WM Options History — November 2012

In November 2012, WM traded between $30.96 and $33.00. ATM implied volatility averaged 14.2%, placing in the 10.7% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded below realized volatility by 1.3% (HV 20d: 15.5%). Max pain ranged from $32.00 to $32.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.81.

Notable Days

2012-11-23: Highest Volume — 11,633 contracts
2012-11-14: Largest IV spike — 46.7% change
2012-11-14: Highest IV Rank — 24.1%
2012-11-05: Largest Expected Move — 4.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$31.96	$30.96	$33.00	$33.00	$32.57
Max Pain	$32.00	$32.00	$32.00	$32.00	$32.00
ATM IV	14.2%	10.4%	18.2%	14.0%	10.8%
Expected Move	4.1%	3.0%	4.9%	4.0%	3.1%
HV 20d	15.5%	11.3%	16.7%	11.3%	16.1%
HV 60d	15.1%	14.3%	15.5%	14.4%	15.3%
IV Rank	10.7%	0.0%	24.1%	7.8%	1.5%
IV Percentile	19.0%	0.0%	59.5%	8.7%	0.4%
Term Structure	1.1%	-0.7%	2.5%	0.8%	2.5%
VWIV	14.9%	11.2%	17.8%	13.5%	11.5%
Skew 25d	4.1%	1.7%	6.2%	6.0%	3.7%
Skew 10d	7.8%	1.9%	12.8%	4.1%	8.8%
Call IV 25d	12.5%	8.7%	15.8%	10.2%	9.9%
Put IV 25d	16.6%	12.7%	19.0%	16.2%	13.6%
Bid-Ask Spread %	35.30	20.35	44.66	39.60	41.70
Gamma HHI	0.17	0.15	0.21	0.21	0.20
Net GEX	2.5M	-370.2K	5.7M	5.7M	4.4M
Net DEX	8.3M	-38.9M	50.2M	-38.9M	-21.5M
Net VEX	-493.8K	-573.1K	-432.6K	-573.1K	-485.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.81	0.02	2.15	0.28	0.90
Total Volume	3,544.143	688	11,633	3,099	3,817
Total OI	128,079.857	119,737	135,616	123,070	126,286

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
2012-11-01	$33.00	$32.00	14.0%	4.0%	11.3%	7.8%	13.5%	6.0%	0.8%	5.7M	-38.9M	-573.1K	0.28	39.60	N/A	N/A	2,412	687	82,280	40,790
2012-11-02	$32.17	$32.00	16.6%	4.8%	14.9%	15.5%	16.4%	1.7%	-0.7%	4.2M	-10.5M	-529.5K	2.15	41.06	N/A	N/A	2,403	5,171	83,412	41,061
2012-11-05	$32.28	$32.00	18.2%	4.9%	14.5%	20.2%	17.8%	4.3%	-0.4%	3.3M	-5.2M	-563.3K	1.07	44.66	N/A	N/A	2,388	2,560	84,009	45,213
2012-11-06	$32.23	$32.00	17.4%	4.8%	14.5%	17.8%	16.7%	4.6%	-0.1%	3.1M	-1.5M	-542.2K	0.40	38.79	N/A	N/A	1,596	633	83,861	47,017
2012-11-07	$31.92	$32.00	16.5%	4.7%	15.0%	15.1%	16.5%	4.0%	0.5%	2.6M	10.1M	-534.2K	1.48	38.60	N/A	N/A	571	844	84,773	47,267
2012-11-08	$31.65	$32.00	15.5%	4.7%	15.1%	12.1%	17.5%	3.0%	0.6%	2.2M	22.4M	-490.8K	1.14	24.17	N/A	N/A	1,274	1,456	84,895	47,619
2012-11-09	$31.82	$32.00	15.5%	4.8%	15.2%	12.1%	17.4%	3.3%	0.3%	2.7M	16.5M	-518.3K	0.37	27.87	N/A	N/A	1,914	700	85,316	48,224
2012-11-12	$31.81	$32.00	15.1%	4.4%	15.1%	11.1%	16.6%	4.0%	2.0%	2.9M	20.2M	-506.6K	1.42	22.12	N/A	N/A	965	1,374	85,696	48,457
2012-11-13	$31.55	$32.00	11.2%	4.3%	15.4%	0.0%	15.1%	3.3%	1.2%	1.8M	33.5M	-470.2K	0.72	25.58	N/A	N/A	1,614	1,166	85,751	48,924
2012-11-14	$31.08	$32.00	16.4%	4.8%	15.8%	24.1%	17.3%	4.1%	1.1%	115.2K	44.6M	-443.3K	1.14	34.71	N/A	N/A	2,453	2,807	86,111	49,186
2012-11-15	$30.96	$32.00	16.1%	4.6%	15.7%	22.6%	15.9%	3.2%	1.4%	-370.2K	50.2M	-432.6K	0.30	41.68	N/A	N/A	2,584	787	85,633	49,983
2012-11-16	$31.43	$32.00	15.6%	4.5%	16.4%	20.4%	14.7%	4.0%	1.3%	978.8K	36.4M	-474.8K	1.97	33.71	N/A	N/A	707	1,394	85,212	50,229
2012-11-19	$31.62	$32.00	13.0%	3.7%	16.3%	8.4%	13.0%	4.7%	1.4%	759.3K	18.5M	-455.9K	0.18	29.75	N/A	N/A	4,097	734	76,393	43,344
2012-11-20	$31.82	$32.00	12.1%	3.5%	16.0%	4.2%	12.7%	5.6%	2.4%	1.0M	15.7M	-456.2K	0.49	36.36	N/A	N/A	920	453	78,338	43,773
2012-11-21	$32.11	$32.00	12.5%	3.6%	16.4%	6.0%	12.9%	5.6%	1.1%	1.8M	6.9M	-470.5K	0.56	34.05	N/A	N/A	1,834	1,024	78,683	43,827
2012-11-23	$32.36	$32.00	11.4%	3.3%	16.4%	1.1%	16.5%	2.1%	2.3%	2.3M	-190.2K	-473.9K	0.02	20.35	N/A	N/A	11,368	265	79,242	44,155
2012-11-26	$32.04	$32.00	12.4%	3.6%	16.7%	5.7%	13.5%	4.2%	1.1%	2.2M	1.7M	-473.3K	1.02	37.69	N/A	N/A	990	1,011	78,210	44,227
2012-11-27	$31.91	$32.00	12.7%	3.6%	15.5%	6.7%	13.2%	6.2%	1.3%	2.0M	3.8M	-474.7K	0.64	42.05	N/A	N/A	419	269	78,547	44,732
2012-11-28	$32.37	$32.00	13.7%	3.9%	16.4%	11.8%	13.6%	4.2%	1.5%	3.3M	-9.9M	-500.2K	0.19	42.45	N/A	N/A	4,106	760	78,681	44,693
2012-11-29	$32.56	$32.00	10.4%	3.0%	16.4%	0.0%	11.2%	4.1%	2.1%	4.4M	-18.8M	-501.5K	0.65	44.38	N/A	N/A	1,154	746	80,739	44,888
2012-11-30	$32.57	$32.00	10.8%	3.1%	16.1%	1.5%	11.5%	3.7%	2.5%	4.4M	-21.5M	-485.1K	0.90	41.70	N/A	N/A	2,006	1,811	81,193	45,093