WM Options History — February 2015

In February 2015, WM traded between $51.33 and $54.61. ATM implied volatility averaged 14.5%, placing in the 47.2% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded below realized volatility by 2.8% (HV 20d: 17.3%). Max pain ranged from $50.00 to $55.00. Net GEX was positive for 18 of 18 trading days. Term structure was in contango for 12 of 18 days. Put/call ratio averaged 1.73.

Notable Days

2015-02-25: Highest Volume — 7,691 contracts
2015-02-10: Largest IV drop — 38.6% change
2015-02-04: Highest IV Rank — 89.2%
2015-02-04: Largest Expected Move — 6.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$53.23	$51.33	$54.61	$51.56	$54.50
Max Pain	$50.83	$50.00	$55.00	$50.00	$55.00
ATM IV	14.5%	10.4%	21.0%	21.0%	10.4%
Expected Move	4.1%	3.0%	6.0%	6.0%	3.0%
HV 20d	17.3%	11.9%	23.4%	12.2%	23.0%
HV 60d	13.2%	11.0%	15.9%	11.0%	15.8%
IV Rank	47.2%	20.8%	89.2%	89.1%	20.8%
IV Percentile	59.1%	5.2%	99.6%	99.6%	5.2%
Term Structure	-0.0%	-4.9%	6.0%	-3.1%	1.3%
VWIV	14.8%	10.4%	21.0%	21.0%	10.4%
Skew 25d	5.1%	-0.4%	13.7%	8.6%	0.5%
Skew 10d	6.6%	-1.1%	19.6%	10.1%	-1.1%
Call IV 25d	12.4%	9.6%	16.8%	12.4%	10.6%
Put IV 25d	17.5%	10.9%	26.9%	21.0%	11.2%
Bid-Ask Spread %	23.19	14.51	28.89	19.61	19.09
Gamma HHI	0.37	0.28	0.60	0.34	0.60
Net GEX	3.4M	2.3M	6.2M	2.8M	6.2M
Net DEX	-77.4M	-94.8M	-57.2M	-58.6M	-94.3M
Net VEX	-321.0K	-344.3K	-270.4K	-329.9K	-344.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.73	0.18	3.41	1.60	1.40
Total Volume	2,840.278	398	7,691	450	2,507
Total OI	39,939.611	36,344	45,225	36,344	45,225

Daily Data (18 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
2015-02-02	$51.56	$50.00	21.0%	6.0%	12.2%	89.1%	21.0%	8.6%	-3.1%	2.8M	-58.6M	-329.9K	1.60	19.61	N/A	N/A	173	277	23,223	13,121
2015-02-03	$52.22	$50.00	16.2%	4.6%	12.4%	58.1%	13.6%	12.0%	6.0%	2.7M	-65.5M	-325.8K	0.91	21.10	N/A	N/A	1,264	1,155	23,303	13,191
2015-02-04	$52.19	$50.00	21.0%	6.0%	12.4%	89.2%	18.3%	4.7%	-4.9%	2.7M	-65.8M	-339.8K	2.78	21.82	N/A	N/A	528	1,467	23,800	13,172
2015-02-05	$52.56	$50.00	14.2%	4.5%	12.6%	45.6%	18.2%	6.1%	0.8%	2.9M	-71.6M	-318.2K	3.41	25.78	N/A	N/A	557	1,900	23,806	13,385
2015-02-06	$52.38	$50.00	19.1%	5.0%	12.2%	77.1%	17.2%	4.1%	-1.3%	2.6M	-68.8M	-333.4K	3.39	28.36	N/A	N/A	523	1,772	23,809	14,281
2015-02-09	$52.52	$50.00	18.3%	3.5%	12.1%	71.6%	17.7%	5.2%	0.3%	2.5M	-67.6M	-341.5K	2.72	25.90	N/A	N/A	602	1,637	23,796	14,285
2015-02-10	$52.70	$50.00	11.2%	4.4%	12.0%	26.3%	18.4%	5.2%	-0.9%	2.6M	-72.0M	-322.7K	2.48	23.07	N/A	N/A	576	1,429	23,850	14,943
2015-02-11	$52.58	$50.00	11.7%	3.4%	12.1%	29.5%	16.2%	4.0%	0.1%	2.3M	-70.3M	-325.7K	1.84	19.54	N/A	N/A	806	1,480	23,858	14,950
2015-02-12	$52.69	$50.00	14.4%	4.1%	11.9%	47.1%	13.1%	6.3%	0.8%	2.6M	-71.3M	-328.1K	1.08	27.29	N/A	N/A	620	671	24,143	14,975
2015-02-13	$51.33	$50.00	18.1%	5.2%	15.3%	70.3%	18.0%	2.9%	-2.5%	2.9M	-57.2M	-337.8K	1.73	28.76	N/A	N/A	1,357	2,348	24,182	14,990
2015-02-17	$53.93	$50.00	13.5%	3.9%	23.3%	40.9%	13.5%	13.7%	-0.6%	3.0M	-81.2M	-329.4K	0.84	28.89	N/A	N/A	3,916	3,280	24,392	16,027
2015-02-18	$54.61	$50.00	12.3%	3.5%	23.3%	32.9%	12.3%	3.5%	0.2%	4.7M	-90.7M	-322.7K	1.21	25.44	N/A	N/A	2,741	3,313	25,949	16,581
2015-02-19	$54.39	$50.00	12.6%	3.6%	23.3%	34.9%	12.6%	2.9%	0.3%	4.7M	-88.7M	-316.8K	0.18	28.57	N/A	N/A	499	92	26,376	16,631
2015-02-20	$54.51	$50.00	12.0%	3.4%	23.3%	31.4%	12.1%	3.6%	0.8%	3.1M	-94.8M	-270.4K	1.78	27.77	N/A	N/A	143	255	26,559	16,684
2015-02-23	$54.53	$50.00	12.0%	3.4%	23.3%	31.2%	12.0%	4.2%	0.4%	3.2M	-92.0M	-272.6K	2.36	14.51	N/A	N/A	844	1,993	24,443	15,330
2015-02-25	$54.57	$55.00	11.8%	3.4%	23.3%	29.9%	11.5%	5.1%	0.7%	3.3M	-89.9M	-287.8K	0.22	15.44	N/A	N/A	6,282	1,409	24,810	15,699
2015-02-26	$54.31	$55.00	10.9%	3.1%	23.4%	24.3%	10.9%	-0.4%	1.0%	5.8M	-93.5M	-331.5K	1.17	16.43	N/A	N/A	1,250	1,459	29,445	15,699
2015-02-27	$54.50	$55.00	10.4%	3.0%	23.0%	20.8%	10.4%	0.5%	1.3%	6.2M	-94.3M	-344.3K	1.40	19.09	N/A	N/A	1,046	1,461	29,460	15,765