WM Options History — November 2010

In November 2010, WM traded between $34.25 and $35.95. ATM implied volatility averaged 16.5%, placing in the 27.6% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 5.4% (HV 20d: 11.1%). Max pain ranged from $35.00 to $36.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.01.

Notable Days

  • 2010-11-26: Highest Volume — 133,184 contracts
  • 2010-11-08: Largest IV spike — 15.0% change
  • 2010-11-16: Highest IV Rank — 33.2%
  • 2010-11-16: Largest Expected Move — 5.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.15$34.25$35.95$35.55$34.25
Max Pain$35.38$35.00$36.00$35.00$35.00
ATM IV16.5%14.4%17.9%16.8%17.5%
Expected Move4.8%4.1%5.1%4.8%5.0%
HV 20d11.1%9.4%13.5%13.5%11.3%
HV 60d13.8%12.2%15.7%15.6%12.5%
IV Rank27.6%20.0%33.2%28.8%31.6%
IV Percentile23.3%7.5%36.1%23.8%34.5%
Term Structure0.7%-0.2%1.7%1.1%1.4%
VWIV16.8%14.9%18.8%15.5%16.5%
Skew 25d3.5%1.9%5.4%3.2%3.5%
Skew 10d8.3%3.8%13.3%9.0%13.3%
Call IV 25d15.5%13.9%16.9%16.4%15.7%
Put IV 25d19.0%17.3%20.3%19.5%19.2%
Bid-Ask Spread %29.5418.2646.7123.6236.43
Gamma HHI0.160.140.180.160.17
Net GEX3.2M1.8M4.8M3.2M3.7M
Net DEX-93.6M-111.3M-65.4M-100.1M-65.4M
Net VEX-640.8K-679.3K-537.5K-667.8K-596.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.010.003.243.241.54
Total Volume8,054.476361133,1847251,720
Total OI110,449.19102,476118,312108,680103,463

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-11-01$35.55$35.0016.8%4.8%13.5%28.8%15.5%3.2%1.1%3.2M-100.1M-667.8K3.2423.62N/AN/A17155473,63635,044
2010-11-02$35.88$35.0017.2%4.9%12.2%30.4%18.8%2.6%0.6%3.6M-111.3M-665.1K2.9822.21N/AN/A12136173,64434,887
2010-11-03$35.95$35.0016.1%4.6%12.1%26.1%17.3%1.9%0.8%3.5M-111.3M-658.9K2.9722.30N/AN/A9127073,65335,210
2010-11-04$35.87$35.0014.9%4.3%11.6%21.8%15.0%3.2%1.3%3.5M-108.5M-650.4K0.6026.57N/AN/A1,45787173,67235,374
2010-11-05$35.51$36.0014.6%4.5%11.9%20.8%15.7%5.4%1.4%3.2M-100.5M-666.9K0.2021.01N/AN/A2,87457674,89936,042
2010-11-08$35.18$36.0016.8%5.1%12.1%29.0%18.6%4.3%0.3%2.8M-90.3M-653.4K0.8529.13N/AN/A81268975,43636,228
2010-11-09$35.15$36.0016.8%5.0%12.0%28.9%17.5%4.4%0.6%2.7M-90.7M-655.3K0.4124.90N/AN/A66727175,40436,685
2010-11-10$35.08$36.0015.0%4.9%10.7%22.2%16.7%4.3%0.6%2.5M-90.4M-651.3K0.2522.82N/AN/A2,54064375,55336,731
2010-11-11$34.93$36.0017.2%4.9%10.8%30.2%17.6%4.0%0.1%2.4M-84.1M-661.3K0.3026.66N/AN/A1,64648676,72737,147
2010-11-12$35.09$36.0017.5%5.0%10.9%31.6%18.3%3.8%0.5%2.7M-91.7M-679.3K0.6345.91N/AN/A88055177,08637,124
2010-11-15$34.99$36.0017.3%5.0%10.8%30.9%17.0%3.9%0.4%2.4M-88.9M-655.5K0.4528.56N/AN/A54424777,67137,487
2010-11-16$34.83$36.0017.9%5.1%10.6%33.2%18.7%3.4%-0.2%2.3M-88.7M-605.6K0.3527.02N/AN/A1,19542177,92137,534
2010-11-17$34.83$35.0017.3%5.0%9.4%30.7%18.2%3.6%0.7%1.8M-81.6M-656.9K0.1418.26N/AN/A5407678,40637,705
2010-11-18$35.20$35.0016.5%4.7%10.2%27.6%16.1%4.0%0.7%1.8M-97.9M-657.4K0.1346.71N/AN/A4,00450478,51237,720
2010-11-19$35.22$35.0015.5%4.4%10.1%24.0%15.4%3.8%1.3%3.2M-105.9M-660.0K0.7427.55N/AN/A1,03376580,51837,794
2010-11-22$35.16$35.0014.4%4.1%9.9%20.0%14.9%2.1%1.7%4.8M-111.0M-537.5K1.5834.56N/AN/A50880575,13730,952
2010-11-23$34.87$35.0016.2%4.6%9.8%26.7%16.0%2.8%1.0%4.2M-94.9M-626.7K0.6229.04N/AN/A57735675,41031,619
2010-11-24$35.30$35.0015.6%4.5%10.4%24.6%15.2%3.3%0.7%4.6M-94.7M-626.8K2.5337.64N/AN/A6121,54772,53331,754
2010-11-26$34.92$35.0016.7%4.8%10.9%28.5%17.3%3.6%0.1%4.4M-88.9M-618.6K0.0038.00N/AN/A132,80038472,77331,866
2010-11-29$34.42$35.0017.7%5.1%11.3%32.2%16.7%3.3%0.3%3.8M-69.7M-604.8K0.6231.50N/AN/A2,4551,52070,40432,072
2010-11-30$34.25$35.0017.5%5.0%11.3%31.6%16.5%3.5%1.4%3.7M-65.4M-596.6K1.5436.43N/AN/A6781,04270,66032,803