WM Options History — August 2007

In August 2007, WM traded between $32.57 and $38.37. ATM implied volatility averaged 51.3%, placing in the 63.8% IV rank vs the trailing year. The 30-day expected move averaged 13.9%. IV traded below realized volatility by 1.1% (HV 20d: 52.4%). Max pain ranged from $37.50 to $40.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 8 of 23 days. Put/call ratio averaged 2.49.

Notable Days

2007-08-20: Highest Volume — 73,153 contracts
2007-08-15: Largest IV spike — 59.8% change
2007-08-01: Highest IV Rank — 100.0%
2007-08-03: Largest Expected Move — 19.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$36.30	$32.57	$38.37	$37.48	$36.72
Max Pain	$39.78	$37.50	$40.00	$40.00	$37.50
ATM IV	51.3%	37.7%	86.9%	41.9%	43.3%
Expected Move	13.9%	10.8%	19.0%	12.0%	12.4%
HV 20d	52.4%	25.7%	65.9%	25.7%	59.1%
HV 60d	34.5%	21.2%	41.6%	21.2%	41.6%
IV Rank	63.8%	34.1%	100.0%	100.0%	41.6%
IV Percentile	95.1%	85.1%	100.0%	100.0%	91.6%
Term Structure	-2.2%	-8.9%	4.9%	-2.8%	3.8%
VWIV	50.0%	37.7%	69.0%	42.2%	52.6%
Skew 25d	20.4%	11.3%	29.0%	11.3%	17.8%
Skew 10d	46.3%	20.4%	89.2%	20.4%	46.9%
Call IV 25d	39.2%	28.9%	60.8%	36.8%	37.8%
Put IV 25d	59.6%	48.1%	80.9%	48.1%	55.6%
Bid-Ask Spread %	15.96	8.47	52.80	19.37	13.35
Gamma HHI	0.19	0.15	0.22	0.20	0.21
Net GEX	-8.4M	-11.0M	-4.8M	-10.2M	-6.9M
Net DEX	356.2M	144.5M	607.6M	359.3M	275.2M
Net VEX	-3.4M	-3.7M	-2.9M	-3.3M	-3.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.49	0.93	4.83	4.83	3.24
Total Volume	37,713	7,392	73,153	46,393	17,851
Total OI	586,673	489,700	637,100	489,700	634,221

Daily Data (23 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
2007-08-01	$37.48	$40.00	41.9%	12.0%	25.7%	100.0%	42.2%	11.3%	-2.8%	-10.2M	359.3M	-3.3M	4.83	19.37	N/A	N/A	7,961	38,432	185,758	303,942
2007-08-02	$36.24	$40.00	56.1%	16.1%	27.3%	100.0%	53.4%	19.0%	-6.3%	-9.3M	413.5M	-3.3M	3.64	11.15	N/A	N/A	11,046	40,205	186,668	316,134
2007-08-03	$33.86	$40.00	66.4%	19.0%	33.8%	100.0%	69.0%	20.1%	-8.6%	-8.8M	523.5M	-3.1M	2.51	52.80	N/A	N/A	14,009	35,179	188,793	336,100
2007-08-06	$35.74	$40.00	67.9%	16.5%	41.2%	100.0%	64.4%	27.4%	-5.8%	-9.8M	452.5M	-3.3M	2.69	15.73	N/A	N/A	15,300	41,099	196,985	342,906
2007-08-07	$36.19	$40.00	57.1%	14.8%	41.8%	80.5%	48.2%	23.5%	-5.8%	-10.5M	403.6M	-3.4M	1.89	13.83	N/A	N/A	17,954	33,940	203,277	350,573
2007-08-08	$37.55	$40.00	41.0%	11.0%	44.5%	51.6%	45.8%	18.9%	-0.8%	-10.7M	323.6M	-3.5M	2.92	18.18	N/A	N/A	9,602	28,069	213,768	361,389
2007-08-09	$36.76	$40.00	46.5%	12.1%	44.6%	61.5%	45.1%	18.4%	-2.4%	-11.0M	377.3M	-3.5M	1.33	16.10	N/A	N/A	11,262	14,961	215,431	370,207
2007-08-10	$35.95	$40.00	60.3%	14.9%	44.7%	86.4%	44.7%	25.2%	-5.1%	-10.0M	431.0M	-3.4M	1.25	17.75	N/A	N/A	19,672	24,542	221,192	368,352
2007-08-13	$35.07	$40.00	54.7%	14.2%	45.0%	76.2%	45.2%	20.3%	-4.8%	-10.8M	508.6M	-3.2M	0.98	14.03	N/A	N/A	16,399	16,069	228,037	373,087
2007-08-14	$33.97	$40.00	54.4%	14.4%	45.6%	75.7%	54.0%	18.4%	-2.7%	-10.2M	577.0M	-3.1M	3.92	12.62	N/A	N/A	5,529	21,667	232,965	373,538
2007-08-15	$32.57	$40.00	86.9%	17.1%	46.9%	100.0%	58.8%	19.8%	-3.7%	-9.1M	607.6M	-2.9M	2.93	13.54	N/A	N/A	11,138	32,678	235,697	371,878
2007-08-16	$35.58	$40.00	63.5%	18.2%	58.7%	68.7%	65.4%	29.0%	-8.9%	-9.1M	383.0M	-3.5M	1.56	16.33	N/A	N/A	23,582	36,714	237,656	378,907
2007-08-17	$38.37	$40.00	48.2%	13.8%	65.6%	48.2%	47.8%	20.8%	-4.1%	-5.9M	179.3M	-3.7M	0.93	16.57	N/A	N/A	31,066	28,852	246,749	386,378
2007-08-20	$37.52	$40.00	44.3%	12.7%	65.9%	43.0%	38.8%	24.6%	-0.6%	-5.7M	219.6M	-3.5M	2.15	16.29	N/A	N/A	23,223	49,930	210,648	328,059
2007-08-21	$38.27	$40.00	39.5%	11.3%	63.9%	36.5%	37.7%	19.7%	0.3%	-4.8M	144.5M	-3.6M	1.26	16.69	N/A	N/A	13,714	17,218	217,585	359,109
2007-08-22	$37.40	$40.00	39.5%	11.3%	64.3%	36.5%	45.4%	21.4%	0.4%	-6.2M	234.4M	-3.5M	4.11	19.40	N/A	N/A	6,078	25,002	225,553	367,577
2007-08-23	$36.92	$40.00	37.7%	10.8%	64.1%	34.1%	42.0%	18.6%	1.8%	-7.2M	276.4M	-3.5M	2.58	14.78	N/A	N/A	5,847	15,112	226,847	378,704
2007-08-24	$37.62	$40.00	39.1%	11.2%	64.5%	36.0%	40.0%	17.8%	0.7%	-7.1M	237.9M	-3.6M	2.73	10.38	N/A	N/A	7,542	20,574	228,721	380,624
2007-08-27	$36.64	$40.00	41.8%	12.0%	65.0%	39.6%	46.0%	18.1%	0.9%	-7.7M	298.0M	-3.5M	2.58	9.30	N/A	N/A	2,065	5,327	232,167	387,000
2007-08-28	$35.81	$40.00	53.4%	15.3%	64.2%	55.1%	57.4%	20.7%	-0.5%	-7.8M	348.6M	-3.5M	3.40	9.51	N/A	N/A	9,627	32,717	233,025	387,752
2007-08-29	$36.64	$40.00	43.2%	12.4%	64.9%	41.5%	55.1%	21.1%	4.9%	-6.9M	283.3M	-3.6M	2.18	10.83	N/A	N/A	5,770	12,567	238,295	394,125
2007-08-30	$36.00	$37.50	53.4%	15.3%	64.0%	55.2%	51.1%	17.4%	0.4%	-7.8M	334.6M	-3.5M	1.73	8.47	N/A	N/A	3,780	6,528	241,522	395,578
2007-08-31	$36.72	$37.50	43.3%	12.4%	59.1%	41.6%	52.6%	17.8%	3.8%	-6.9M	275.2M	-3.5M	3.24	13.35	N/A	N/A	4,214	13,637	241,689	392,532