WM Options History — May 2008 In May 2008, WM traded between $9.02 and $12.52. ATM implied volatility averaged 59.8%, placing in the 24.2% IV rank vs the trailing year. The 30-day expected move averaged 17.3%. IV traded below realized volatility by 8.1% (HV 20d: 67.9%). Max pain ranged from $10.00 to $12.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.02.
Notable Days 2008-05-13 : Highest Volume — 71,563 contracts2008-05-05 : Largest IV spike — 22.7% change2008-05-12 : Highest IV Rank — 28.6%2008-05-12 : Largest Expected Move — 19.2%Monthly Statistics Metric Avg Min Max Open Close Price $10.21 $9.02 $12.52 $12.52 $9.02 Max Pain $11.05 $10.00 $12.00 $12.00 $10.00 ATM IV 59.8% 47.5% 67.4% 47.5% 60.7% Expected Move 17.3% 13.6% 19.2% 13.6% 17.4% HV 20d 67.9% 48.0% 125.6% 125.6% 49.7% HV 60d 117.8% 116.4% 118.6% 118.6% 116.4% IV Rank 24.2% 18.3% 28.6% 18.3% 23.1% IV Percentile 50.8% 41.7% 56.3% 41.7% 49.2% Term Structure 5.9% -0.5% 10.0% 3.3% 9.3% VWIV 60.2% 49.4% 66.5% 49.4% 63.6% Skew 25d 8.6% 3.4% 15.5% 3.7% 3.8% Skew 10d 16.8% 3.9% 28.5% 7.3% 5.8% Call IV 25d 57.7% 48.3% 64.8% 48.3% 63.8% Put IV 25d 66.3% 52.1% 72.8% 52.1% 67.6% Bid-Ask Spread % 4.35 3.01 7.30 4.51 3.29 Gamma HHI 0.17 0.12 0.26 0.12 0.17 Net GEX -1.7M -2.8M -68.9K -68.9K -1.6M Net DEX 118.6M -13.5M 165.9M -13.5M 151.1M Net VEX -1.4M -1.8M -890.3K -1.8M -1.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.02 0.25 2.35 1.00 1.39 Total Volume 37,580.619 12,312 71,563 17,212 68,544 Total OI 1,085,679 833,142 1,206,143 1,112,400 1,076,154
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 2008-05-01 $12.52 $12.00 47.5% 13.6% 125.6% 18.3% 49.4% 3.7% 3.3% -68.9K -13.5M -1.8M 1.00 4.51 N/A N/A 8,603 8,609 507,621 604,779 2008-05-02 $12.18 $12.00 49.1% 14.1% 117.2% 19.1% 50.3% 3.6% 5.6% -1.1M 28.3M -1.7M 0.51 3.40 N/A N/A 22,280 11,266 508,837 605,351 2008-05-05 $11.22 $12.00 60.3% 17.5% 76.9% 24.9% 60.8% 13.5% -0.5% -2.2M 99.0M -1.5M 2.18 5.32 N/A N/A 17,267 37,613 512,071 607,332 2008-05-06 $11.50 $12.00 58.5% 17.1% 68.0% 23.9% 58.5% 13.5% 3.0% -1.9M 76.5M -1.6M 0.46 4.69 N/A N/A 23,991 10,945 515,653 601,640 2008-05-07 $10.85 $12.00 61.6% 17.6% 70.2% 25.5% 66.5% 15.5% 3.1% -2.0M 108.3M -1.5M 1.09 7.30 N/A N/A 32,300 35,354 520,814 601,027 2008-05-08 $10.42 $12.00 65.2% 18.6% 71.5% 27.5% 61.7% 14.4% 3.9% -2.4M 137.0M -1.6M 0.42 4.73 N/A N/A 31,620 13,384 541,985 616,976 2008-05-09 $10.34 $12.00 61.6% 18.7% 70.1% 25.6% 64.1% 13.8% 4.9% -2.3M 139.5M -1.5M 2.02 5.02 N/A N/A 9,646 19,471 561,533 617,008 2008-05-12 $10.25 $11.00 67.4% 19.2% 67.3% 28.6% 63.7% 12.5% 4.3% -2.7M 123.5M -890.3K 0.77 5.22 N/A N/A 26,663 20,468 340,354 492,788 2008-05-13 $9.88 $11.00 62.3% 18.3% 67.5% 25.9% 64.3% 13.0% 4.8% -2.8M 162.7M -1.4M 1.46 4.67 N/A N/A 29,140 42,423 572,136 629,368 2008-05-14 $9.78 $11.00 55.5% 17.7% 66.8% 22.4% 60.9% 11.7% 5.0% -2.5M 165.9M -1.4M 0.52 5.52 N/A N/A 22,009 11,335 576,860 613,939 2008-05-15 $10.32 $11.00 57.1% 16.4% 65.0% 23.2% 57.1% 9.1% 8.7% -1.2M 126.3M -1.4M 0.87 3.71 N/A N/A 21,584 18,798 584,603 615,802 2008-05-16 $10.06 $11.00 57.8% 16.6% 64.6% 23.6% 57.3% 6.6% 6.1% -1.8M 146.5M -1.3M 0.50 4.54 N/A N/A 21,506 10,692 590,601 615,542 2008-05-19 $10.04 $11.00 55.5% 15.9% 63.5% 22.4% 55.6% 3.4% 4.2% -1.2M 102.8M -1.4M 0.56 3.01 N/A N/A 14,316 8,071 490,247 490,695 2008-05-20 $9.83 $11.00 55.4% 15.9% 63.8% 22.3% 55.2% 7.9% 10.0% -1.3M 122.1M -1.3M 0.49 3.70 N/A N/A 8,287 4,025 493,908 493,099 2008-05-21 $9.40 $11.00 61.7% 17.7% 64.7% 25.6% 60.3% 6.2% 8.4% -1.3M 128.8M -1.2M 2.17 3.65 N/A N/A 10,273 22,283 497,044 493,897 2008-05-22 $9.45 $10.00 61.9% 17.8% 52.0% 25.7% 60.5% 6.2% 7.9% -1.3M 125.8M -1.4M 2.35 3.39 N/A N/A 13,983 32,867 501,365 512,371 2008-05-23 $9.16 $10.00 61.0% 17.5% 48.0% 23.7% 62.8% 4.3% 6.3% -1.5M 140.0M -1.3M 1.38 3.51 N/A N/A 7,421 10,253 508,507 531,452 2008-05-27 $9.50 $10.00 66.6% 19.1% 51.5% 26.7% 65.5% 6.8% 7.8% -1.4M 132.9M -1.3M 0.25 4.97 N/A N/A 23,879 6,066 510,481 534,536 2008-05-28 $9.40 $10.00 65.1% 18.7% 51.3% 25.9% 63.0% 5.9% 9.5% -1.5M 136.4M -1.3M 0.57 3.07 N/A N/A 16,386 9,284 514,816 534,471 2008-05-29 $9.19 $10.00 63.2% 18.1% 51.2% 24.9% 63.2% 5.3% 7.5% -1.6M 150.6M -1.4M 0.53 4.06 N/A N/A 17,201 9,087 521,252 540,344 2008-05-30 $9.02 $10.00 60.7% 17.4% 49.7% 23.1% 63.6% 3.8% 9.3% -1.6M 151.1M -1.4M 1.39 3.29 N/A N/A 28,633 39,911 529,738 546,416
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