WM Options History — March 2010

In March 2010, WM traded between $33.37 and $34.69. ATM implied volatility averaged 15.7%, placing in the 1.2% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 1.4% (HV 20d: 14.3%). Max pain ranged from $32.50 to $32.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 1.27.

Notable Days

2010-03-17: Highest Volume — 6,719 contracts
2010-03-08: Largest IV spike — 64.0% change
2010-03-15: Highest IV Rank — 2.4%
2010-03-15: Largest Expected Move — 5.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$33.94	$33.37	$34.69	$33.37	$34.43
Max Pain	$32.50	$32.50	$32.50	$32.50	$32.50
ATM IV	15.7%	10.5%	19.4%	19.2%	13.6%
Expected Move	4.8%	3.9%	5.6%	5.5%	3.9%
HV 20d	14.3%	8.4%	20.4%	20.4%	8.9%
HV 60d	17.3%	16.7%	18.0%	18.0%	16.7%
IV Rank	1.2%	0.0%	2.4%	1.0%	0.8%
IV Percentile	2.8%	0.0%	10.7%	6.0%	0.8%
Term Structure	3.3%	1.4%	5.4%	1.4%	5.4%
VWIV	17.1%	13.9%	19.3%	17.9%	13.9%
Skew 25d	3.6%	0.5%	5.3%	1.2%	5.2%
Skew 10d	8.0%	0.4%	16.7%	0.4%	7.3%
Call IV 25d	15.3%	12.2%	17.8%	17.8%	13.5%
Put IV 25d	18.9%	17.3%	20.7%	19.1%	18.7%
Bid-Ask Spread %	11.59	5.76	17.92	11.64	6.28
Gamma HHI	0.38	0.34	0.44	0.37	0.44
Net GEX	4.4M	3.6M	5.1M	4.3M	5.1M
Net DEX	-120.2M	-141.4M	-107.0M	-107.0M	-120.3M
Net VEX	-638.7K	-712.0K	-606.6K	-703.9K	-618.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.27	0.06	8.84	0.91	8.84
Total Volume	1,927.87	318	6,719	5,517	2,805
Total OI	99,599.261	91,236	106,503	98,633	98,467

Daily Data (23 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
2010-03-01	$33.37	$32.50	19.2%	5.5%	20.4%	1.0%	17.9%	1.2%	1.4%	4.3M	-107.0M	-703.9K	0.91	11.64	N/A	N/A	2,891	2,626	71,586	27,047
2010-03-02	$33.51	$32.50	18.9%	5.4%	20.4%	0.9%	18.9%	1.5%	2.3%	4.6M	-112.3M	-708.2K	1.20	13.46	N/A	N/A	1,138	1,363	72,971	27,421
2010-03-03	$33.50	$32.50	18.4%	5.3%	20.2%	0.8%	18.3%	0.5%	2.2%	4.6M	-112.6M	-712.0K	0.54	10.54	N/A	N/A	1,083	588	73,381	27,743
2010-03-04	$33.47	$32.50	17.8%	5.1%	20.2%	0.6%	16.6%	5.3%	2.1%	4.7M	-111.3M	-704.6K	0.16	10.14	N/A	N/A	891	139	73,066	27,999
2010-03-05	$33.86	$32.50	10.7%	4.7%	18.7%	0.0%	19.3%	4.2%	3.7%	4.4M	-123.8M	-668.7K	1.32	15.06	N/A	N/A	1,748	2,302	73,197	28,073
2010-03-08	$33.60	$32.50	17.5%	5.5%	19.0%	1.9%	17.8%	3.5%	2.5%	4.4M	-116.2M	-647.4K	0.38	17.57	N/A	N/A	376	143	72,768	28,605
2010-03-09	$33.62	$32.50	10.5%	5.6%	18.1%	0.0%	17.8%	3.5%	2.7%	4.0M	-119.3M	-636.3K	0.65	17.38	N/A	N/A	193	125	72,724	28,657
2010-03-10	$33.49	$32.50	13.7%	5.5%	17.1%	0.9%	19.0%	3.4%	2.5%	4.4M	-112.6M	-638.6K	1.09	14.43	N/A	N/A	288	313	72,729	28,730
2010-03-11	$33.45	$32.50	19.1%	5.5%	16.9%	2.3%	19.1%	3.5%	3.1%	4.4M	-111.9M	-635.1K	2.18	17.92	N/A	N/A	695	1,516	72,765	28,811
2010-03-12	$33.42	$32.50	19.0%	5.4%	17.0%	2.3%	18.6%	3.6%	2.8%	4.0M	-113.9M	-625.3K	1.91	16.73	N/A	N/A	358	684	72,729	29,493
2010-03-15	$33.70	$32.50	19.4%	5.6%	17.0%	2.4%	16.5%	4.0%	2.6%	3.6M	-120.0M	-621.6K	0.28	9.46	N/A	N/A	630	176	72,736	29,679
2010-03-16	$33.88	$32.50	16.1%	4.6%	12.7%	1.5%	16.8%	3.1%	3.1%	3.7M	-126.5M	-617.3K	0.29	11.82	N/A	N/A	674	194	73,172	29,769
2010-03-17	$33.97	$32.50	15.8%	4.5%	12.7%	1.4%	18.9%	3.5%	3.4%	3.7M	-129.6M	-615.7K	0.06	9.31	N/A	N/A	6,346	373	73,630	29,832
2010-03-18	$34.10	$32.50	16.0%	4.6%	12.6%	1.5%	16.7%	3.6%	3.0%	4.2M	-138.8M	-620.8K	0.07	10.00	N/A	N/A	446	29	75,978	29,957
2010-03-19	$34.16	$32.50	14.8%	4.2%	11.7%	1.2%	16.8%	4.0%	3.7%	4.4M	-141.4M	-615.9K	0.30	14.26	N/A	N/A	715	216	76,560	29,943
2010-03-22	$34.27	$32.50	13.9%	4.0%	11.7%	0.9%	17.6%	4.0%	4.6%	4.5M	-116.6M	-607.6K	1.87	9.30	N/A	N/A	638	1,193	67,365	23,871
2010-03-23	$34.69	$32.50	14.3%	4.1%	8.4%	1.0%	14.4%	4.9%	3.9%	4.6M	-125.6M	-610.4K	0.45	5.95	N/A	N/A	686	307	67,607	24,596
2010-03-24	$34.36	$32.50	14.9%	4.3%	9.2%	1.2%	15.3%	5.0%	3.5%	4.5M	-118.4M	-606.6K	0.44	9.05	N/A	N/A	1,148	506	67,857	24,731
2010-03-25	$34.27	$32.50	14.6%	4.2%	9.3%	1.1%	15.8%	3.3%	3.7%	4.5M	-116.9M	-616.4K	0.24	15.48	N/A	N/A	3,529	853	68,445	25,100
2010-03-26	$34.43	$32.50	15.0%	4.3%	9.3%	1.2%	15.1%	3.5%	3.9%	4.9M	-123.0M	-624.2K	1.20	5.76	N/A	N/A	373	449	70,921	25,499
2010-03-29	$34.55	$32.50	15.0%	4.3%	8.8%	1.2%	17.4%	4.8%	4.1%	5.1M	-125.9M	-618.8K	3.38	5.83	N/A	N/A	342	1,155	70,941	25,840
2010-03-30	$34.44	$32.50	14.1%	4.0%	8.9%	1.0%	14.2%	4.6%	4.7%	5.0M	-121.0M	-615.3K	1.45	9.28	N/A	N/A	448	650	71,095	26,697
2010-03-31	$34.43	$32.50	13.6%	3.9%	8.9%	0.8%	13.9%	5.2%	5.4%	5.1M	-120.3M	-618.6K	8.84	6.28	N/A	N/A	285	2,520	71,268	27,199