WM Options History — January 2008

In January 2008, WM traded between $12.34 and $19.87. ATM implied volatility averaged 96.6%, placing in the 69.8% IV rank vs the trailing year. The 30-day expected move averaged 27.1%. IV traded above realized volatility by 19.2% (HV 20d: 77.4%). Max pain ranged from $12.50 to $20.00. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 0 of 21 days. Put/call ratio averaged 3.52.

Notable Days

2008-01-09: Highest Volume — 342,805 contracts
2008-01-09: Largest IV spike — 40.6% change
2008-01-09: Highest IV Rank — 100.0%
2008-01-17: Largest Expected Move — 41.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$14.89	$12.34	$19.87	$13.72	$19.87
Max Pain	$13.93	$12.50	$20.00	$20.00	$15.00
ATM IV	96.6%	67.9%	143.4%	94.3%	71.3%
Expected Move	27.1%	19.5%	41.1%	27.0%	20.4%
HV 20d	77.4%	61.1%	94.8%	65.7%	94.8%
HV 60d	83.1%	74.7%	91.2%	74.7%	90.1%
IV Rank	69.8%	42.4%	100.0%	83.3%	45.0%
IV Percentile	92.2%	76.2%	100.0%	98.4%	78.6%
Term Structure	-10.4%	-30.1%	-0.7%	-8.1%	-8.6%
VWIV	97.2%	73.4%	140.9%	85.1%	74.3%
Skew 25d	27.3%	8.1%	49.3%	12.4%	8.1%
Skew 10d	53.8%	19.6%	98.2%	25.1%	19.6%
Call IV 25d	83.5%	68.7%	117.3%	84.5%	70.8%
Put IV 25d	110.8%	78.8%	166.2%	96.9%	78.8%
Bid-Ask Spread %	9.98	5.73	15.27	6.24	15.27
Gamma HHI	0.18	0.14	0.24	0.20	0.14
Net GEX	-200.0K	-1.3M	1.9M	-1.3M	1.9M
Net DEX	102.0M	-224.9M	237.6M	236.2M	-224.9M
Net VEX	-1.8M	-2.3M	-1.4M	-1.6M	-2.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.52	0.50	28.49	3.86	0.77
Total Volume	95,189.048	24,522	342,805	81,486	93,949
Total OI	863,229.524	679,528	1,030,865	867,617	784,269

Daily Data (21 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
2008-01-02	$13.72	$20.00	94.3%	27.0%	65.7%	83.3%	85.1%	12.4%	-8.1%	-1.3M	236.2M	-1.6M	3.86	6.24	N/A	N/A	16,758	64,728	450,424	417,193
2008-01-03	$13.73	$20.00	93.2%	26.7%	64.0%	82.2%	86.4%	13.7%	-6.6%	-1.2M	226.2M	-1.6M	28.49	5.73	N/A	N/A	5,562	158,445	457,016	420,674
2008-01-04	$13.07	$15.00	92.5%	25.3%	64.6%	81.4%	89.0%	25.0%	-4.5%	-1.3M	237.4M	-1.5M	4.96	13.12	N/A	N/A	9,685	48,031	460,273	423,525
2008-01-07	$13.44	$15.00	95.7%	25.1%	64.5%	84.6%	88.3%	24.2%	-4.8%	-1.3M	230.4M	-1.5M	1.15	7.81	N/A	N/A	12,192	13,973	462,343	426,670
2008-01-08	$12.74	$15.00	99.8%	26.1%	65.5%	88.8%	87.0%	19.5%	-0.7%	-1.3M	237.6M	-1.4M	12.44	7.24	N/A	N/A	16,724	208,007	466,231	428,739
2008-01-09	$12.34	$15.00	140.2%	34.1%	61.1%	100.0%	137.1%	49.3%	-13.5%	-1.1M	231.7M	-1.5M	4.98	7.45	N/A	N/A	57,322	285,483	470,512	435,875
2008-01-10	$14.16	$12.50	97.0%	27.8%	71.8%	66.2%	111.6%	41.0%	-9.6%	-865.9K	190.9M	-1.7M	0.90	15.04	N/A	N/A	74,405	66,820	495,145	462,234
2008-01-11	$14.69	$12.50	91.6%	26.3%	68.5%	62.0%	102.8%	31.2%	-13.2%	-632.9K	172.7M	-1.7M	0.50	8.80	N/A	N/A	73,900	37,243	508,195	468,419
2008-01-14	$14.32	$12.50	93.3%	26.7%	68.3%	63.3%	106.8%	38.4%	-12.5%	-556.7K	175.2M	-1.7M	0.84	13.46	N/A	N/A	13,329	11,193	519,645	474,604
2008-01-15	$13.59	$12.50	112.8%	32.3%	69.9%	78.6%	114.9%	36.1%	-17.3%	-743.4K	187.3M	-1.6M	6.50	13.36	N/A	N/A	19,099	124,188	519,468	475,604
2008-01-16	$13.39	$12.50	120.7%	34.6%	69.9%	84.8%	107.0%	38.9%	-21.6%	-812.0K	188.8M	-1.6M	1.13	8.81	N/A	N/A	26,853	30,319	524,910	471,336
2008-01-17	$12.46	$12.50	143.4%	41.1%	73.7%	100.0%	140.9%	48.9%	-27.0%	-855.2K	195.7M	-1.6M	1.70	10.11	N/A	N/A	26,361	44,929	537,927	473,067
2008-01-18	$13.55	$12.50	134.1%	38.4%	80.5%	92.9%	127.6%	48.6%	-30.1%	-481.8K	169.8M	-1.6M	0.91	7.03	N/A	N/A	57,633	52,359	540,277	490,588
2008-01-22	$14.77	$12.50	96.2%	27.6%	86.3%	64.0%	106.5%	34.7%	-12.0%	-143.5K	51.2M	-1.8M	0.64	8.68	N/A	N/A	32,776	20,987	322,424	357,104
2008-01-23	$16.10	$12.50	84.1%	24.1%	90.1%	54.8%	86.0%	20.4%	-4.7%	540.2K	1.1M	-1.9M	0.71	7.81	N/A	N/A	30,588	21,784	334,663	362,160
2008-01-24	$16.95	$12.50	72.3%	20.7%	91.3%	45.8%	78.9%	13.5%	-4.3%	950.7K	-46.5M	-2.0M	0.64	10.91	N/A	N/A	30,302	19,298	346,061	369,522
2008-01-25	$16.12	$12.50	83.3%	23.9%	93.7%	54.2%	83.6%	23.4%	-2.7%	634.3K	-5.3M	-1.9M	0.55	10.24	N/A	N/A	25,150	13,819	351,382	376,562
2008-01-28	$17.01	$12.50	72.0%	20.6%	93.9%	45.6%	77.6%	19.7%	-3.8%	1.1M	-47.3M	-2.0M	0.63	9.15	N/A	N/A	17,430	10,923	355,875	383,216
2008-01-29	$18.00	$12.50	73.4%	21.1%	93.5%	46.7%	76.4%	15.3%	-6.4%	1.6M	-116.2M	-2.2M	0.80	11.44	N/A	N/A	29,377	23,355	356,212	388,641
2008-01-30	$18.65	$15.00	67.9%	19.5%	93.3%	42.4%	73.4%	12.0%	-6.0%	1.7M	-149.7M	-2.1M	0.75	11.93	N/A	N/A	42,064	31,627	367,484	391,351
2008-01-31	$19.87	$15.00	71.3%	20.4%	94.8%	45.0%	74.3%	8.1%	-8.6%	1.9M	-224.9M	-2.3M	0.77	15.27	N/A	N/A	53,199	40,750	378,194	406,075