WM Options History — July 2010

In July 2010, WM traded between $31.65 and $34.25. ATM implied volatility averaged 20.1%, placing in the 2.6% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 0.6% (HV 20d: 19.5%). Max pain ranged from $30.00 to $32.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.34.

Notable Days

2010-07-09: Highest Volume — 5,683 contracts
2010-07-15: Largest IV spike — 36.8% change
2010-07-15: Highest IV Rank — 3.6%
2010-07-06: Largest Expected Move — 7.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$33.01	$31.65	$34.25	$31.65	$33.95
Max Pain	$31.90	$30.00	$32.50	$32.50	$32.50
ATM IV	20.1%	15.8%	23.7%	22.6%	15.8%
Expected Move	6.2%	4.5%	7.3%	6.5%	4.5%
HV 20d	19.5%	16.3%	24.5%	24.5%	16.7%
HV 60d	23.1%	22.3%	23.5%	22.3%	22.7%
IV Rank	2.6%	1.4%	3.6%	3.3%	1.4%
IV Percentile	26.5%	8.7%	49.6%	37.7%	8.7%
Term Structure	0.5%	-1.4%	4.8%	4.0%	1.6%
VWIV	21.2%	16.2%	25.8%	23.4%	16.2%
Skew 25d	5.2%	2.3%	7.0%	7.0%	2.3%
Skew 10d	12.7%	4.9%	19.6%	8.8%	4.9%
Call IV 25d	19.6%	14.6%	24.6%	21.4%	15.1%
Put IV 25d	24.8%	17.4%	30.3%	28.4%	17.4%
Bid-Ask Spread %	16.90	9.87	23.42	10.09	16.23
Gamma HHI	0.23	0.21	0.26	0.23	0.21
Net GEX	3.5M	2.2M	4.9M	2.2M	4.8M
Net DEX	-76.5M	-103.2M	-47.0M	-47.4M	-96.6M
Net VEX	-743.0K	-781.8K	-693.8K	-706.4K	-774.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.34	0.04	1.47	0.10	0.13
Total Volume	2,156.762	448	5,683	2,804	448
Total OI	100,221.286	90,589	106,411	99,930	100,576

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
2010-07-01	$31.65	$32.50	22.6%	6.5%	24.5%	3.3%	23.4%	7.0%	4.0%	2.2M	-47.4M	-706.4K	0.10	10.09	N/A	N/A	2,540	264	74,932	24,998
2010-07-02	$31.81	$32.50	20.9%	6.0%	20.3%	2.8%	21.0%	6.7%	4.8%	2.4M	-50.5M	-712.2K	0.33	12.79	N/A	N/A	467	153	76,661	25,118
2010-07-06	$31.73	$30.00	22.5%	7.3%	20.2%	3.2%	25.8%	5.6%	0.1%	2.4M	-47.0M	-693.8K	0.25	11.25	N/A	N/A	714	182	76,749	25,119
2010-07-07	$32.48	$30.00	20.9%	6.9%	21.2%	2.8%	22.5%	5.6%	0.3%	2.8M	-61.6M	-725.5K	0.32	15.01	N/A	N/A	961	309	76,791	25,148
2010-07-08	$32.88	$30.00	18.7%	6.7%	21.6%	2.2%	23.9%	6.1%	0.5%	3.1M	-71.7M	-730.5K	0.14	23.42	N/A	N/A	1,406	190	77,301	25,319
2010-07-09	$32.78	$30.00	18.6%	6.5%	19.4%	2.2%	21.9%	5.8%	0.9%	3.1M	-68.4M	-719.9K	0.04	22.58	N/A	N/A	5,485	198	78,007	25,254
2010-07-12	$32.74	$30.00	21.3%	7.0%	19.4%	2.9%	23.4%	5.4%	-0.7%	3.1M	-70.9M	-742.3K	0.70	22.27	N/A	N/A	733	511	79,262	25,376
2010-07-13	$33.15	$32.50	19.6%	7.0%	19.9%	2.5%	22.1%	5.9%	-0.5%	3.3M	-82.1M	-745.7K	0.19	9.87	N/A	N/A	1,194	226	79,962	25,444
2010-07-14	$33.06	$32.50	17.4%	6.8%	17.9%	1.9%	21.1%	6.0%	-0.3%	3.3M	-80.7M	-744.9K	0.12	10.51	N/A	N/A	1,583	187	80,239	25,588
2010-07-15	$33.18	$32.50	23.7%	6.8%	18.0%	3.6%	22.4%	6.1%	-0.5%	3.2M	-84.6M	-744.9K	0.39	14.20	N/A	N/A	1,039	405	80,233	25,724
2010-07-16	$32.44	$32.50	23.3%	6.7%	19.6%	3.5%	24.3%	5.7%	0.1%	3.3M	-62.5M	-747.0K	1.11	18.96	N/A	N/A	748	829	80,449	25,962
2010-07-19	$32.47	$32.50	22.1%	6.3%	19.5%	3.2%	21.9%	5.5%	0.7%	3.0M	-65.0M	-732.3K	0.04	23.11	N/A	N/A	4,828	189	68,484	22,105
2010-07-20	$32.68	$32.50	21.3%	6.1%	19.7%	2.9%	19.8%	4.9%	-0.6%	3.4M	-70.8M	-729.9K	0.38	18.97	N/A	N/A	2,179	824	70,548	22,280
2010-07-21	$32.61	$32.50	22.4%	6.4%	19.0%	3.2%	22.6%	5.8%	-1.4%	3.5M	-69.8M	-732.0K	0.26	20.16	N/A	N/A	738	194	71,775	22,870
2010-07-22	$33.35	$32.50	18.5%	5.3%	20.3%	2.2%	21.2%	5.3%	2.3%	4.0M	-83.6M	-755.5K	0.36	21.48	N/A	N/A	2,169	771	72,139	22,963
2010-07-23	$33.59	$32.50	18.5%	5.3%	19.3%	2.2%	18.7%	4.2%	0.2%	4.2M	-88.0M	-754.6K	1.47	14.91	N/A	N/A	957	1,403	72,971	23,315
2010-07-26	$34.12	$32.50	18.9%	5.4%	19.8%	2.3%	18.0%	3.3%	-0.7%	4.4M	-99.9M	-778.2K	0.14	19.51	N/A	N/A	1,763	249	73,298	24,528
2010-07-27	$34.13	$32.50	18.9%	5.4%	19.9%	2.3%	18.7%	3.8%	-0.1%	4.5M	-101.4M	-774.5K	0.32	13.50	N/A	N/A	853	275	73,620	24,726
2010-07-28	$34.12	$32.50	19.3%	5.5%	16.7%	2.4%	19.1%	3.3%	-0.2%	4.5M	-101.5M	-781.8K	0.09	20.23	N/A	N/A	5,062	477	74,095	24,865
2010-07-29	$34.25	$32.50	17.3%	5.0%	16.3%	1.9%	16.7%	5.0%	1.3%	4.9M	-103.2M	-775.8K	0.24	15.83	N/A	N/A	1,282	307	74,660	25,193
2010-07-30	$33.95	$32.50	15.8%	4.5%	16.7%	1.4%	16.2%	2.3%	1.6%	4.8M	-96.6M	-774.7K	0.13	16.23	N/A	N/A	397	51	75,228	25,348