WM Options History — July 2012

In July 2012, WM traded between $31.59 and $34.58. ATM implied volatility averaged 20.0%, placing in the 16.1% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 0.5% (HV 20d: 19.5%). Max pain ranged from $33.00 to $34.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 2.25.

Notable Days

2012-07-02: Highest Volume — 26,932 contracts
2012-07-26: Largest IV drop — 34.9% change
2012-07-25: Highest IV Rank — 30.5%
2012-07-25: Largest Expected Move — 7.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$33.04	$31.59	$34.58	$33.27	$34.40
Max Pain	$33.19	$33.00	$34.00	$33.00	$33.00
ATM IV	20.0%	15.0%	27.2%	15.3%	18.2%
Expected Move	5.9%	4.4%	7.8%	4.4%	5.2%
HV 20d	19.5%	11.4%	25.9%	11.4%	24.7%
HV 60d	15.9%	13.6%	17.5%	14.3%	17.4%
IV Rank	16.1%	6.1%	30.5%	6.8%	12.4%
IV Percentile	39.8%	10.3%	64.3%	13.1%	34.9%
Term Structure	-1.7%	-4.4%	4.5%	4.4%	-0.4%
VWIV	21.7%	15.3%	28.4%	15.5%	20.1%
Skew 25d	6.8%	4.5%	8.7%	6.3%	6.6%
Skew 10d	16.3%	13.3%	21.2%	14.3%	17.1%
Call IV 25d	18.1%	12.4%	23.5%	12.4%	14.5%
Put IV 25d	24.9%	17.0%	31.5%	18.6%	21.2%
Bid-Ask Spread %	23.13	14.40	37.73	35.21	26.51
Gamma HHI	0.25	0.18	0.33	0.31	0.27
Net GEX	3.4M	-205.2K	8.1M	8.1M	5.3M
Net DEX	-39.9M	-136.1M	36.9M	-71.4M	-124.6M
Net VEX	-771.7K	-822.6K	-673.7K	-732.5K	-789.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.25	0.43	16.23	16.23	0.90
Total Volume	7,509.667	1,265	26,932	26,932	2,197
Total OI	178,298.143	150,410	195,896	150,410	179,483

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
2012-07-02	$33.27	$33.00	15.3%	4.4%	11.4%	6.8%	15.5%	6.3%	4.4%	8.1M	-71.4M	-732.5K	16.23	35.21	N/A	N/A	1,563	25,369	107,291	43,119
2012-07-03	$33.45	$33.00	15.4%	4.4%	11.5%	7.0%	15.3%	4.5%	3.7%	5.1M	-56.6M	-797.1K	0.58	27.28	N/A	N/A	803	462	107,900	67,089
2012-07-05	$33.27	$33.00	15.3%	4.4%	11.8%	6.6%	15.5%	4.9%	4.5%	4.8M	-46.6M	-793.2K	2.31	22.23	N/A	N/A	400	926	108,152	67,362
2012-07-06	$33.00	$34.00	15.0%	5.8%	12.3%	6.1%	20.6%	8.7%	-2.4%	4.4M	-34.1M	-792.2K	2.64	17.88	N/A	N/A	456	1,206	108,328	67,881
2012-07-09	$33.04	$34.00	15.6%	5.7%	12.2%	7.4%	21.6%	8.0%	-1.7%	4.6M	-35.2M	-768.1K	2.12	14.40	N/A	N/A	788	1,669	108,487	68,490
2012-07-10	$33.07	$34.00	16.3%	6.0%	11.8%	8.8%	22.3%	7.5%	-2.4%	4.4M	-36.1M	-772.6K	0.49	20.71	N/A	N/A	1,065	525	108,738	68,761
2012-07-11	$31.59	$34.00	21.0%	6.6%	20.3%	18.1%	25.2%	6.4%	-3.3%	-205.2K	36.9M	-673.7K	1.28	29.54	N/A	N/A	10,247	13,132	109,268	68,974
2012-07-12	$31.89	$33.00	23.4%	6.7%	20.7%	22.8%	24.4%	6.8%	-3.1%	471.4K	23.0M	-732.9K	0.99	15.89	N/A	N/A	2,875	2,857	111,467	73,903
2012-07-13	$32.37	$33.00	23.6%	6.8%	21.4%	23.2%	23.9%	6.6%	-3.5%	2.3M	-2.5M	-755.7K	4.13	16.64	N/A	N/A	1,247	5,144	112,373	73,462
2012-07-16	$32.47	$33.00	24.8%	7.1%	21.4%	25.6%	23.4%	6.9%	-4.3%	1.4M	-8.9M	-769.2K	1.57	20.22	N/A	N/A	1,159	1,820	112,529	77,216
2012-07-17	$32.79	$33.00	22.4%	6.4%	21.7%	20.8%	22.9%	5.3%	-3.7%	2.6M	-21.4M	-758.7K	2.36	18.01	N/A	N/A	1,235	2,911	113,171	78,134
2012-07-18	$33.22	$33.00	22.6%	6.5%	22.1%	21.3%	21.7%	6.8%	-4.0%	4.7M	-53.8M	-787.5K	0.87	17.90	N/A	N/A	2,295	1,990	113,767	80,106
2012-07-19	$33.33	$33.00	22.1%	6.3%	22.1%	20.4%	22.2%	6.2%	-3.6%	5.4M	-58.3M	-779.1K	1.59	16.82	N/A	N/A	2,227	3,534	113,089	80,789
2012-07-20	$32.95	$33.00	23.6%	6.8%	22.3%	23.2%	24.0%	6.9%	-4.4%	4.8M	-30.1M	-746.2K	3.75	22.57	N/A	N/A	2,091	7,842	113,845	82,051
2012-07-23	$32.92	$33.00	24.5%	7.0%	22.3%	25.1%	23.9%	8.6%	-4.2%	913.8K	-23.6M	-750.4K	0.43	35.22	N/A	N/A	6,790	2,933	90,002	65,158
2012-07-24	$32.53	$33.00	24.1%	6.9%	22.6%	24.3%	28.4%	7.9%	-3.8%	570.5K	-6.5M	-780.7K	1.60	32.19	N/A	N/A	3,419	5,484	94,610	67,064
2012-07-25	$32.44	$33.00	27.2%	7.8%	22.6%	30.5%	26.3%	8.1%	-3.9%	189.7K	1.1M	-783.1K	1.07	37.73	N/A	N/A	6,295	6,763	97,143	71,085
2012-07-26	$33.10	$33.00	17.7%	5.1%	23.6%	11.5%	20.4%	5.1%	-0.0%	1.7M	-41.1M	-798.8K	1.17	19.54	N/A	N/A	5,177	6,072	102,144	74,729
2012-07-27	$34.15	$33.00	16.4%	4.7%	25.9%	8.8%	19.1%	5.9%	0.4%	5.0M	-111.2M	-822.6K	0.64	21.81	N/A	N/A	6,525	4,193	103,641	74,034
2012-07-30	$34.58	$33.00	15.2%	4.4%	24.7%	6.5%	18.2%	7.7%	-0.2%	5.7M	-136.1M	-822.2K	0.52	17.51	N/A	N/A	2,648	1,369	105,669	73,757
2012-07-31	$34.40	$33.00	18.2%	5.2%	24.7%	12.4%	20.1%	6.6%	-0.4%	5.3M	-124.6M	-789.2K	0.90	26.51	N/A	N/A	1,158	1,039	104,691	74,792