WM Options History — October 2007 In October 2007, WM traded between $27.30 and $36.07. ATM implied volatility averaged 40.1%, placing in the 37.3% IV rank vs the trailing year. The 30-day expected move averaged 11.5%. IV traded above realized volatility by 5.0% (HV 20d: 35.1%). Max pain ranged from $32.50 to $37.50. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 7 of 23 days. Put/call ratio averaged 2.10.
Notable Days 2007-10-18 : Highest Volume — 97,493 contracts2007-10-19 : Largest IV spike — 19.4% change2007-10-19 : Highest IV Rank — 50.2%2007-10-19 : Largest Expected Move — 14.3%Monthly Statistics Metric Avg Min Max Open Close Price $32.36 $27.30 $36.07 $35.69 $27.88 Max Pain $34.46 $32.50 $37.50 $37.50 $32.50 ATM IV 40.1% 32.4% 49.7% 40.1% 40.9% Expected Move 11.5% 9.3% 14.3% 11.5% 11.7% HV 20d 35.1% 26.8% 45.7% 33.5% 44.8% HV 60d 45.8% 44.1% 49.2% 44.5% 45.9% IV Rank 37.3% 27.0% 50.2% 37.2% 38.4% IV Percentile 79.2% 66.8% 91.0% 81.8% 80.4% Term Structure -1.5% -5.1% 2.3% -3.7% 0.9% VWIV 40.3% 32.8% 50.6% 39.8% 41.6% Skew 25d 6.1% 2.8% 9.6% 7.1% 6.4% Skew 10d 10.3% 1.2% 15.9% 15.9% 6.8% Call IV 25d 37.9% 28.0% 47.8% 36.6% 40.1% Put IV 25d 44.0% 35.2% 53.9% 43.7% 46.5% Bid-Ask Spread % 11.24 5.96 20.99 8.46 18.46 Gamma HHI 0.26 0.16 0.37 0.25 0.16 Net GEX -8.7M -12.7M -5.3M -9.0M -5.4M Net DEX 409.2M 281.5M 675.9M 288.5M 354.1M Net VEX -2.2M -2.7M -1.8M -2.7M -2.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.10 0.53 5.79 1.94 1.10 Total Volume 32,784.87 7,709 97,493 13,083 37,250 Total OI 576,677.522 459,587 659,804 582,154 525,676
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 2007-10-01 $35.69 $37.50 40.1% 11.5% 33.5% 37.2% 39.8% 7.1% -3.7% -9.0M 288.5M -2.7M 1.94 8.46 N/A N/A 4,456 8,627 234,505 347,649 2007-10-02 $35.93 $37.50 39.4% 11.3% 33.3% 36.3% 38.9% 7.0% -3.0% -9.1M 286.5M -2.7M 5.79 9.54 N/A N/A 3,750 21,715 236,323 349,577 2007-10-03 $35.89 $37.50 37.6% 10.8% 30.8% 34.0% 37.3% 5.5% -1.9% -9.6M 315.7M -2.7M 1.79 9.60 N/A N/A 2,766 4,943 237,007 362,194 2007-10-04 $35.28 $37.50 37.1% 10.6% 31.3% 33.3% 36.9% 6.2% -1.3% -9.9M 365.0M -2.6M 3.17 9.38 N/A N/A 5,359 16,990 237,707 361,632 2007-10-05 $36.07 $35.00 34.3% 9.7% 30.6% 29.5% 33.4% 6.3% 0.1% -10.1M 350.2M -2.6M 1.46 20.99 N/A N/A 8,258 12,042 239,440 373,501 2007-10-08 $35.81 $35.00 34.6% 9.6% 30.6% 29.9% 33.8% 6.0% -0.1% -10.4M 314.6M -2.4M 1.47 11.25 N/A N/A 3,449 5,080 240,705 356,465 2007-10-09 $35.99 $35.00 34.1% 9.4% 30.6% 29.2% 34.2% 9.4% 2.3% -10.1M 281.5M -2.5M 0.82 10.51 N/A N/A 7,546 6,198 241,952 357,374 2007-10-10 $35.47 $35.00 33.2% 9.3% 31.0% 28.1% 33.6% 5.1% 0.6% -10.6M 325.9M -2.4M 3.67 12.62 N/A N/A 4,143 15,224 244,897 360,297 2007-10-11 $35.76 $35.00 33.8% 9.7% 30.9% 28.9% 33.9% 4.3% -0.8% -10.9M 298.2M -2.5M 1.49 14.28 N/A N/A 6,782 10,137 246,668 366,401 2007-10-12 $35.20 $35.00 32.4% 9.3% 31.5% 27.0% 32.8% 3.4% 0.2% -11.9M 362.1M -2.4M 3.67 14.17 N/A N/A 3,758 13,788 248,388 371,571 2007-10-15 $34.27 $35.00 34.7% 10.0% 32.4% 30.1% 35.7% 5.7% -0.5% -12.7M 454.1M -2.4M 1.57 15.60 N/A N/A 9,798 15,373 249,179 378,058 2007-10-16 $33.20 $35.00 40.2% 11.5% 27.9% 37.4% 41.9% 9.6% 1.3% -12.0M 521.1M -2.3M 2.90 7.51 N/A N/A 12,046 34,913 250,371 378,780 2007-10-17 $33.07 $35.00 40.9% 11.7% 26.8% 38.4% 40.3% 5.9% -2.6% -12.4M 534.6M -2.2M 1.54 13.71 N/A N/A 25,225 38,802 255,575 382,990 2007-10-18 $30.52 $35.00 41.6% 11.9% 35.3% 39.4% 42.0% 8.4% 0.1% -9.8M 675.9M -1.9M 1.92 6.96 N/A N/A 33,358 64,135 261,231 388,938 2007-10-19 $29.09 $32.50 49.7% 14.3% 37.6% 50.2% 50.6% 6.5% -3.2% -6.0M 675.5M -1.8M 2.78 9.31 N/A N/A 18,266 50,771 276,168 383,636 2007-10-22 $29.25 $32.50 46.2% 13.3% 37.3% 45.5% 46.8% 4.8% -5.1% -5.6M 412.0M -1.9M 1.90 9.37 N/A N/A 12,763 24,270 184,973 274,614 2007-10-23 $28.97 $32.50 40.0% 11.5% 37.3% 37.2% 42.4% 5.8% -2.7% -5.8M 428.2M -1.8M 2.40 7.42 N/A N/A 9,891 23,780 190,181 280,946 2007-10-24 $29.02 $32.50 42.3% 12.1% 37.0% 40.2% 43.1% 3.4% -3.4% -6.5M 435.5M -1.9M 1.67 5.96 N/A N/A 14,706 24,613 194,261 294,149 2007-10-25 $27.30 $32.50 47.8% 13.7% 40.6% 47.7% 48.0% 4.2% -3.9% -5.7M 482.9M -1.8M 1.08 7.53 N/A N/A 25,427 27,487 201,166 304,563 2007-10-26 $28.58 $32.50 46.4% 13.3% 45.7% 45.7% 45.6% 2.8% -1.8% -5.8M 432.9M -2.0M 0.53 14.33 N/A N/A 24,919 13,299 213,081 312,219 2007-10-29 $28.02 $32.50 47.6% 13.7% 45.1% 47.4% 48.5% 7.1% -3.5% -5.4M 424.8M -2.0M 0.77 11.32 N/A N/A 9,311 7,173 223,044 313,998 2007-10-30 $28.11 $32.50 47.0% 13.5% 44.9% 46.5% 46.1% 8.7% -2.8% -5.3M 392.7M -2.0M 2.82 10.26 N/A N/A 8,233 23,232 225,890 305,643 2007-10-31 $27.88 $32.50 40.9% 11.7% 44.8% 38.4% 41.6% 6.4% 0.9% -5.4M 354.1M -2.0M 1.10 18.46 N/A N/A 17,700 19,550 230,465 295,211
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