WM Options History — December 2010

In December 2010, WM traded between $34.55 and $36.87. ATM implied volatility averaged 14.4%, placing in the 20.0% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 2.4% (HV 20d: 12.0%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.63.

Notable Days

2010-12-31: Highest Volume — 9,352 contracts
2010-12-13: Largest IV spike — 16.0% change
2010-12-14: Highest IV Rank — 29.3%
2010-12-02: Largest Expected Move — 4.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$35.93	$34.55	$36.87	$34.55	$36.87
Max Pain	$32.73	$30.00	$35.00	$35.00	$32.50
ATM IV	14.4%	12.3%	16.9%	15.7%	13.7%
Expected Move	4.1%	3.5%	4.6%	4.5%	3.9%
HV 20d	12.0%	8.0%	13.7%	11.3%	8.0%
HV 60d	12.4%	11.2%	13.2%	12.5%	11.2%
IV Rank	20.0%	12.3%	29.3%	24.9%	17.5%
IV Percentile	10.3%	1.2%	32.5%	18.7%	5.6%
Term Structure	2.6%	1.0%	3.7%	1.1%	3.7%
VWIV	15.6%	12.2%	24.7%	16.9%	15.1%
Skew 25d	3.5%	1.8%	5.7%	5.2%	3.7%
Skew 10d	8.6%	1.7%	15.2%	8.7%	8.5%
Call IV 25d	13.0%	11.3%	14.9%	13.3%	12.6%
Put IV 25d	16.4%	14.3%	19.6%	18.5%	16.3%
Bid-Ask Spread %	17.75	10.02	42.50	42.50	10.36
Gamma HHI	0.20	0.16	0.27	0.16	0.26
Net GEX	5.8M	4.1M	7.5M	4.1M	6.9M
Net DEX	-120.7M	-147.4M	-73.2M	-73.2M	-147.4M
Net VEX	-624.1K	-652.1K	-598.3K	-603.3K	-652.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.63	0.03	3.66	0.53	0.24
Total Volume	2,142.727	422	9,352	1,325	9,352
Total OI	107,232.455	104,133	111,267	104,133	108,433

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
2010-12-01	$34.55	$35.00	15.7%	4.5%	11.3%	24.9%	16.9%	5.2%	1.1%	4.1M	-73.2M	-603.3K	0.53	42.50	N/A	N/A	864	461	70,688	33,445
2010-12-02	$34.98	$35.00	15.9%	4.6%	12.3%	25.5%	15.9%	2.5%	1.0%	4.4M	-85.2M	-607.9K	0.08	34.85	N/A	N/A	2,155	173	70,844	33,494
2010-12-03	$34.80	$35.00	14.8%	4.2%	12.4%	21.3%	14.9%	4.6%	1.1%	4.4M	-84.6M	-621.9K	0.51	31.53	N/A	N/A	498	253	72,132	33,476
2010-12-06	$34.68	$32.50	15.8%	4.5%	12.0%	25.0%	24.7%	4.7%	3.0%	4.2M	-80.3M	-601.6K	0.05	18.44	N/A	N/A	2,380	113	72,468	33,589
2010-12-07	$34.73	$32.50	15.6%	4.5%	11.6%	24.4%	18.2%	4.9%	2.7%	4.2M	-80.8M	-606.1K	0.11	21.49	N/A	N/A	2,125	244	72,472	33,621
2010-12-08	$34.89	$32.50	14.5%	4.4%	11.8%	20.3%	17.4%	4.1%	2.8%	4.6M	-85.9M	-612.8K	0.58	18.89	N/A	N/A	2,289	1,329	72,720	33,775
2010-12-09	$35.35	$32.50	14.3%	4.5%	12.7%	19.7%	16.7%	5.7%	2.9%	4.7M	-99.2M	-627.3K	0.73	21.40	N/A	N/A	524	385	73,635	33,813
2010-12-10	$35.87	$32.50	13.5%	4.2%	13.5%	16.5%	15.1%	3.5%	2.8%	5.8M	-121.8M	-626.1K	0.26	20.27	N/A	N/A	1,377	355	73,784	33,908
2010-12-13	$36.19	$32.50	15.6%	4.2%	13.7%	24.5%	16.1%	3.1%	3.4%	6.1M	-133.0M	-641.7K	0.23	14.49	N/A	N/A	2,547	596	74,000	33,896
2010-12-14	$36.36	$32.50	16.9%	4.4%	13.7%	29.3%	16.0%	2.9%	2.7%	6.3M	-142.0M	-627.9K	0.94	16.44	N/A	N/A	801	755	74,951	33,846
2010-12-15	$36.17	$32.50	14.7%	4.2%	13.7%	20.9%	15.9%	3.7%	3.3%	6.3M	-133.7M	-641.5K	0.03	10.02	N/A	N/A	4,137	123	74,939	33,732
2010-12-16	$36.26	$30.00	14.7%	4.2%	13.7%	21.2%	15.6%	2.9%	2.8%	6.6M	-142.3M	-633.0K	0.50	12.05	N/A	N/A	2,289	1,135	77,585	33,682
2010-12-17	$36.28	$32.50	14.1%	4.0%	13.3%	18.7%	14.0%	2.1%	3.5%	5.8M	-141.2M	-641.9K	0.28	11.36	N/A	N/A	1,592	446	76,265	34,601
2010-12-20	$36.30	$32.50	13.4%	3.8%	13.3%	16.2%	14.1%	2.6%	3.1%	6.1M	-130.0M	-633.9K	0.72	13.87	N/A	N/A	1,175	842	72,518	32,365
2010-12-21	$36.40	$32.50	13.3%	3.8%	13.3%	16.0%	14.4%	3.5%	2.5%	6.4M	-132.5M	-630.7K	3.66	10.45	N/A	N/A	316	1,155	73,297	32,501
2010-12-22	$36.49	$32.50	13.4%	3.8%	12.7%	16.3%	14.5%	3.6%	2.5%	6.6M	-135.0M	-598.3K	0.78	10.24	N/A	N/A	518	402	73,437	33,146
2010-12-23	$36.49	$32.50	13.9%	4.0%	12.2%	18.0%	13.1%	2.9%	2.3%	6.6M	-136.4M	-605.5K	0.67	13.54	N/A	N/A	428	287	73,740	33,329
2010-12-27	$36.62	$32.50	14.4%	4.1%	11.3%	19.9%	15.8%	2.5%	1.4%	6.7M	-138.9M	-633.8K	1.89	17.22	N/A	N/A	146	276	73,979	33,539
2010-12-28	$36.66	$32.50	14.2%	4.1%	9.4%	19.3%	12.8%	1.8%	1.6%	6.8M	-141.8M	-633.8K	0.29	13.40	N/A	N/A	573	165	74,053	33,573
2010-12-29	$36.80	$32.50	12.6%	3.6%	8.9%	13.1%	14.2%	2.7%	3.4%	6.9M	-145.3M	-634.4K	0.47	12.09	N/A	N/A	539	252	74,155	33,568
2010-12-30	$36.82	$32.50	12.3%	3.5%	8.7%	12.3%	12.2%	2.8%	3.6%	7.5M	-144.7M	-614.7K	0.37	15.65	N/A	N/A	560	208	74,418	33,702
2010-12-31	$36.87	$32.50	13.7%	3.9%	8.0%	17.5%	15.1%	3.7%	3.7%	6.9M	-147.4M	-652.1K	0.24	10.36	N/A	N/A	7,528	1,824	74,648	33,785