WM Options History — July 2008

In July 2008, WM traded between $3.23 and $5.99. ATM implied volatility averaged 158.4%, placing in the 54.2% IV rank vs the trailing year. The 30-day expected move averaged 45.9%. IV traded below realized volatility by 19.4% (HV 20d: 177.8%). Max pain ranged from $5.00 to $10.00. Net GEX was positive for 2 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 0.75.

Notable Days

2008-07-14: Highest Volume — 227,447 contracts
2008-07-14: Largest IV spike — 122.1% change
2008-07-14: Highest IV Rank — 100.0%
2008-07-14: Largest Expected Move — 88.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$4.90	$3.23	$5.99	$5.25	$5.33
Max Pain	$5.68	$5.00	$10.00	$10.00	$5.00
ATM IV	158.4%	103.6%	307.8%	125.5%	140.7%
Expected Move	45.9%	31.8%	88.2%	36.0%	40.3%
HV 20d	177.8%	96.5%	242.5%	110.8%	242.5%
HV 60d	120.7%	79.2%	154.1%	81.3%	154.1%
IV Rank	54.2%	28.6%	100.0%	56.2%	39.3%
IV Percentile	92.5%	77.4%	100.0%	87.7%	90.9%
Term Structure	-8.1%	-52.0%	18.4%	-0.3%	-4.3%
VWIV	161.5%	107.1%	270.9%	119.9%	146.0%
Skew 25d	41.4%	15.8%	79.9%	37.3%	15.8%
Skew 10d	69.2%	29.8%	118.1%	65.9%	45.1%
Call IV 25d	145.0%	101.3%	231.6%	116.4%	145.0%
Put IV 25d	186.4%	135.6%	305.2%	153.7%	160.8%
Bid-Ask Spread %	5.32	1.98	10.16	1.98	4.32
Gamma HHI	0.16	0.08	0.36	0.21	0.10
Net GEX	-327.6K	-1.0M	636.1K	-705.2K	178.3K
Net DEX	88.8M	1.8M	144.0M	144.0M	1.8M
Net VEX	-707.0K	-941.7K	-440.7K	-717.2K	-941.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.75	0.24	1.50	0.42	0.79
Total Volume	97,221.727	17,392	227,447	41,497	212,473
Total OI	1,204,863.909	946,975	1,402,710	1,202,050	1,318,248

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
2008-07-01	$5.25	$10.00	125.5%	36.0%	110.8%	56.2%	119.9%	37.3%	-0.3%	-705.2K	144.0M	-717.2K	0.42	1.98	N/A	N/A	29,236	12,261	578,766	623,284
2008-07-02	$5.31	$10.00	112.0%	32.1%	111.5%	48.9%	107.1%	40.3%	18.4%	-688.8K	142.6M	-713.8K	0.61	2.87	N/A	N/A	17,485	10,662	592,292	624,912
2008-07-03	$5.38	$10.00	117.4%	33.7%	112.1%	51.8%	113.4%	44.7%	11.4%	-757.7K	131.3M	-736.1K	0.55	2.41	N/A	N/A	11,237	6,155	592,131	627,243
2008-07-07	$5.13	$5.00	122.0%	37.6%	104.8%	54.4%	134.3%	27.6%	-8.6%	-668.5K	142.2M	-716.2K	0.46	5.59	N/A	N/A	13,373	6,180	596,939	625,853
2008-07-08	$5.99	$5.00	103.6%	34.2%	102.6%	44.3%	118.4%	29.6%	-6.7%	-542.1K	137.4M	-790.3K	0.61	6.89	N/A	N/A	25,519	15,550	598,297	625,725
2008-07-09	$5.90	$5.00	110.0%	36.0%	99.4%	47.8%	125.6%	30.6%	-13.1%	-635.7K	135.8M	-773.8K	0.42	6.98	N/A	N/A	44,390	18,801	603,297	627,854
2008-07-10	$5.25	$5.00	138.9%	39.8%	101.9%	63.6%	147.9%	30.4%	-10.9%	-666.8K	138.6M	-717.6K	0.76	7.29	N/A	N/A	15,720	11,916	609,323	626,863
2008-07-11	$4.95	$5.00	138.6%	39.7%	96.5%	63.4%	145.1%	35.7%	-15.0%	-617.3K	133.3M	-650.8K	1.05	7.62	N/A	N/A	22,629	23,652	607,959	626,666
2008-07-14	$3.23	$5.00	307.8%	88.2%	174.8%	100.0%	270.9%	73.6%	-30.2%	-230.8K	107.0M	-440.7K	1.41	10.16	N/A	N/A	94,536	132,911	611,242	628,240
2008-07-15	$3.61	$5.00	233.7%	67.0%	181.9%	74.0%	233.6%	79.9%	-52.0%	-284.2K	125.6M	-462.2K	0.53	4.73	N/A	N/A	52,239	27,927	630,741	655,330
2008-07-16	$4.53	$5.00	164.4%	47.1%	202.4%	49.7%	174.3%	56.5%	-16.0%	-140.7K	136.0M	-581.9K	1.30	6.17	N/A	N/A	50,173	65,262	647,345	650,922
2008-07-17	$4.99	$5.00	166.4%	47.7%	206.2%	50.3%	168.5%	47.7%	9.9%	-1.0M	116.0M	-689.5K	1.50	5.67	N/A	N/A	65,227	97,838	657,605	672,731
2008-07-18	$5.92	$5.00	161.3%	46.3%	216.0%	48.6%	166.8%	59.9%	-19.4%	636.1K	95.6M	-851.6K	0.56	4.48	N/A	N/A	63,079	35,172	676,171	726,539
2008-07-21	$5.48	$5.00	185.0%	53.0%	217.6%	56.7%	166.5%	49.8%	-20.8%	-125.9K	29.3M	-829.1K	0.46	4.34	N/A	N/A	52,187	24,138	479,951	467,024
2008-07-22	$5.82	$5.00	175.5%	50.3%	217.6%	53.4%	181.0%	35.6%	-21.3%	-76.5K	25.1M	-826.2K	0.40	5.31	N/A	N/A	75,155	29,729	495,931	471,897
2008-07-23	$4.65	$5.00	158.6%	45.5%	231.5%	47.4%	159.9%	26.0%	-10.4%	-112.9K	30.4M	-649.2K	0.54	5.63	N/A	N/A	68,650	36,763	529,385	482,291
2008-07-24	$4.03	$5.00	176.9%	50.7%	236.0%	53.8%	196.2%	37.2%	12.7%	-147.5K	44.9M	-595.6K	1.45	6.96	N/A	N/A	82,091	119,245	539,530	493,347
2008-07-25	$3.84	$5.00	196.1%	56.2%	234.5%	59.6%	212.5%	56.1%	6.3%	-118.6K	28.8M	-606.1K	1.30	3.24	N/A	N/A	98,629	128,506	569,202	543,245
2008-07-28	$3.95	$5.00	190.3%	54.6%	234.6%	57.5%	194.2%	36.6%	-3.3%	-258.8K	50.1M	-693.0K	0.67	5.10	N/A	N/A	38,254	25,618	614,764	613,474
2008-07-29	$4.43	$5.00	149.3%	42.8%	238.5%	42.7%	146.5%	36.1%	-6.2%	-196.2K	43.9M	-749.7K	0.24	4.47	N/A	N/A	83,256	20,300	632,236	611,699
2008-07-30	$4.74	$5.00	111.1%	31.8%	238.6%	28.6%	124.4%	24.2%	1.9%	-22.0K	14.0M	-820.6K	0.50	4.77	N/A	N/A	49,808	24,946	687,967	612,545
2008-07-31	$5.33	$5.00	140.7%	40.3%	242.5%	39.3%	146.0%	15.8%	-4.3%	178.3K	1.8M	-941.7K	0.79	4.32	N/A	N/A	118,923	93,550	696,028	622,220