WM Options History — August 2011 In August 2011, WM traded between $28.17 and $33.90. ATM implied volatility averaged 46.4%, placing in the 77.7% IV rank vs the trailing year. The 30-day expected move averaged 12.9%. IV traded below realized volatility by 3.7% (HV 20d: 50.1%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 6 of 23 trading days. Term structure was in contango for 1 of 23 days. Put/call ratio averaged 1.27.
Notable Days 2011-08-31 : Highest Volume — 63,467 contracts2011-08-08 : Largest IV spike — 44.2% change2011-08-05 : Highest IV Rank — 100.0%2011-08-19 : Largest Expected Move — 16.4%Monthly Statistics Metric Avg Min Max Open Close Price $31.03 $28.17 $33.90 $31.48 $33.04 Max Pain $31.26 $30.00 $35.00 $35.00 $30.00 ATM IV 46.4% 35.7% 62.0% 38.1% 41.8% Expected Move 12.9% 10.2% 16.4% 10.9% 12.0% HV 20d 50.1% 33.0% 64.1% 33.0% 57.5% HV 60d 32.0% 22.0% 39.5% 22.0% 39.5% IV Rank 77.7% 56.6% 100.0% 87.4% 61.8% IV Percentile 98.0% 94.0% 100.0% 99.6% 94.0% Term Structure -4.5% -9.2% 1.4% -2.2% -2.7% VWIV 48.6% 36.0% 80.9% 37.8% 80.9% Skew 25d 10.7% 3.9% 16.6% 6.8% 14.0% Skew 10d 22.5% 2.5% 45.7% 14.0% 32.8% Call IV 25d 41.2% 34.6% 51.9% 35.4% 37.6% Put IV 25d 52.0% 38.5% 64.0% 42.2% 51.6% Bid-Ask Spread % 21.55 14.89 26.95 17.38 26.95 Gamma HHI 0.20 0.12 0.37 0.17 0.14 Net GEX -2.0M -4.4M 1.3M -3.7M 529.6K Net DEX 136.7M -77.4M 262.8M 184.0M -24.3M Net VEX -1.2M -1.5M -916.5K -1.0M -1.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.27 0.02 3.45 0.72 0.02 Total Volume 16,392.522 5,055 63,467 22,528 63,467 Total OI 304,101.391 245,364 346,671 245,364 330,837
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 2011-08-01 $31.48 $35.00 38.1% 10.9% 33.0% 87.4% 37.8% 6.8% -2.2% -3.7M 184.0M -1.0M 0.72 17.38 N/A N/A 13,087 9,441 118,504 126,860 2011-08-02 $30.66 $34.00 35.7% 10.2% 33.3% 80.3% 36.0% 3.9% -3.2% -3.7M 214.0M -921.6K 1.29 21.90 N/A N/A 5,743 7,433 124,829 130,670 2011-08-03 $30.86 $34.00 36.5% 10.5% 33.5% 82.4% 38.8% 4.6% -0.9% -3.6M 201.3M -996.1K 0.71 23.88 N/A N/A 22,335 15,910 127,917 134,708 2011-08-04 $30.07 $34.00 41.7% 12.0% 33.3% 98.3% 42.8% 4.7% -1.9% -3.4M 219.6M -1.1M 1.45 26.14 N/A N/A 2,450 3,548 139,516 145,688 2011-08-05 $30.37 $33.00 43.0% 11.3% 34.2% 100.0% 38.4% 9.0% -1.1% -3.4M 207.9M -1.1M 1.32 18.68 N/A N/A 3,088 4,066 139,862 147,321 2011-08-08 $28.17 $33.00 62.0% 14.5% 41.1% 100.0% 49.2% 11.4% -6.8% -2.7M 262.8M -916.5K 2.30 19.76 N/A N/A 3,439 7,923 141,035 148,819 2011-08-09 $29.40 $33.00 50.7% 13.0% 45.7% 78.7% 47.3% 11.3% -5.0% -3.4M 249.2M -1.0M 0.57 21.27 N/A N/A 10,726 6,152 142,015 152,252 2011-08-10 $28.70 $31.00 60.1% 14.4% 45.9% 96.3% 48.0% 11.8% -6.3% -2.5M 241.2M -1.0M 0.20 21.86 N/A N/A 10,264 2,063 149,764 154,639 2011-08-11 $30.73 $31.00 51.0% 14.6% 54.0% 79.2% 52.8% 10.7% -9.1% -2.2M 161.3M -1.3M 0.68 21.91 N/A N/A 16,731 11,396 153,559 155,657 2011-08-12 $30.79 $30.00 44.9% 12.9% 54.0% 67.6% 51.9% 8.7% -4.7% -2.2M 160.8M -1.3M 1.58 25.25 N/A N/A 2,455 3,870 165,501 164,002 2011-08-15 $30.97 $30.00 40.5% 11.6% 54.2% 59.4% 42.9% 8.6% -3.4% -2.8M 164.7M -1.3M 3.45 20.74 N/A N/A 1,225 4,222 166,018 166,699 2011-08-16 $30.60 $30.00 39.8% 11.4% 53.8% 58.1% 42.7% 8.5% -1.8% -3.3M 193.3M -1.2M 1.94 17.41 N/A N/A 1,722 3,333 166,370 168,800 2011-08-17 $31.20 $30.00 39.0% 11.2% 54.6% 56.6% 40.5% 8.4% -2.3% -2.9M 163.4M -1.2M 1.83 17.56 N/A N/A 2,661 4,868 167,544 171,352 2011-08-18 $29.72 $30.00 48.2% 13.8% 56.0% 73.8% 50.5% 12.6% -6.2% -4.4M 245.6M -1.1M 3.26 18.54 N/A N/A 1,892 6,169 167,792 174,080 2011-08-19 $29.40 $30.00 57.1% 16.4% 56.0% 90.8% 55.5% 12.1% -8.7% -2.4M 260.7M -1.1M 1.48 14.89 N/A N/A 6,513 9,607 168,599 178,072 2011-08-22 $30.12 $31.00 51.1% 14.7% 57.2% 79.5% 51.5% 13.1% -7.5% -2.2M 138.8M -1.2M 0.44 17.60 N/A N/A 7,226 3,170 138,126 141,247 2011-08-23 $32.13 $30.00 53.0% 15.2% 62.9% 83.0% 57.1% 14.4% -9.2% -735.4K 39.1M -1.3M 0.41 24.77 N/A N/A 17,617 7,304 142,780 142,574 2011-08-24 $33.11 $30.00 49.9% 14.3% 64.1% 77.1% 53.4% 15.4% -8.5% 525.5K -30.1M -1.4M 0.40 22.41 N/A N/A 8,943 3,577 152,331 144,307 2011-08-25 $32.48 $30.00 50.8% 14.6% 57.2% 78.8% 51.4% 14.4% -7.6% 292.2K 2.8M -1.4M 1.47 24.26 N/A N/A 3,186 4,680 156,172 145,176 2011-08-26 $32.34 $30.00 46.9% 13.5% 55.6% 71.5% 49.4% 12.6% -3.3% 55.8K 16.9M -1.4M 1.90 25.85 N/A N/A 2,849 5,416 156,805 148,122 2011-08-29 $33.90 $30.00 41.7% 12.0% 57.9% 61.7% 49.4% 16.6% 1.4% 1.3M -77.4M -1.5M 1.22 20.93 N/A N/A 18,104 22,021 157,687 150,358 2011-08-30 $33.47 $30.00 43.0% 12.3% 57.2% 64.1% 49.2% 13.1% -2.9% 766.1K -51.0M -1.5M 0.49 25.63 N/A N/A 3,449 1,687 166,020 163,346 2011-08-31 $33.04 $30.00 41.8% 12.0% 57.5% 61.8% 80.9% 14.0% -2.7% 529.6K -24.3M -1.4M 0.02 26.95 N/A N/A 62,012 1,455 167,246 163,591
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