WM Options History — February 2008 In February 2008, WM traded between $14.80 and $21.82. ATM implied volatility averaged 78.0%, placing in the 50.2% IV rank vs the trailing year. The 30-day expected move averaged 22.0%. IV traded below realized volatility by 21.8% (HV 20d: 99.8%). Max pain ranged from $15.00 to $19.00. Net GEX was positive for 3 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 1.75.
Notable Days 2008-02-05 : Highest Volume — 136,056 contracts2008-02-28 : Largest IV spike — 21.4% change2008-02-12 : Highest IV Rank — 63.7%2008-02-12 : Largest Expected Move — 27.2%Monthly Statistics Metric Avg Min Max Open Close Price $17.27 $14.80 $21.82 $21.82 $14.80 Max Pain $17.90 $15.00 $19.00 $15.00 $17.50 ATM IV 78.0% 57.9% 95.8% 72.5% 81.0% Expected Move 22.0% 16.6% 27.2% 20.8% 23.2% HV 20d 99.8% 83.0% 113.9% 98.1% 83.0% HV 60d 88.0% 84.0% 95.3% 92.1% 84.8% IV Rank 50.2% 34.8% 63.7% 45.9% 52.5% IV Percentile 79.5% 66.7% 95.2% 79.8% 79.4% Term Structure 5.0% -11.6% 13.7% -11.6% 5.6% VWIV 80.3% 61.5% 98.4% 79.5% 84.1% Skew 25d 24.8% 12.8% 34.1% 12.8% 22.4% Skew 10d 49.1% 19.9% 65.0% 19.9% 37.3% Call IV 25d 66.5% 52.7% 77.2% 71.4% 71.5% Put IV 25d 91.3% 75.0% 109.8% 84.1% 93.9% Bid-Ask Spread % 11.00 9.04 14.02 14.02 9.55 Gamma HHI 0.12 0.10 0.16 0.12 0.16 Net GEX -667.0K -2.8M 2.3M 2.3M -2.8M Net DEX -1.8M -338.3M 165.4M -338.3M 165.4M Net VEX -2.7M -3.0M -2.4M -2.5M -2.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.75 0.55 5.84 0.99 4.09 Total Volume 50,711.7 10,688 136,056 89,101 42,302 Total OI 959,559.2 818,622 1,049,497 818,622 1,015,843
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 2008-02-01 $21.82 $15.00 72.5% 20.8% 98.1% 45.9% 79.5% 12.8% -11.6% 2.3M -338.3M -2.5M 0.99 14.02 N/A N/A 44,806 44,295 392,267 426,355 2008-02-04 $19.16 $17.50 84.0% 21.1% 109.6% 54.7% 73.6% 21.7% -0.1% 653.9K -153.7M -2.4M 1.49 9.98 N/A N/A 40,380 60,350 389,832 450,815 2008-02-05 $18.08 $19.00 90.9% 23.2% 112.8% 60.0% 81.5% 24.6% 1.5% -28.0K -52.1M -2.5M 1.62 10.71 N/A N/A 51,858 84,198 398,559 481,071 2008-02-06 $17.12 $19.00 88.7% 23.2% 112.9% 58.3% 82.3% 26.1% 2.4% -247.0K 19.3M -2.7M 1.76 11.96 N/A N/A 22,377 39,367 432,565 530,152 2008-02-07 $18.58 $19.00 81.4% 22.5% 113.9% 52.7% 91.4% 31.3% 0.3% 101.1K -83.7M -3.0M 1.37 10.94 N/A N/A 32,068 43,877 435,612 541,402 2008-02-08 $18.08 $19.00 87.4% 24.8% 106.2% 57.3% 96.5% 30.0% 0.2% -130.9K -56.6M -3.0M 1.27 10.82 N/A N/A 14,831 18,894 438,018 557,638 2008-02-11 $16.80 $19.00 88.9% 25.5% 110.0% 58.5% 98.4% 32.6% 1.1% -760.4K 32.0M -2.8M 1.37 13.82 N/A N/A 19,720 26,926 439,582 569,914 2008-02-12 $16.62 $19.00 95.8% 27.2% 109.5% 63.7% 92.3% 34.1% 2.6% -842.7K 28.9M -3.0M 0.66 11.15 N/A N/A 29,248 19,227 443,953 576,437 2008-02-13 $16.48 $19.00 85.2% 26.2% 107.4% 55.6% 87.2% 29.1% 4.0% -1.0M 58.9M -2.8M 0.55 11.08 N/A N/A 12,720 7,040 452,988 583,905 2008-02-14 $16.86 $17.50 82.4% 23.6% 107.1% 53.5% 82.6% 27.6% 2.8% -718.5K 24.1M -2.8M 1.10 11.25 N/A N/A 15,206 16,741 455,944 578,881 2008-02-15 $17.01 $17.50 78.8% 22.6% 102.5% 50.7% 86.2% 26.0% 5.4% -268.4K 12.0M -2.8M 0.69 9.24 N/A N/A 25,108 17,408 462,270 587,227 2008-02-19 $16.59 $17.50 82.3% 23.6% 100.1% 53.4% 74.8% 25.3% 7.0% -1.1M 41.1M -2.7M 1.25 11.54 N/A N/A 17,535 21,924 397,287 499,093 2008-02-20 $17.09 $17.50 69.6% 20.0% 96.4% 43.8% 70.6% 23.9% 8.7% -916.7K 16.2M -2.7M 1.70 13.56 N/A N/A 13,658 23,175 403,230 498,946 2008-02-21 $16.72 $17.50 74.3% 21.3% 92.2% 47.3% 70.9% 22.9% 11.2% -1.1M 35.7M -2.7M 1.49 9.04 N/A N/A 7,662 11,406 409,339 511,290 2008-02-22 $16.90 $17.50 65.9% 18.9% 90.4% 40.9% 69.7% 19.0% 10.8% -941.0K 16.0M -2.7M 0.70 9.58 N/A N/A 6,270 4,418 412,676 515,475 2008-02-25 $17.07 $17.50 63.5% 18.2% 88.5% 39.1% 70.9% 20.0% 12.1% -946.3K 19.9M -2.7M 5.84 9.66 N/A N/A 9,375 54,707 413,648 515,426 2008-02-26 $17.17 $17.50 59.9% 17.2% 86.4% 36.3% 70.6% 22.3% 12.2% -1.1M 22.7M -2.8M 3.00 11.75 N/A N/A 11,329 33,990 416,768 554,904 2008-02-27 $16.79 $17.50 57.9% 16.6% 84.2% 34.8% 61.5% 21.7% 13.7% -1.4M 47.4M -2.8M 1.82 9.19 N/A N/A 7,485 13,610 429,563 567,989 2008-02-28 $15.73 $17.50 70.3% 20.2% 85.5% 44.3% 81.4% 23.6% 9.6% -2.1M 109.1M -2.6M 2.30 11.26 N/A N/A 14,757 33,986 432,077 572,243 2008-02-29 $14.80 $17.50 81.0% 23.2% 83.0% 52.5% 84.1% 22.4% 5.6% -2.8M 165.4M -2.4M 4.09 9.55 N/A N/A 8,314 33,988 431,587 584,256
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