WM Options History — March 2011

In March 2011, WM traded between $36.10 and $37.50. ATM implied volatility averaged 19.7%, placing in the 49.1% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 8.7% (HV 20d: 11.0%). Max pain ranged from $35.00 to $36.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 15 of 23 days. Put/call ratio averaged 1.99.

Notable Days

2011-03-08: Highest Volume — 49,288 contracts
2011-03-16: Largest IV spike — 20.5% change
2011-03-16: Highest IV Rank — 70.4%
2011-03-16: Largest Expected Move — 7.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$36.96	$36.10	$37.50	$36.77	$37.34
Max Pain	$35.96	$35.00	$36.00	$36.00	$36.00
ATM IV	19.7%	17.0%	24.4%	22.8%	17.0%
Expected Move	5.6%	4.9%	7.0%	6.5%	4.9%
HV 20d	11.0%	9.0%	13.1%	9.3%	10.5%
HV 60d	9.6%	8.7%	10.1%	9.3%	10.0%
IV Rank	49.1%	36.3%	70.4%	63.2%	36.3%
IV Percentile	68.0%	38.5%	94.8%	90.1%	38.5%
Term Structure	0.4%	-1.9%	2.5%	-1.9%	0.8%
VWIV	23.3%	14.4%	30.4%	28.4%	18.9%
Skew 25d	8.0%	6.5%	10.3%	8.3%	8.1%
Skew 10d	18.9%	11.8%	23.3%	17.7%	19.4%
Call IV 25d	16.8%	12.4%	20.9%	20.9%	12.4%
Put IV 25d	24.8%	20.6%	30.7%	29.2%	20.6%
Bid-Ask Spread %	19.56	14.07	25.73	15.35	18.53
Gamma HHI	0.15	0.13	0.18	0.13	0.17
Net GEX	4.2M	1.9M	6.1M	3.6M	5.7M
Net DEX	-59.1M	-86.8M	-15.7M	-39.2M	-80.6M
Net VEX	-1.2M	-1.4M	-1.1M	-1.1M	-1.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.99	0.10	7.51	0.45	3.63
Total Volume	6,960.913	846	49,288	7,920	3,359
Total OI	188,337.043	173,397	216,441	173,397	216,441

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
2011-03-01	$36.77	$36.00	22.8%	6.5%	9.3%	63.2%	28.4%	8.3%	-1.9%	3.6M	-39.2M	-1.1M	0.45	15.35	N/A	N/A	5,447	2,473	85,059	88,338
2011-03-02	$36.84	$36.00	21.6%	6.2%	9.0%	57.8%	22.9%	6.7%	-1.0%	4.2M	-51.3M	-1.2M	0.38	14.92	N/A	N/A	2,628	997	88,217	89,574
2011-03-03	$37.26	$36.00	20.1%	5.8%	9.9%	50.7%	21.8%	7.3%	-0.6%	5.4M	-73.9M	-1.2M	3.85	14.07	N/A	N/A	539	2,077	89,714	90,230
2011-03-04	$37.21	$36.00	19.9%	5.6%	9.8%	50.0%	23.2%	7.6%	0.2%	5.3M	-72.1M	-1.2M	0.27	23.29	N/A	N/A	2,979	808	89,934	90,716
2011-03-07	$37.24	$35.00	21.9%	5.9%	9.8%	58.9%	23.2%	8.7%	-0.7%	5.1M	-71.1M	-1.2M	5.27	22.05	N/A	N/A	286	1,508	91,604	91,331
2011-03-08	$37.50	$36.00	20.1%	5.6%	9.7%	50.7%	27.5%	6.6%	-0.1%	6.1M	-86.8M	-1.2M	0.10	19.91	N/A	N/A	44,969	4,319	91,666	92,458
2011-03-09	$37.35	$36.00	20.6%	5.5%	9.7%	52.9%	22.7%	7.0%	0.1%	6.0M	-83.4M	-1.2M	2.68	19.49	N/A	N/A	791	2,123	88,255	92,151
2011-03-10	$36.82	$36.00	19.9%	5.7%	10.7%	49.9%	26.9%	6.5%	0.0%	4.2M	-53.2M	-1.2M	1.00	16.01	N/A	N/A	1,055	1,050	88,456	95,228
2011-03-11	$36.87	$36.00	19.4%	5.6%	10.7%	47.5%	17.9%	6.8%	0.3%	4.8M	-58.3M	-1.2M	0.34	18.04	N/A	N/A	2,161	727	88,966	95,639
2011-03-14	$36.98	$36.00	19.4%	5.6%	10.9%	47.5%	21.4%	7.5%	0.6%	5.3M	-61.4M	-1.2M	0.78	16.63	N/A	N/A	475	371	89,913	95,856
2011-03-15	$36.73	$36.00	20.2%	5.8%	10.8%	51.3%	29.5%	8.5%	-0.1%	4.9M	-49.8M	-1.2M	2.76	19.74	N/A	N/A	2,762	7,625	90,156	95,888
2011-03-16	$36.10	$36.00	24.4%	7.0%	12.1%	70.4%	30.4%	10.3%	-1.5%	1.9M	-15.7M	-1.2M	1.95	22.37	N/A	N/A	1,999	3,888	92,291	102,033
2011-03-17	$36.23	$36.00	23.2%	6.6%	12.3%	64.9%	24.3%	9.3%	-0.7%	2.4M	-25.2M	-1.2M	0.95	22.34	N/A	N/A	2,040	1,943	93,818	103,138
2011-03-18	$36.52	$36.00	20.0%	5.7%	12.8%	50.1%	22.4%	9.4%	1.6%	2.8M	-35.8M	-1.2M	7.51	20.11	N/A	N/A	1,174	8,820	95,022	104,149
2011-03-21	$36.76	$36.00	18.6%	5.3%	13.1%	43.9%	25.8%	9.1%	1.9%	2.2M	-45.8M	-1.2M	1.57	23.12	N/A	N/A	3,646	5,740	79,715	98,328
2011-03-22	$36.81	$36.00	18.7%	5.4%	12.8%	44.4%	19.9%	8.1%	1.7%	2.5M	-46.4M	-1.2M	0.46	23.98	N/A	N/A	3,862	1,762	82,482	103,133
2011-03-23	$36.96	$36.00	17.8%	5.1%	12.3%	40.3%	20.0%	8.1%	1.9%	3.5M	-60.0M	-1.3M	0.61	17.15	N/A	N/A	656	400	85,184	104,749
2011-03-24	$37.17	$36.00	17.1%	4.9%	11.6%	36.8%	25.3%	8.5%	2.5%	4.1M	-69.2M	-1.3M	4.20	18.27	N/A	N/A	298	1,252	85,482	104,899
2011-03-25	$37.08	$36.00	17.5%	5.0%	11.6%	38.7%	27.5%	7.8%	1.9%	4.1M	-70.3M	-1.2M	1.74	19.54	N/A	N/A	613	1,068	85,578	106,412
2011-03-28	$37.12	$36.00	18.4%	5.3%	11.5%	42.9%	21.6%	8.0%	1.2%	4.2M	-70.3M	-1.2M	2.74	19.17	N/A	N/A	958	2,624	85,867	106,090
2011-03-29	$37.17	$36.00	18.4%	5.3%	11.1%	43.2%	19.1%	9.0%	0.5%	4.3M	-72.0M	-1.3M	1.72	25.73	N/A	N/A	3,692	6,359	86,432	108,294
2011-03-30	$37.18	$36.00	17.0%	4.9%	11.1%	36.6%	14.4%	7.8%	0.8%	4.8M	-66.6M	-1.3M	0.70	20.00	N/A	N/A	9,306	6,472	88,791	114,075
2011-03-31	$37.34	$36.00	17.0%	4.9%	10.5%	36.3%	18.9%	8.1%	0.8%	5.7M	-80.6M	-1.4M	3.63	18.53	N/A	N/A	726	2,633	96,438	120,003