WM Options History — November 2007

In November 2007, WM traded between $16.81 and $25.75. ATM implied volatility averaged 84.5%, placing in the 77.1% IV rank vs the trailing year. The 30-day expected move averaged 22.8%. IV traded below realized volatility by 0.2% (HV 20d: 84.7%). Max pain ranged from $22.50 to $32.50. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 2.12.

Notable Days

  • 2007-11-07: Highest Volume — 214,396 contracts
  • 2007-11-07: Largest IV spike — 53.7% change
  • 2007-11-07: Highest IV Rank — 100.0%
  • 2007-11-26: Largest Expected Move — 26.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.15$16.81$25.75$25.75$19.50
Max Pain$26.31$22.50$32.50$32.50$22.50
ATM IV84.5%63.6%110.8%63.6%69.8%
Expected Move22.8%18.2%26.7%18.2%20.0%
HV 20d84.7%50.7%102.6%50.7%102.6%
HV 60d60.0%47.6%68.1%47.6%68.1%
IV Rank77.1%58.4%100.0%68.8%58.4%
IV Percentile97.5%91.3%100.0%98.6%91.3%
Term Structure3.6%-5.1%10.6%-0.4%3.6%
VWIV79.7%64.1%96.2%64.1%73.5%
Skew 25d21.2%13.5%30.3%19.5%18.9%
Skew 10d42.1%23.4%55.7%23.4%43.9%
Call IV 25d70.6%54.8%88.1%55.1%65.7%
Put IV 25d91.8%74.6%107.9%74.6%84.6%
Bid-Ask Spread %9.916.7915.097.307.28
Gamma HHI0.220.160.800.160.16
Net GEX-4.3M-18.4M-2.1M-4.2M-2.1M
Net DEX400.6M294.6M488.7M417.7M294.6M
Net VEX-1.9M-2.1M-1.7M-1.8M-2.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.120.855.203.162.65
Total Volume75,884.85721,588214,396149,677125,155
Total OI724,903.571538,021812,033538,021812,033

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-11-01$25.75$32.5063.6%18.2%50.7%68.8%64.1%19.5%-0.4%-4.2M417.7M-1.8M3.167.30N/AN/A36,010113,667235,067302,954
2007-11-02$23.81$32.5071.0%20.3%53.2%78.7%74.6%16.1%-3.5%-5.2M472.3M-2.1M1.657.74N/AN/A31,50151,835251,609374,302
2007-11-05$23.18$27.5083.7%22.4%53.0%95.8%75.9%27.2%-5.1%-5.2M485.9M-2.0M1.5612.70N/AN/A20,72932,409260,010386,758
2007-11-06$24.23$27.5072.1%18.4%57.3%80.2%77.9%25.8%1.7%-5.6M450.4M-2.1M3.368.72N/AN/A17,97260,430268,297387,741
2007-11-07$20.04$27.50110.8%25.1%83.1%100.0%82.2%30.3%-5.0%-4.1M488.7M-1.7M2.3715.09N/AN/A63,678150,718276,799395,016
2007-11-08$19.39$27.5099.8%25.5%82.0%88.8%92.9%24.3%2.8%-3.9M469.5M-1.8M2.4813.07N/AN/A30,22774,970298,742410,220
2007-11-09$20.51$27.50100.7%25.1%87.5%89.8%95.4%23.4%0.2%-4.3M445.3M-2.0M2.0414.40N/AN/A25,45051,886310,795427,124
2007-11-12$20.77$27.50101.7%23.9%88.6%90.7%80.4%19.9%0.9%-4.5M441.4M-1.9M2.6011.81N/AN/A10,25226,637315,679439,563
2007-11-13$21.95$27.5078.0%18.6%93.0%66.7%67.0%18.8%4.1%-4.8M415.7M-2.0M1.7613.71N/AN/A24,88643,808316,753431,474
2007-11-14$21.37$27.5080.4%19.9%92.8%69.1%71.7%15.3%4.0%-4.6M403.9M-2.1M1.0810.79N/AN/A24,88426,833327,961431,810
2007-11-15$20.43$27.5077.8%22.3%90.7%66.5%76.7%16.5%5.0%-4.4M406.9M-2.0M1.1712.32N/AN/A33,84739,670339,015428,638
2007-11-16$19.94$25.0076.1%21.8%90.1%64.8%77.4%13.5%4.4%-18.4M417.9M-2.0M2.2810.12N/AN/A14,19732,299361,917436,762
2007-11-19$18.49$25.0083.8%24.0%91.8%72.6%79.8%18.7%5.6%-2.4M364.6M-1.8M5.207.60N/AN/A13,66071,022311,802381,935
2007-11-20$17.99$25.0088.7%25.4%91.7%77.6%82.2%23.5%6.3%-2.5M362.4M-1.8M2.048.92N/AN/A16,97334,595317,260406,585
2007-11-21$17.34$25.0090.6%26.0%91.3%79.5%82.1%21.2%6.8%-2.4M358.2M-1.8M1.217.43N/AN/A24,00029,092322,798413,494
2007-11-23$18.21$25.0088.6%25.4%93.9%77.4%83.5%23.4%10.6%-2.4M344.0M-1.9M1.206.79N/AN/A9,81111,777335,295415,891
2007-11-26$16.81$25.0093.2%26.7%92.8%82.1%96.2%19.8%6.4%-2.2M345.4M-1.7M1.117.97N/AN/A15,47817,174340,509414,123
2007-11-27$17.20$22.5085.8%24.6%94.5%74.6%87.0%20.6%9.1%-2.3M347.7M-1.7M3.118.01N/AN/A19,77361,397345,053417,191
2007-11-28$18.31$22.5081.2%23.3%99.0%70.0%77.7%24.6%7.8%-2.4M336.0M-1.8M0.857.77N/AN/A31,30826,693356,855418,219
2007-11-29$18.01$22.5077.8%22.3%98.9%66.5%75.6%23.8%9.7%-2.2M345.1M-1.9M1.558.61N/AN/A18,39628,483369,747429,179
2007-11-30$19.50$22.5069.8%20.0%102.6%58.4%73.5%18.9%3.6%-2.1M294.6M-2.1M2.657.28N/AN/A34,26890,887377,988434,045