WM Options History — March 2008

In March 2008, WM traded between $9.24 and $13.65. ATM implied volatility averaged 135.4%, placing in the 74.4% IV rank vs the trailing year. The 30-day expected move averaged 38.6%. IV traded above realized volatility by 27.7% (HV 20d: 107.7%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 1.95.

Notable Days

  • 2008-03-07: Highest Volume — 324,142 contracts
  • 2008-03-07: Largest IV spike — 35.0% change
  • 2008-03-07: Highest IV Rank — 100.0%
  • 2008-03-17: Largest Expected Move — 58.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.36$9.24$13.65$13.65$10.30
Max Pain$15.70$15.00$17.50$17.50$15.00
ATM IV135.4%80.5%205.2%80.5%139.6%
Expected Move38.6%23.1%58.8%23.1%40.0%
HV 20d107.7%60.2%150.0%75.6%149.2%
HV 60d99.0%85.2%114.0%85.5%113.9%
IV Rank74.4%52.1%100.0%52.1%66.0%
IV Percentile96.4%78.6%100.0%78.6%96.0%
Term Structure-19.0%-50.8%9.6%9.6%-14.4%
VWIV133.8%73.6%194.8%75.6%149.9%
Skew 25d32.4%9.7%58.3%24.7%29.9%
Skew 10d65.0%5.1%93.0%35.2%53.5%
Call IV 25d119.7%71.6%173.0%71.6%126.1%
Put IV 25d152.1%96.2%231.3%96.2%156.0%
Bid-Ask Spread %9.473.1322.517.624.12
Gamma HHI0.160.120.300.180.14
Net GEX-1.9M-3.5M-468.3K-3.5M-1.3M
Net DEX219.9M74.8M329.4M240.6M178.5M
Net VEX-2.1M-2.4M-1.8M-2.2M-1.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.950.675.501.832.67
Total Volume106,617.324,502324,14278,78955,945
Total OI1,187,9901,029,5871,357,5501,029,5871,170,620

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-03-03$13.65$17.5080.5%23.1%75.6%52.1%75.6%24.7%9.6%-3.5M240.6M-2.2M1.837.62N/AN/A27,79250,997433,405596,182
2008-03-04$13.39$17.5089.6%25.7%64.3%59.0%92.2%23.5%7.9%-2.8M230.8M-2.2M1.657.80N/AN/A51,78685,195442,154588,144
2008-03-05$12.80$17.5099.5%28.5%63.4%66.5%73.6%9.7%-1.9%-2.7M247.5M-2.1M2.847.43N/AN/A24,48169,646456,625607,634
2008-03-06$11.76$17.50107.6%30.8%66.6%72.7%107.3%24.8%0.2%-2.6M292.8M-2.0M3.0010.03N/AN/A34,731104,301457,324625,855
2008-03-07$10.71$16.00145.2%38.9%60.2%100.0%133.9%33.4%-27.0%-2.2M287.0M-1.8M5.5011.13N/AN/A49,865274,277404,731634,725
2008-03-10$10.04$16.00159.1%42.7%61.6%100.0%155.7%48.5%-38.7%-2.6M329.4M-1.8M1.999.95N/AN/A26,71453,204483,258751,877
2008-03-11$11.88$16.00120.3%35.0%91.3%73.6%128.2%36.1%-11.7%-2.7M255.3M-2.1M0.748.36N/AN/A92,36768,769494,635709,890
2008-03-12$11.64$16.00127.8%37.1%91.3%78.7%125.5%36.6%-18.3%-2.4M252.9M-2.2M1.259.07N/AN/A42,17552,736542,468732,236
2008-03-13$12.13$15.00126.8%36.3%93.6%78.0%124.2%31.5%-16.5%-2.3M217.5M-2.4M0.689.68N/AN/A70,41147,876552,328747,073
2008-03-14$10.59$15.00162.5%46.6%101.6%100.0%158.1%39.7%-47.1%-1.9M253.2M-2.2M1.9114.46N/AN/A32,45062,020567,866767,869
2008-03-17$9.24$15.00205.2%58.8%108.4%100.0%194.8%58.3%-50.8%-1.6M257.9M-1.9M2.4722.51N/AN/A41,530102,457564,528769,378
2008-03-18$10.60$15.00163.9%47.0%123.7%78.6%157.8%41.0%-38.9%-2.2M268.2M-2.1M1.1911.13N/AN/A57,34468,135579,693776,542
2008-03-19$9.83$15.00160.9%46.1%123.5%77.0%157.4%41.6%-36.7%-2.3M281.1M-1.9M0.679.06N/AN/A54,26336,483587,561769,989
2008-03-20$11.70$15.00148.9%42.7%142.8%70.8%146.9%31.1%-32.3%-675.5K209.8M-2.2M1.247.18N/AN/A43,60454,252591,215760,788
2008-03-24$12.10$15.00131.4%37.7%143.6%61.7%138.7%25.1%-10.5%-603.6K85.2M-2.3M1.099.89N/AN/A35,95039,261500,422586,967
2008-03-25$12.70$15.00128.8%36.9%145.2%60.4%136.3%29.0%-15.1%-468.3K74.8M-2.4M1.359.34N/AN/A12,87517,355513,352590,776
2008-03-26$11.50$15.00132.9%38.1%148.0%62.5%128.6%26.2%-10.7%-768.9K119.2M-2.2M0.739.20N/AN/A14,16110,341518,742597,005
2008-03-27$10.53$15.00136.5%39.1%150.0%64.4%152.3%29.4%-14.2%-887.7K143.0M-2.0M3.748.40N/AN/A15,27757,145522,234599,986
2008-03-28$10.12$15.00140.5%40.3%149.3%66.5%139.1%27.2%-13.1%-1.2M174.1M-1.9M2.513.13N/AN/A26,86867,307526,905636,818
2008-03-31$10.30$15.00139.6%40.0%149.2%66.0%149.9%29.9%-14.4%-1.3M178.5M-1.9M2.674.12N/AN/A15,25940,686535,005635,615