WM Options History — December 2007

In December 2007, WM traded between $13.07 and $19.88. ATM implied volatility averaged 83.9%, placing in the 72.7% IV rank vs the trailing year. The 30-day expected move averaged 24.2%. IV traded above realized volatility by 1.5% (HV 20d: 82.3%). Max pain ranged from $20.00 to $30.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 5.41.

Notable Days

2007-12-31: Highest Volume — 453,137 contracts
2007-12-06: Largest IV drop — 16.3% change
2007-12-17: Highest IV Rank — 83.3%
2007-12-17: Largest Expected Move — 27.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$16.00	$13.07	$19.88	$19.62	$13.61
Max Pain	$24.75	$20.00	$30.00	$22.50	$20.00
ATM IV	83.9%	66.3%	94.3%	69.6%	92.4%
Expected Move	24.2%	19.0%	27.0%	20.0%	26.5%
HV 20d	82.3%	65.6%	101.4%	99.9%	65.6%
HV 60d	72.6%	68.1%	74.9%	68.1%	74.9%
IV Rank	72.7%	54.8%	83.3%	58.2%	81.3%
IV Percentile	94.5%	88.9%	98.3%	90.9%	97.6%
Term Structure	-7.6%	-19.0%	5.3%	5.3%	-7.2%
VWIV	84.9%	70.8%	95.6%	76.1%	86.8%
Skew 25d	14.6%	3.5%	20.2%	15.3%	9.0%
Skew 10d	29.2%	8.8%	41.3%	35.9%	8.8%
Call IV 25d	80.6%	67.5%	90.2%	67.5%	86.2%
Put IV 25d	95.3%	75.0%	108.5%	82.8%	95.3%
Bid-Ask Spread %	7.95	4.92	13.09	7.10	6.01
Gamma HHI	0.20	0.16	0.33	0.16	0.21
Net GEX	-1.8M	-2.3M	-862.4K	-1.9M	-1.3M
Net DEX	309.8M	246.2M	362.3M	282.5M	246.2M
Net VEX	-1.8M	-2.1M	-1.5M	-2.1M	-1.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	5.41	1.07	23.43	1.90	23.43
Total Volume	129,130.15	41,291	453,137	41,291	453,137
Total OI	916,022.1	832,178	1,022,124	832,178	867,409

Daily Data (20 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
2007-12-03	$19.62	$22.50	69.6%	20.0%	99.9%	58.2%	76.1%	15.3%	5.3%	-1.9M	282.5M	-2.1M	1.90	7.10	N/A	N/A	14,253	27,038	390,370	441,808
2007-12-04	$18.47	$22.50	80.6%	23.1%	101.4%	69.4%	77.5%	12.2%	4.6%	-1.9M	312.5M	-2.0M	3.88	8.02	N/A	N/A	14,184	55,003	395,249	442,891
2007-12-05	$18.59	$22.50	79.2%	22.7%	99.5%	67.9%	74.4%	15.8%	4.2%	-1.9M	312.1M	-2.0M	2.75	6.33	N/A	N/A	12,127	33,361	398,205	442,303
2007-12-06	$19.13	$22.50	66.3%	19.0%	75.4%	54.8%	70.8%	3.5%	5.0%	-2.0M	291.6M	-2.0M	1.26	8.41	N/A	N/A	20,867	26,196	397,839	450,074
2007-12-07	$19.03	$30.00	71.1%	21.3%	74.5%	59.7%	76.5%	18.8%	-10.5%	-1.6M	290.5M	-2.0M	2.03	11.71	N/A	N/A	17,777	36,073	407,866	450,930
2007-12-10	$19.88	$30.00	70.1%	21.0%	73.4%	58.7%	76.1%	15.8%	-10.7%	-1.6M	253.1M	-2.1M	1.14	8.82	N/A	N/A	43,236	49,207	409,853	460,634
2007-12-11	$17.42	$30.00	77.3%	23.1%	86.5%	66.0%	75.8%	10.4%	-11.5%	-2.2M	344.6M	-2.0M	2.77	12.78	N/A	N/A	99,858	276,222	430,505	488,112
2007-12-12	$16.06	$27.50	87.6%	25.4%	86.7%	76.5%	83.8%	16.2%	-14.9%	-2.2M	361.4M	-2.1M	1.32	6.51	N/A	N/A	86,145	113,628	486,854	495,079
2007-12-13	$15.59	$25.00	92.0%	26.4%	86.7%	80.9%	90.4%	17.1%	-14.3%	-2.2M	362.3M	-2.0M	1.29	7.10	N/A	N/A	53,595	69,183	497,905	505,179
2007-12-14	$15.15	$25.00	89.5%	25.7%	86.2%	78.4%	91.2%	9.0%	-15.6%	-2.1M	351.8M	-2.0M	3.42	9.06	N/A	N/A	10,081	34,517	504,411	517,713
2007-12-17	$14.92	$25.00	94.3%	27.0%	86.1%	83.3%	95.6%	13.2%	-19.0%	-2.2M	355.1M	-1.9M	1.07	13.09	N/A	N/A	26,056	27,972	499,635	509,542
2007-12-18	$14.67	$25.00	90.6%	26.0%	83.1%	79.5%	90.1%	15.1%	-14.9%	-2.2M	357.0M	-1.8M	17.71	6.54	N/A	N/A	15,679	277,750	512,218	502,799
2007-12-19	$14.42	$25.00	89.2%	25.6%	82.9%	78.1%	92.8%	14.4%	-14.6%	-2.0M	342.5M	-1.8M	5.66	8.75	N/A	N/A	10,700	60,613	513,264	486,914
2007-12-20	$14.67	$25.00	86.2%	24.7%	82.9%	75.0%	88.6%	11.4%	-11.2%	-2.3M	341.2M	-1.8M	3.13	5.89	N/A	N/A	12,627	39,558	517,194	482,901
2007-12-21	$14.10	$25.00	90.1%	25.8%	80.7%	79.0%	95.0%	19.4%	-10.9%	-862.4K	336.1M	-1.6M	4.81	9.23	N/A	N/A	13,917	66,959	518,003	471,439
2007-12-24	$14.00	$25.00	88.1%	25.3%	76.7%	77.0%	95.3%	19.4%	-2.3%	-1.2M	260.4M	-1.7M	18.20	5.08	N/A	N/A	11,978	218,043	426,388	423,615
2007-12-26	$13.98	$22.50	81.7%	23.4%	75.8%	70.5%	86.4%	20.2%	-2.5%	-1.3M	262.1M	-1.6M	4.41	8.20	N/A	N/A	14,824	65,347	431,520	419,642
2007-12-27	$13.54	$22.50	91.1%	26.1%	71.0%	80.1%	86.4%	17.4%	-5.6%	-1.4M	265.6M	-1.6M	3.85	5.42	N/A	N/A	13,258	51,021	436,494	425,943
2007-12-28	$13.07	$22.50	89.8%	25.7%	71.4%	78.6%	88.7%	18.9%	-5.8%	-1.4M	267.9M	-1.5M	4.10	4.92	N/A	N/A	21,671	88,942	438,544	423,198
2007-12-31	$13.61	$20.00	92.4%	26.5%	65.6%	81.3%	86.8%	9.0%	-7.2%	-1.3M	246.2M	-1.5M	23.43	6.01	N/A	N/A	18,545	434,592	445,200	422,209