.3% 36.8% 84.0% 58.8% 84.0% IV Percentile 76.5% 57.4% 94.4% 83.3% 94.4% Term Structure 0.1% -3.9% 3.2% -3.8% -2.5% VWIV 28.1% 23.8% 36.0% 31.3% 36.0% Skew 25d 4.0% 2.1% 6.2% 4.1% 4.2% Skew 10d 7.6% 3.5% 13.6% 10.1% 8.4% Call IV 25d 26.2% 22.3% 35.1% 28.5% 35.1% Put IV 25d 30.2% 24.7% 39.4% 32.5% 39.4% Bid-Ask Spread % 12.86 6.43 19.94 13.92 18.09 Gamma HHI 0.21 0.18 0.26 0.18 0.19 Net GEX -11.7M -19.3M -5.8M -8.9M -10.0M Net DEX 143.6M -66.7M 330.3M 17.1M 330.3M Net VEX -3.3M -3.5M -2.9M -3.5M -3.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.32 0.50 5.75 1.39 2.37 Total Volume 25,066.286 3,017 79,899 16,794 31,312 Total OI 531,133.381 398,990 593,139 554,485 475,263
Daily Data (21 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 2007-07-02 $43.09 $45.00 30.0% 8.6% 19.3% 0.0% 31.3% 4.1% -3.8% -8.9M 17.1M -3.5M 1.39 13.92 N/A N/A 7,027 9,767 216,834 337,651 2007-07-03 $43.68 $45.00 28.7% 8.2% 19.8% 0.0% 29.1% 2.2% -3.2% -5.8M -66.7M -3.5M 1.59 9.57 N/A N/A 4,003 6,383 220,244 342,845 2007-07-05 $43.25 $45.00 29.4% 8.4% 19.4% 58.8% 29.8% 5.1% -3.9% -8.6M -8.5M -3.5M 2.54 6.43 N/A N/A 1,068 2,715 221,653 344,304 2007-07-06 $43.52 $42.50 29.9% 7.2% 17.4% 60.7% 26.4% 4.7% 1.1% -7.4M -36.7M -3.5M 4.50 11.97 N/A N/A 717 3,229 222,084 345,874 2007-07-09 $42.87 $42.50 30.8% 7.3% 18.2% 63.7% 25.6% 4.0% 0.6% -11.3M 40.1M -3.5M 5.75 12.85 N/A N/A 2,107 12,109 222,322 347,696 2007-07-10 $42.11 $42.50 32.0% 7.4% 19.3% 67.7% 27.9% 3.7% 1.1% -14.8M 149.6M -3.4M 1.46 12.49 N/A N/A 3,238 4,742 222,972 348,762 2007-07-11 $42.24 $42.50 30.1% 7.3% 19.0% 61.4% 27.5% 2.9% 1.7% -14.9M 132.5M -3.4M 3.81 11.45 N/A N/A 6,434 24,491 224,283 350,038 2007-07-12 $42.48 $42.50 25.3% 7.2% 19.0% 44.6% 27.0% 4.3% 1.3% -14.4M 104.5M -3.4M 0.50 16.07 N/A N/A 7,640 3,853 225,732 353,330 2007-07-13 $42.72 $42.50 25.3% 7.3% 18.9% 44.7% 25.6% 5.4% 3.1% -11.0M 61.0M -3.3M 0.69 9.76 N/A N/A 1,784 1,233 229,289 345,292 2007-07-16 $42.53 $42.50 26.7% 7.7% 18.8% 49.7% 27.2% 4.5% 0.7% -12.4M 89.1M -3.2M 1.49 6.81 N/A N/A 5,620 8,346 229,282 345,420 2007-07-17 $42.36 $42.50 27.8% 8.0% 17.2% 53.1% 28.0% 2.9% 0.5% -13.7M 110.7M -3.3M 1.51 8.49 N/A N/A 7,601 11,459 230,709 348,609 2007-07-18 $41.61 $42.50 27.6% 7.9% 18.1% 52.6% 28.9% 4.4% 1.3% -18.9M 227.6M -3.2M 2.70 11.12 N/A N/A 11,087 29,968 231,602 353,980 2007-07-19 $41.89 $42.50 23.0% 6.6% 16.9% 36.8% 23.8% 2.9% 3.2% -19.3M 206.5M -3.1M 1.83 9.55 N/A N/A 12,018 21,934 233,826 359,313 2007-07-20 $41.11 $42.50 26.2% 7.5% 17.9% 47.6% 24.8% 4.3% 2.5% -12.3M 269.3M -3.1M 1.36 15.51 N/A N/A 10,221 13,915 234,866 351,908 2007-07-23 $41.19 $42.50 23.9% 6.9% 17.7% 40.0% 23.8% 2.1% 0.7% -9.9M 100.7M -3.0M 0.66 8.99 N/A N/A 11,090 7,314 157,945 241,045 2007-07-24 $39.09 $42.50 24.6% 7.1% 25.2% 42.3% 26.7% 4.2% 1.1% -9.6M 252.7M -2.9M 3.83 12.91 N/A N/A 14,421 55,280 166,624 245,580 2007-07-25 $39.38 $42.50 24.4% 7.0% 25.5% 41.6% 25.6% 3.4% 1.3% -11.6M 244.9M -3.0M 1.88 16.18 N/A N/A 14,770 27,780 172,988 263,114 2007-07-26 $38.61 $42.50 31.3% 9.0% 26.0% 65.2% 29.6% 4.1% -0.3% -10.1M 300.8M -3.2M 1.56 19.94 N/A N/A 14,229 22,248 180,876 274,518 2007-07-27 $38.65 $42.50 33.4% 9.6% 24.9% 72.4% 31.9% 4.3% -1.9% -10.5M 252.4M -3.3M 4.97 19.42 N/A N/A 13,391 66,508 177,439 284,698 2007-07-30 $38.96 $40.00 31.1% 8.9% 24.8% 64.7% 33.0% 6.2% -1.9% -9.9M 238.5M -3.3M 2.42 18.59 N/A N/A 3,903 9,437 182,462 290,529 2007-07-31 $37.53 $40.00 36.8% 10.5% 26.7% 84.0% 36.0% 4.2% -2.5% -10.0M 330.3M -3.3M 2.37 18.09 N/A N/A 9,304 22,008 182,743 292,520
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