WM Options History — April 2008

In April 2008, WM traded between $10.17 and $13.15. ATM implied volatility averaged 80.5%, placing in the 35.3% IV rank vs the trailing year. The 30-day expected move averaged 22.2%. IV traded below realized volatility by 68.8% (HV 20d: 149.3%). Max pain ranged from $11.00 to $15.00. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 1.43.

Notable Days

2008-04-08: Highest Volume — 376,469 contracts
2008-04-08: Largest IV drop — 23.1% change
2008-04-07: Highest IV Rank — 61.9%
2008-04-01: Largest Expected Move — 36.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$11.60	$10.17	$13.15	$11.30	$12.29
Max Pain	$12.32	$11.00	$15.00	$15.00	$12.00
ATM IV	80.5%	45.3%	131.7%	126.0%	50.2%
Expected Move	22.2%	13.0%	36.1%	36.1%	14.4%
HV 20d	149.3%	125.8%	181.1%	152.2%	125.8%
HV 60d	123.5%	115.5%	129.0%	115.7%	119.0%
IV Rank	35.3%	17.1%	61.9%	59.0%	19.6%
IV Percentile	67.7%	41.3%	94.4%	92.9%	45.6%
Term Structure	-2.5%	-12.5%	7.4%	-11.3%	4.9%
VWIV	81.1%	49.7%	140.6%	140.6%	50.8%
Skew 25d	13.6%	4.0%	29.1%	29.1%	4.0%
Skew 10d	27.2%	8.8%	52.4%	52.4%	8.8%
Call IV 25d	72.4%	45.9%	112.2%	112.2%	51.1%
Put IV 25d	86.0%	54.8%	141.3%	141.3%	55.1%
Bid-Ask Spread %	5.95	3.77	9.74	3.77	5.56
Gamma HHI	0.15	0.10	0.23	0.14	0.12
Net GEX	-2.3M	-6.4M	268.7K	-1.3M	-649.2K
Net DEX	127.9M	-18.3M	285.8M	144.4M	12.6M
Net VEX	-1.8M	-2.2M	-1.5M	-2.0M	-1.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.43	0.48	3.58	2.40	1.20
Total Volume	83,996.318	15,370	376,469	58,520	21,539
Total OI	1,299,707.545	994,189	1,574,791	1,187,535	1,110,700

Daily Data (22 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
2008-04-01	$11.30	$15.00	126.0%	36.1%	152.2%	59.0%	140.6%	29.1%	-11.3%	-1.3M	144.4M	-2.0M	2.40	3.77	N/A	N/A	17,236	41,284	539,270	648,265
2008-04-02	$11.76	$15.00	108.4%	31.1%	153.1%	49.8%	115.7%	24.5%	-3.3%	-1.4M	127.4M	-2.0M	1.24	4.81	N/A	N/A	22,069	27,363	545,264	673,818
2008-04-03	$11.49	$15.00	115.0%	33.0%	152.6%	53.3%	127.5%	21.7%	-4.7%	-1.4M	138.1M	-2.0M	3.58	4.06	N/A	N/A	7,648	27,372	552,707	683,928
2008-04-04	$10.17	$11.00	128.0%	33.5%	155.7%	60.0%	115.4%	24.5%	-8.6%	-2.2M	210.3M	-1.8M	1.46	6.21	N/A	N/A	34,169	49,978	551,489	695,314
2008-04-07	$13.15	$11.00	131.7%	30.1%	178.1%	61.9%	117.6%	26.7%	-8.6%	-775.3K	48.7M	-2.2M	1.44	4.24	N/A	N/A	147,977	213,324	558,526	710,328
2008-04-08	$11.81	$12.00	101.2%	24.9%	181.1%	46.1%	89.2%	12.3%	-12.5%	-3.0M	168.5M	-1.9M	1.81	8.96	N/A	N/A	133,865	242,604	584,809	820,732
2008-04-09	$11.45	$12.00	96.3%	23.5%	171.2%	43.6%	84.6%	13.9%	-5.0%	-4.0M	199.0M	-2.0M	0.92	6.56	N/A	N/A	65,620	60,219	642,857	908,479
2008-04-10	$11.42	$12.00	85.1%	24.4%	171.1%	37.7%	85.4%	13.7%	-7.3%	-3.3M	164.0M	-2.0M	0.78	8.18	N/A	N/A	24,479	19,189	655,685	911,732
2008-04-11	$10.95	$12.00	88.1%	25.3%	170.9%	39.3%	91.4%	14.1%	-9.8%	-4.6M	239.5M	-1.9M	2.00	6.97	N/A	N/A	23,648	47,327	651,384	909,494
2008-04-14	$10.35	$12.00	93.7%	26.9%	165.1%	42.2%	95.0%	13.8%	-11.4%	-5.5M	285.8M	-1.7M	3.27	6.94	N/A	N/A	18,971	61,969	655,805	910,819
2008-04-15	$10.66	$12.00	87.3%	25.0%	157.4%	38.9%	91.0%	12.5%	-9.8%	-5.0M	268.7M	-1.7M	1.99	9.74	N/A	N/A	16,137	32,081	651,731	913,690
2008-04-16	$10.90	$12.00	73.7%	21.1%	149.9%	31.8%	75.4%	7.8%	-1.9%	-6.4M	255.4M	-1.5M	1.00	4.63	N/A	N/A	53,003	53,120	654,773	917,230
2008-04-17	$11.66	$12.00	63.5%	18.2%	148.8%	26.5%	67.0%	10.2%	5.0%	-3.9M	181.0M	-1.5M	0.97	6.56	N/A	N/A	26,983	26,152	659,189	915,558
2008-04-18	$11.89	$12.00	57.9%	16.6%	135.5%	23.7%	60.5%	8.2%	0.5%	-2.3M	120.2M	-1.8M	0.73	5.59	N/A	N/A	49,876	36,274	664,327	910,464
2008-04-21	$11.43	$12.00	56.4%	16.2%	135.6%	22.9%	56.7%	10.8%	6.0%	-1.6M	85.6M	-1.5M	2.08	5.46	N/A	N/A	25,376	52,745	445,444	549,936
2008-04-22	$11.37	$12.00	57.0%	16.3%	134.2%	23.2%	56.9%	9.6%	5.3%	-1.7M	83.7M	-1.5M	0.56	5.31	N/A	N/A	11,504	6,476	445,302	548,887
2008-04-23	$11.04	$12.00	55.5%	15.9%	130.0%	22.4%	55.1%	7.4%	7.4%	-2.0M	86.5M	-1.6M	0.68	6.74	N/A	N/A	9,153	6,217	468,891	584,650
2008-04-24	$12.16	$12.00	53.1%	15.2%	130.3%	21.2%	54.7%	9.4%	0.8%	-756.1K	34.6M	-1.7M	0.48	6.85	N/A	N/A	31,794	15,404	473,128	584,110
2008-04-25	$12.69	$12.00	45.3%	13.0%	129.7%	17.1%	49.7%	8.9%	3.7%	268.7K	-18.3M	-1.9M	1.00	4.88	N/A	N/A	22,486	22,381	494,103	589,739
2008-04-28	$12.60	$12.00	48.2%	13.8%	129.8%	18.6%	52.7%	7.6%	2.0%	-39.7K	-10.2M	-1.8M	0.76	4.78	N/A	N/A	13,125	9,945	498,462	599,335
2008-04-29	$12.59	$12.00	48.8%	14.0%	126.1%	18.9%	52.2%	8.3%	3.4%	-88.4K	-10.4M	-1.8M	1.19	4.21	N/A	N/A	9,059	10,778	501,869	601,343
2008-04-30	$12.29	$12.00	50.2%	14.4%	125.8%	19.6%	50.8%	4.0%	4.9%	-649.2K	12.6M	-1.7M	1.20	5.56	N/A	N/A	9,780	11,759	504,423	606,277