WM Options History — August 2008 In August 2008, WM traded between $3.53 and $5.32. ATM implied volatility averaged 105.0%, placing in the 26.4% IV rank vs the trailing year. The 30-day expected move averaged 31.1%. IV traded below realized volatility by 53.6% (HV 20d: 158.6%). Max pain ranged from $4.00 to $5.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.55.
Notable Days 2008-08-08 : Highest Volume — 220,931 contracts2008-08-12 : Largest IV spike — 32.2% change2008-08-12 : Highest IV Rank — 36.7%2008-08-13 : Largest Expected Move — 36.6%Monthly Statistics Metric Avg Min Max Open Close Price $4.34 $3.53 $5.32 $5.32 $4.05 Max Pain $4.86 $4.00 $5.00 $5.00 $4.00 ATM IV 105.0% 84.2% 133.5% 108.7% 100.4% Expected Move 31.1% 24.2% 36.6% 31.2% 28.8% HV 20d 158.6% 87.9% 244.0% 242.5% 90.5% HV 60d 157.6% 153.9% 160.8% 153.9% 160.8% IV Rank 26.4% 18.8% 36.7% 27.7% 24.7% IV Percentile 71.0% 50.0% 85.7% 75.0% 67.1% Term Structure 25.4% 12.2% 54.7% 12.2% 35.1% VWIV 111.1% 95.8% 126.9% 113.3% 103.0% Skew 25d 15.6% -23.0% 38.5% -1.3% 20.0% Skew 10d 22.5% -19.5% 67.8% 7.9% 29.1% Call IV 25d 111.2% 86.4% 161.3% 125.1% 100.5% Put IV 25d 126.8% 105.7% 143.0% 123.8% 120.5% Bid-Ask Spread % 4.60 2.92 7.05 4.55 5.38 Gamma HHI 0.13 0.10 0.20 0.10 0.11 Net GEX 128.0K -430.9K 489.5K 133.1K 475.5K Net DEX 6.8M -19.1M 38.9M -12.8M 8.1M Net VEX -859.4K -1.0M -686.2K -1.0M -876.5K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.55 0.14 1.21 1.21 0.46 Total Volume 54,862.952 17,431 220,931 87,045 33,129 Total OI 1,461,415.238 1,355,176 1,697,756 1,365,342 1,447,530
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 2008-08-01 $5.32 $5.00 108.7% 31.2% 242.5% 27.7% 113.3% -1.3% 12.2% 133.1K -12.8M -1.0M 1.21 4.55 N/A N/A 39,345 47,700 708,667 656,675 2008-08-04 $4.87 $5.00 102.6% 35.1% 244.0% 25.5% 124.9% 35.6% 14.8% -342.1K 23.3M -911.3K 0.96 6.42 N/A N/A 19,078 18,327 714,920 680,484 2008-08-05 $5.22 $5.00 96.5% 32.0% 238.5% 23.3% 107.5% 37.3% 19.6% -16.5K -5.8M -903.5K 0.82 6.88 N/A N/A 22,223 18,228 718,180 670,136 2008-08-06 $5.30 $5.00 93.7% 29.4% 238.6% 22.2% 98.9% 28.9% 13.0% 71.5K 4.8M -947.4K 0.47 5.98 N/A N/A 27,284 12,949 724,883 669,459 2008-08-07 $4.97 $5.00 99.2% 32.5% 236.0% 24.2% 113.2% 32.9% 13.0% -81.2K 13.2M -871.6K 1.21 5.24 N/A N/A 18,172 21,994 731,395 671,193 2008-08-08 $4.58 $5.00 107.8% 34.6% 236.9% 27.4% 124.2% 14.3% 16.1% -430.9K 38.9M -800.3K 0.25 7.05 N/A N/A 176,236 44,695 733,290 676,756 2008-08-11 $4.74 $5.00 101.0% 32.4% 176.6% 24.9% 116.8% 20.7% 14.5% -127.7K 1.9M -859.0K 0.20 5.56 N/A N/A 50,125 9,931 875,056 681,672 2008-08-12 $4.30 $5.00 133.5% 35.8% 177.7% 36.7% 122.8% 23.0% 29.1% -275.1K 28.3M -783.7K 0.14 4.87 N/A N/A 136,347 19,545 884,769 685,972 2008-08-13 $4.12 $5.00 127.1% 36.6% 158.5% 34.4% 126.9% 11.9% 33.6% -314.2K 31.1M -887.3K 0.48 4.03 N/A N/A 58,432 28,150 967,120 686,545 2008-08-14 $4.36 $5.00 112.3% 32.2% 155.7% 29.0% 106.9% 22.9% 32.5% 169.7K 20.4M -919.8K 0.50 4.83 N/A N/A 33,160 16,541 1,000,012 685,398 2008-08-15 $4.55 $5.00 97.6% 28.0% 142.4% 23.7% 105.3% 19.6% 22.1% 489.5K 684.2K -959.3K 0.78 4.33 N/A N/A 20,529 15,969 1,020,110 677,646 2008-08-18 $4.21 $5.00 114.0% 32.7% 142.4% 29.6% 114.5% -4.9% 19.6% 347.7K -17.4M -888.8K 0.38 4.41 N/A N/A 46,848 17,625 852,647 502,529 2008-08-19 $4.10 $5.00 112.5% 32.3% 139.8% 29.1% 112.3% 16.4% 24.4% 367.4K -14.5M -877.0K 0.45 3.81 N/A N/A 19,342 8,649 884,778 512,745 2008-08-20 $4.10 $5.00 112.8% 32.3% 116.4% 29.2% 113.7% 25.1% 28.4% 447.7K 3.8M -886.7K 0.45 3.32 N/A N/A 22,102 9,868 891,549 514,813 2008-08-21 $3.90 $5.00 104.4% 29.9% 106.2% 26.1% 103.8% -23.0% 37.4% 355.4K -19.1M -844.7K 0.76 3.44 N/A N/A 10,575 7,985 897,153 516,601 2008-08-22 $3.83 $5.00 112.0% 32.1% 105.0% 28.9% 115.3% -20.9% 24.8% 341.8K -3.4M -815.8K 0.37 3.19 N/A N/A 26,191 9,566 901,274 514,491 2008-08-25 $3.60 $5.00 84.2% 24.2% 106.6% 18.8% 109.8% 20.5% 24.8% 331.5K -2.0M -737.1K 0.43 2.99 N/A N/A 12,201 5,230 911,094 515,529 2008-08-26 $3.59 $5.00 89.6% 25.7% 96.9% 20.8% 97.9% 38.5% 54.7% 243.8K 8.6M -686.2K 0.41 2.92 N/A N/A 16,431 6,799 913,458 516,247 2008-08-27 $3.53 $4.00 101.3% 29.0% 92.4% 25.0% 105.2% 4.5% 33.2% 188.5K 22.0M -785.7K 0.49 2.94 N/A N/A 13,219 6,431 919,455 518,155 2008-08-28 $3.87 $4.00 93.4% 26.8% 87.9% 22.1% 95.8% 4.8% 30.0% 313.1K 12.5M -804.3K 0.27 4.54 N/A N/A 19,677 5,294 923,539 515,795 2008-08-29 $4.05 $4.00 100.4% 28.8% 90.5% 24.7% 103.0% 20.0% 35.1% 475.5K 8.1M -876.5K 0.46 5.38 N/A N/A 22,714 10,415 931,624 515,906
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