WM Options History — September 2007

In September 2007, WM traded between $34.74 and $38.32. ATM implied volatility averaged 45.6%, placing in the 44.7% IV rank vs the trailing year. The 30-day expected move averaged 13.1%. IV traded above realized volatility by 1.9% (HV 20d: 43.7%). Max pain ranged from $37.50 to $40.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 1.74.

Notable Days

  • 2007-09-10: Highest Volume — 62,159 contracts
  • 2007-09-18: Largest IV drop — 22.9% change
  • 2007-09-10: Highest IV Rank — 59.1%
  • 2007-09-10: Largest Expected Move — 16.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.97$34.74$38.32$37.12$35.31
Max Pain$39.08$37.50$40.00$37.50$37.50
ATM IV45.6%38.4%56.4%43.3%38.6%
Expected Move13.1%11.0%16.0%12.4%11.1%
HV 20d43.7%30.0%57.6%56.2%34.0%
HV 60d43.2%41.6%44.6%41.6%44.4%
IV Rank44.7%35.0%59.1%41.6%35.3%
IV Percentile87.4%77.4%96.5%91.1%77.4%
Term Structure-4.7%-10.6%4.1%4.1%-1.8%
VWIV46.3%38.3%58.8%47.5%39.6%
Skew 25d10.8%5.6%16.5%16.5%5.6%
Skew 10d23.5%12.4%42.1%42.1%12.4%
Call IV 25d40.9%34.7%49.2%39.1%37.3%
Put IV 25d51.7%41.7%64.4%55.6%42.9%
Bid-Ask Spread %11.147.9914.317.9912.26
Gamma HHI0.240.200.280.210.25
Net GEX-8.6M-10.4M-4.6M-7.5M-9.2M
Net DEX307.1M88.9M417.3M256.8M334.0M
Net VEX-3.0M-3.4M-2.6M-3.4M-2.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.740.833.382.381.07
Total Volume24,5745,88362,15912,7295,883
Total OI641,746.368569,626689,228634,302580,562

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-09-04$37.12$37.5043.3%12.4%56.2%41.6%47.5%16.5%4.1%-7.5M256.8M-3.4M2.387.99N/AN/A3,7648,965241,520392,782
2007-09-05$35.82$37.5051.0%14.6%57.6%51.8%50.1%12.5%1.9%-8.8M352.1M-3.3M1.5210.29N/AN/A8,41612,754242,997393,529
2007-09-06$36.01$37.5048.7%14.0%55.9%48.8%45.8%11.9%2.6%-8.7M345.7M-3.3M0.8313.42N/AN/A8,6707,174246,276397,234
2007-09-07$35.02$40.0049.1%14.8%56.3%49.3%52.2%16.1%-9.0%-9.5M402.5M-3.2M1.7610.14N/AN/A12,01021,143250,413398,247
2007-09-10$34.74$40.0056.4%16.0%55.8%59.1%58.8%15.2%-10.6%-9.5M417.3M-3.1M3.389.55N/AN/A14,18547,974254,360399,429
2007-09-11$34.92$40.0053.1%15.4%55.2%54.7%53.6%15.8%-9.3%-9.9M402.6M-3.1M3.098.81N/AN/A5,74517,751256,686400,638
2007-09-12$35.23$40.0051.4%14.7%54.0%52.4%53.0%14.7%-8.4%-10.1M368.6M-3.2M1.6012.68N/AN/A3,0194,835259,553409,937
2007-09-13$35.56$40.0052.1%14.9%51.5%53.4%50.2%13.9%-10.2%-10.1M354.3M-3.2M1.2511.01N/AN/A9,73112,159260,294410,959
2007-09-14$35.53$40.0049.9%14.3%40.8%50.5%50.8%10.9%-8.0%-10.4M348.5M-3.1M2.329.52N/AN/A8,91520,670261,231414,181
2007-09-17$35.96$40.0052.4%15.0%30.0%53.7%52.1%10.1%-9.7%-10.0M320.8M-3.1M1.0311.03N/AN/A10,91511,291263,224418,444
2007-09-18$37.74$40.0040.4%11.6%34.2%37.6%43.4%10.9%-4.4%-6.4M154.1M-3.1M1.9714.31N/AN/A13,68527,003267,383421,845
2007-09-19$38.32$40.0038.9%11.2%33.9%35.7%41.1%7.0%-5.5%-4.6M88.9M-3.0M1.5112.81N/AN/A13,42920,232265,010416,860
2007-09-20$36.73$40.0041.0%11.8%36.3%38.5%42.7%8.4%-5.2%-7.8M270.0M-3.0M1.6113.10N/AN/A18,06129,076266,390415,762
2007-09-21$36.79$40.0038.4%11.0%36.0%35.0%38.9%8.2%-5.7%-6.4M242.5M-2.9M2.5512.91N/AN/A10,43726,658273,718409,549
2007-09-24$35.63$40.0041.3%11.8%36.9%38.9%41.4%6.3%-3.0%-8.5M306.6M-2.8M1.658.39N/AN/A8,43613,945224,216345,410
2007-09-25$35.40$37.5041.8%12.0%35.9%39.5%41.3%6.5%-2.8%-8.4M314.2M-2.8M1.159.00N/AN/A5,5096,313229,017346,285
2007-09-26$35.66$37.5039.5%11.3%35.1%36.5%39.5%7.1%-2.6%-8.6M290.5M-2.7M1.0412.65N/AN/A5,5975,822231,764347,032
2007-09-27$35.87$37.5039.2%11.2%34.2%36.1%38.3%8.0%-2.2%-8.3M265.4M-2.8M1.3711.88N/AN/A2,8383,896233,411347,033
2007-09-28$35.31$37.5038.6%11.1%34.0%35.3%39.6%5.6%-1.8%-9.2M334.0M-2.6M1.0712.26N/AN/A2,8433,040233,425347,137