WM Options History — June 2008 In June 2008, WM traded between $4.80 and $9.00. ATM implied volatility averaged 119.2%, placing in the 53.4% IV rank vs the trailing year. The 30-day expected move averaged 33.6%. IV traded above realized volatility by 32.6% (HV 20d: 86.6%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 1.35.
Notable Days 2008-06-11 : Highest Volume — 183,010 contracts2008-06-06 : Largest IV spike — 97.7% change2008-06-09 : Highest IV Rank — 86.6%2008-06-09 : Largest Expected Move — 45.3%Monthly Statistics Metric Avg Min Max Open Close Price $6.61 $4.80 $9.00 $9.00 $4.93 Max Pain $11.40 $10.00 $12.50 $10.00 $10.00 ATM IV 119.2% 61.9% 180.3% 65.0% 130.9% Expected Move 33.6% 17.7% 45.3% 18.6% 37.5% HV 20d 86.6% 37.8% 105.8% 49.8% 105.8% HV 60d 106.2% 97.4% 116.0% 115.3% 97.4% IV Rank 53.4% 23.1% 86.6% 25.4% 59.2% IV Percentile 84.0% 49.6% 99.6% 53.6% 90.5% Term Structure -11.9% -32.8% 9.8% 9.3% -3.1% VWIV 116.1% 64.5% 152.8% 67.7% 129.8% Skew 25d 32.1% 2.3% 49.3% 2.7% 40.6% Skew 10d 69.3% 7.0% 104.1% 7.4% 59.6% Call IV 25d 105.0% 63.3% 131.4% 67.7% 125.7% Put IV 25d 137.0% 70.4% 176.4% 70.4% 166.3% Bid-Ask Spread % 4.19 2.07 13.07 2.96 2.49 Gamma HHI 0.17 0.14 0.30 0.16 0.25 Net GEX -1.1M -1.6M -781.5K -1.5M -781.5K Net DEX 163.7M 146.8M 183.8M 146.8M 158.9M Net VEX -959.5K -1.4M -506.8K -1.4M -654.7K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.35 0.27 4.14 2.53 0.35 Total Volume 54,360.571 9,788 183,010 34,969 63,866 Total OI 1,163,892.476 1,081,897 1,255,198 1,081,897 1,168,843
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 2008-06-02 $9.00 $10.00 65.0% 18.6% 49.8% 25.4% 67.7% 2.7% 9.3% -1.5M 146.8M -1.4M 2.53 2.96 N/A N/A 9,902 25,067 533,720 548,177 2008-06-03 $8.75 $10.00 64.7% 18.5% 43.4% 25.2% 68.0% 2.3% 9.8% -1.5M 156.3M -1.3M 0.84 3.39 N/A N/A 11,565 9,735 536,893 549,243 2008-06-04 $8.68 $10.00 64.4% 18.5% 41.2% 24.6% 67.3% 3.6% 8.5% -1.6M 156.2M -1.3M 1.02 3.78 N/A N/A 10,563 10,798 542,137 552,544 2008-06-05 $8.61 $10.00 61.9% 17.7% 37.8% 23.1% 64.5% 8.0% 8.9% -1.6M 160.2M -1.3M 0.27 3.07 N/A N/A 7,679 2,109 544,659 554,616 2008-06-06 $7.53 $12.50 122.4% 31.7% 57.0% 55.6% 109.9% 37.0% -15.1% -1.2M 181.4M -1.1M 2.29 13.07 N/A N/A 50,043 114,686 548,063 554,777 2008-06-09 $6.25 $12.50 180.3% 45.3% 82.9% 86.6% 142.3% 45.0% -32.1% -949.3K 180.5M -1.0M 1.09 4.54 N/A N/A 69,450 75,848 563,560 606,460 2008-06-10 $6.68 $12.50 140.5% 41.3% 88.9% 65.0% 131.9% 39.9% -32.6% -910.5K 157.5M -1.1M 0.95 4.09 N/A N/A 38,253 36,454 567,797 592,590 2008-06-11 $6.06 $12.50 165.9% 43.4% 92.8% 78.7% 152.8% 46.1% -29.2% -916.1K 175.9M -932.1K 4.14 3.76 N/A N/A 35,623 147,387 569,216 604,639 2008-06-12 $6.64 $12.50 149.0% 42.7% 101.5% 69.5% 139.6% 46.8% -32.8% -865.5K 150.1M -1.1M 1.37 4.69 N/A N/A 18,788 25,724 580,982 666,932 2008-06-13 $6.67 $12.50 134.9% 38.7% 98.2% 61.9% 130.0% 40.2% -29.7% -1.0M 166.4M -980.1K 0.65 6.03 N/A N/A 13,513 8,777 580,473 651,444 2008-06-16 $6.75 $12.50 135.4% 38.8% 99.0% 62.1% 126.8% 40.2% -32.1% -1.0M 162.4M -1.0M 0.70 3.73 N/A N/A 10,469 7,346 581,471 652,256 2008-06-17 $6.22 $12.50 133.8% 38.3% 101.1% 60.8% 127.0% 35.5% -21.9% -1.0M 183.8M -873.3K 1.11 4.52 N/A N/A 13,530 14,970 582,274 651,454 2008-06-18 $6.26 $12.50 137.6% 39.5% 101.6% 62.9% 139.7% 39.3% -23.9% -1.1M 172.7M -903.2K 3.82 5.10 N/A N/A 13,317 50,904 585,717 652,997 2008-06-19 $6.35 $11.00 125.4% 36.0% 102.1% 56.2% 139.1% 36.3% -13.3% -937.1K 163.6M -906.3K 2.93 4.72 N/A N/A 8,337 24,426 589,336 659,320 2008-06-20 $6.38 $11.00 122.4% 35.1% 102.1% 54.6% 121.7% 28.4% -11.4% -1.0M 163.3M -916.2K 0.44 3.99 N/A N/A 28,672 12,580 591,304 663,894 2008-06-23 $5.96 $11.00 109.9% 31.5% 103.5% 47.7% 110.6% 22.9% -2.6% -1.0M 163.5M -853.8K 0.51 3.22 N/A N/A 11,232 5,713 517,806 597,857 2008-06-24 $5.80 $11.00 109.3% 31.3% 101.2% 47.4% 111.9% 24.3% -2.7% -958.8K 156.8M -745.6K 0.39 2.55 N/A N/A 21,475 8,284 518,412 598,698 2008-06-25 $5.54 $11.00 103.7% 29.7% 101.3% 44.3% 113.8% 40.6% 3.0% -909.3K 160.3M -694.6K 0.78 3.28 N/A N/A 19,346 15,162 525,061 598,524 2008-06-26 $5.04 $11.00 129.8% 37.2% 104.1% 58.6% 127.3% 44.0% -5.7% -785.4K 154.9M -645.4K 1.00 2.91 N/A N/A 23,033 23,030 527,890 600,908 2008-06-27 $4.80 $11.00 116.9% 33.5% 104.2% 51.5% 117.3% 49.3% -0.2% -810.0K 166.5M -506.8K 1.14 2.07 N/A N/A 20,566 23,350 527,890 600,908 2008-06-30 $4.93 $10.00 130.9% 37.5% 105.8% 59.2% 129.8% 40.6% -3.1% -781.5K 158.9M -654.7K 0.35 2.49 N/A N/A 47,244 16,622 546,917 621,926
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