WM Options History — August 2012

In August 2012, WM traded between $34.09 and $35.68. ATM implied volatility averaged 15.1%, placing in the 7.9% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded below realized volatility by 3.0% (HV 20d: 18.1%). Max pain ranged from $33.00 to $34.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 20 of 23 days. Put/call ratio averaged 1.06.

Notable Days

2012-08-20: Highest Volume — 16,441 contracts
2012-08-03: Largest IV drop — 21.1% change
2012-08-21: Highest IV Rank — 13.9%
2012-08-02: Largest Expected Move — 5.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$34.74	$34.09	$35.68	$34.22	$34.58
Max Pain	$33.87	$33.00	$34.00	$33.00	$34.00
ATM IV	15.1%	11.4%	18.0%	17.6%	14.5%
Expected Move	4.4%	3.7%	5.2%	5.1%	4.2%
HV 20d	18.1%	13.3%	24.8%	24.8%	13.3%
HV 60d	17.2%	16.4%	17.7%	17.4%	17.5%
IV Rank	7.9%	0.0%	13.9%	11.4%	7.9%
IV Percentile	16.4%	0.0%	35.3%	33.3%	12.3%
Term Structure	0.7%	-0.4%	3.0%	-0.3%	3.0%
VWIV	16.4%	13.8%	19.8%	17.5%	15.1%
Skew 25d	5.4%	3.5%	6.8%	5.3%	6.7%
Skew 10d	12.6%	7.4%	17.7%	14.3%	14.3%
Call IV 25d	13.1%	10.1%	15.8%	15.8%	12.6%
Put IV 25d	18.5%	16.0%	21.1%	21.1%	19.3%
Bid-Ask Spread %	25.82	12.31	51.29	25.17	51.29
Gamma HHI	0.29	0.24	0.34	0.28	0.29
Net GEX	8.3M	5.9M	9.7M	6.0M	9.6M
Net DEX	-135.0M	-202.1M	-70.2M	-117.5M	-104.8M
Net VEX	-751.2K	-814.5K	-690.9K	-809.0K	-784.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.06	0.06	5.00	1.19	0.72
Total Volume	3,418.739	703	16,441	2,726	1,609
Total OI	169,637.304	137,539	191,072	181,842	154,046

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
2012-08-01	$34.22	$33.00	17.6%	5.1%	24.8%	11.4%	17.5%	5.3%	-0.3%	6.0M	-117.5M	-809.0K	1.19	25.17	N/A	N/A	1,244	1,482	107,396	74,446
2012-08-02	$34.26	$33.00	18.0%	5.2%	24.7%	12.1%	18.9%	5.5%	-0.4%	5.9M	-120.8M	-814.5K	2.16	21.12	N/A	N/A	782	1,687	107,859	74,942
2012-08-03	$34.77	$33.00	14.2%	4.1%	24.8%	4.6%	19.8%	6.4%	0.4%	7.3M	-158.1M	-786.7K	2.00	20.99	N/A	N/A	1,993	3,981	107,692	76,100
2012-08-06	$34.90	$34.00	14.7%	4.3%	24.8%	5.6%	15.4%	5.1%	0.2%	7.6M	-163.5M	-774.0K	0.52	20.83	N/A	N/A	2,131	1,118	107,665	78,434
2012-08-07	$34.96	$34.00	14.4%	4.3%	24.8%	4.9%	17.3%	6.2%	0.7%	7.9M	-167.8M	-717.3K	0.49	12.31	N/A	N/A	1,041	514	107,261	76,652
2012-08-08	$34.89	$34.00	15.0%	4.4%	17.2%	6.4%	17.4%	6.0%	0.8%	7.5M	-162.4M	-748.7K	5.00	23.56	N/A	N/A	576	2,880	107,652	76,903
2012-08-09	$34.90	$34.00	14.7%	4.3%	17.2%	5.8%	15.6%	5.4%	0.4%	7.7M	-160.9M	-749.6K	0.41	15.79	N/A	N/A	499	204	107,635	79,340
2012-08-10	$35.05	$34.00	13.2%	4.1%	16.7%	2.9%	14.6%	5.4%	0.6%	8.2M	-171.6M	-740.3K	0.76	21.44	N/A	N/A	695	525	107,825	79,345
2012-08-13	$35.01	$34.00	14.5%	4.2%	16.8%	5.6%	15.7%	5.2%	0.8%	8.2M	-170.2M	-719.1K	0.18	27.17	N/A	N/A	1,198	210	108,116	79,434
2012-08-14	$35.21	$34.00	14.2%	4.1%	16.7%	5.1%	15.3%	5.3%	0.4%	8.8M	-185.5M	-690.9K	0.89	24.96	N/A	N/A	2,013	1,790	108,218	79,442
2012-08-15	$35.33	$34.00	11.4%	4.0%	16.3%	0.0%	13.8%	4.7%	0.3%	8.9M	-187.5M	-697.9K	0.20	21.38	N/A	N/A	2,048	417	108,432	80,640
2012-08-16	$35.68	$34.00	13.4%	3.8%	16.5%	4.3%	16.3%	6.2%	1.3%	8.5M	-200.4M	-696.3K	0.49	24.68	N/A	N/A	4,299	2,124	108,041	79,057
2012-08-17	$35.66	$34.00	12.9%	3.7%	15.6%	3.2%	14.4%	5.9%	0.5%	9.0M	-202.1M	-707.7K	0.20	29.22	N/A	N/A	2,884	564	110,619	80,453
2012-08-20	$34.60	$34.00	15.1%	4.3%	19.7%	8.0%	17.4%	6.8%	0.6%	9.4M	-108.4M	-712.7K	0.59	34.93	N/A	N/A	10,354	6,087	98,922	38,617
2012-08-21	$34.48	$34.00	17.2%	4.9%	19.1%	13.9%	17.3%	5.5%	-0.1%	8.9M	-99.8M	-763.2K	1.84	29.97	N/A	N/A	1,937	3,568	100,581	42,072
2012-08-22	$34.40	$34.00	16.6%	4.8%	19.1%	12.4%	16.9%	5.0%	0.2%	8.9M	-90.6M	-772.9K	0.62	28.43	N/A	N/A	1,357	841	101,816	45,081
2012-08-23	$34.34	$34.00	16.0%	4.6%	18.0%	11.6%	16.0%	5.4%	0.5%	8.4M	-87.6M	-774.3K	1.81	29.70	N/A	N/A	638	1,152	102,050	45,663
2012-08-24	$34.28	$34.00	15.9%	4.6%	14.3%	11.5%	15.1%	4.0%	0.6%	8.2M	-82.5M	-765.7K	0.97	19.55	N/A	N/A	563	546	102,211	46,419
2012-08-27	$34.09	$34.00	16.3%	4.7%	13.7%	12.6%	17.6%	3.5%	0.2%	8.1M	-70.2M	-736.8K	0.17	21.70	N/A	N/A	1,534	256	102,462	46,579
2012-08-28	$34.23	$34.00	16.1%	4.6%	13.7%	11.9%	16.6%	4.4%	1.2%	8.3M	-81.5M	-742.3K	0.06	28.89	N/A	N/A	5,690	357	102,047	46,624
2012-08-29	$34.65	$34.00	15.1%	4.3%	14.2%	9.4%	16.3%	5.6%	2.0%	9.7M	-108.5M	-787.5K	1.53	24.82	N/A	N/A	827	1,264	106,704	46,802
2012-08-30	$34.53	$34.00	15.9%	4.6%	14.3%	11.4%	17.0%	5.7%	1.9%	9.3M	-103.4M	-785.2K	1.64	35.84	N/A	N/A	437	715	106,891	46,472
2012-08-31	$34.58	$34.00	14.5%	4.2%	13.3%	7.9%	15.1%	6.7%	3.0%	9.6M	-104.8M	-784.9K	0.72	51.29	N/A	N/A	936	673	107,058	46,988