WM Options History — June 2012

In June 2012, WM traded between $32.15 and $33.40. ATM implied volatility averaged 17.6%, placing in the 11.2% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 7.5% (HV 20d: 10.0%). Max pain ranged from $33.00 to $33.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.62.

Notable Days

2012-06-06: Highest Volume — 28,047 contracts
2012-06-21: Largest IV spike — 27.0% change
2012-06-04: Highest IV Rank — 17.7%
2012-06-04: Largest Expected Move — 5.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$32.43	$32.15	$33.40	$32.16	$33.40
Max Pain	$33.00	$33.00	$33.00	$33.00	$33.00
ATM IV	17.6%	13.1%	20.8%	20.5%	14.1%
Expected Move	5.0%	3.7%	5.9%	5.9%	4.0%
HV 20d	10.0%	7.7%	13.1%	12.9%	11.3%
HV 60d	13.4%	13.2%	14.3%	13.7%	14.3%
IV Rank	11.2%	2.2%	17.7%	17.2%	4.3%
IV Percentile	27.0%	1.6%	47.2%	45.2%	6.7%
Term Structure	1.8%	0.5%	3.1%	0.8%	2.5%
VWIV	16.7%	12.9%	22.0%	20.8%	13.9%
Skew 25d	5.8%	3.8%	7.4%	5.2%	6.0%
Skew 10d	12.6%	8.4%	19.1%	10.4%	14.3%
Call IV 25d	14.8%	10.2%	19.3%	19.3%	10.2%
Put IV 25d	20.6%	16.2%	25.7%	24.6%	16.2%
Bid-Ask Spread %	20.64	13.89	37.62	20.36	28.36
Gamma HHI	0.27	0.11	0.39	0.11	0.32
Net GEX	4.6M	1.3M	8.5M	1.5M	8.5M
Net DEX	-29.4M	-77.8M	10.7M	10.2M	-77.8M
Net VEX	-694.6K	-774.1K	-586.0K	-602.0K	-731.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.62	0.07	2.96	0.43	1.00
Total Volume	3,814.81	1,136	28,047	2,152	3,868
Total OI	146,369.905	129,244	157,574	129,244	148,351

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
2012-06-01	$32.16	$33.00	20.5%	5.9%	12.9%	17.2%	20.8%	5.2%	0.8%	1.5M	10.2M	-602.0K	0.43	20.36	N/A	N/A	1,500	652	83,844	45,400
2012-06-04	$32.15	$33.00	20.8%	5.9%	12.8%	17.7%	22.0%	7.4%	0.5%	1.5M	9.7M	-597.5K	0.76	37.62	N/A	N/A	1,255	956	83,835	45,652
2012-06-05	$32.20	$33.00	18.4%	5.7%	12.8%	12.9%	20.4%	6.3%	1.3%	1.3M	10.7M	-586.0K	0.38	23.66	N/A	N/A	826	310	83,871	45,847
2012-06-06	$32.30	$33.00	19.2%	5.8%	12.9%	14.5%	21.3%	7.4%	1.1%	2.1M	-2.2M	-604.7K	0.07	35.11	N/A	N/A	26,290	1,757	84,033	45,945
2012-06-07	$32.40	$33.00	18.9%	5.4%	13.0%	13.9%	15.8%	6.4%	1.7%	5.1M	-34.9M	-774.1K	0.08	18.09	N/A	N/A	2,795	223	108,773	45,288
2012-06-08	$32.48	$33.00	19.1%	5.4%	13.1%	14.2%	15.8%	6.3%	1.6%	5.3M	-42.7M	-766.4K	2.96	25.52	N/A	N/A	796	2,359	110,202	44,920
2012-06-11	$32.22	$33.00	20.5%	5.4%	12.9%	17.1%	16.7%	5.9%	1.8%	5.0M	-31.9M	-750.2K	0.28	15.07	N/A	N/A	2,297	633	110,430	45,634
2012-06-12	$32.39	$33.00	20.1%	5.3%	9.5%	16.2%	18.3%	6.2%	2.0%	5.2M	-34.6M	-746.1K	0.25	17.16	N/A	N/A	1,141	284	110,629	45,413
2012-06-13	$32.40	$33.00	19.1%	5.7%	9.5%	14.3%	20.4%	7.2%	1.3%	5.1M	-37.1M	-761.2K	0.15	18.05	N/A	N/A	4,132	612	110,940	45,377
2012-06-14	$32.36	$33.00	19.9%	5.7%	9.4%	15.9%	17.8%	7.2%	1.3%	4.9M	-37.9M	-762.4K	2.96	17.10	N/A	N/A	807	2,387	111,123	45,538
2012-06-15	$32.50	$33.00	18.5%	5.3%	9.0%	13.1%	15.8%	6.8%	2.0%	4.7M	-39.3M	-746.1K	1.09	19.35	N/A	N/A	1,277	1,392	111,188	46,386
2012-06-18	$32.50	$33.00	16.9%	4.9%	8.9%	10.0%	14.5%	5.6%	1.7%	4.4M	-32.5M	-698.8K	0.21	15.64	N/A	N/A	3,677	768	102,287	40,782
2012-06-19	$32.69	$33.00	13.8%	4.0%	8.3%	3.7%	12.9%	5.6%	2.9%	5.4M	-42.4M	-710.3K	0.27	14.05	N/A	N/A	2,322	633	104,756	41,308
2012-06-20	$32.70	$33.00	13.1%	3.7%	8.0%	2.2%	13.1%	4.7%	3.1%	5.8M	-43.3M	-706.1K	0.39	19.66	N/A	N/A	1,780	700	105,591	41,450
2012-06-21	$32.42	$33.00	16.6%	4.8%	7.7%	9.3%	15.9%	3.9%	2.4%	5.3M	-35.0M	-691.9K	0.34	18.83	N/A	N/A	1,441	485	106,479	40,942
2012-06-22	$32.37	$33.00	15.5%	4.5%	7.7%	7.2%	14.2%	3.8%	2.5%	5.3M	-34.2M	-666.6K	0.16	13.89	N/A	N/A	1,044	169	104,724	40,842
2012-06-25	$32.16	$33.00	16.7%	4.8%	7.9%	9.6%	16.3%	5.0%	1.7%	4.6M	-25.0M	-665.5K	0.24	18.88	N/A	N/A	2,084	501	105,035	40,937
2012-06-26	$32.17	$33.00	16.2%	4.6%	7.9%	8.5%	15.0%	4.3%	2.2%	4.8M	-24.7M	-650.7K	0.22	19.51	N/A	N/A	1,491	326	104,644	41,144
2012-06-27	$32.41	$33.00	16.6%	4.8%	7.8%	9.4%	14.5%	4.0%	2.0%	5.5M	-33.8M	-678.0K	0.33	19.02	N/A	N/A	1,837	598	105,227	41,273
2012-06-28	$32.55	$33.00	14.2%	4.1%	7.7%	4.5%	15.2%	6.8%	2.2%	5.9M	-39.0M	-691.7K	0.38	18.57	N/A	N/A	1,233	473	105,893	41,835
2012-06-29	$33.40	$33.00	14.1%	4.0%	11.3%	4.3%	13.9%	6.0%	2.5%	8.5M	-77.8M	-731.5K	1.00	28.36	N/A	N/A	1,932	1,936	106,435	41,916