WM Options History — January 2011

In January 2011, WM traded between $36.04 and $38.34. ATM implied volatility averaged 16.1%, placing in the 26.5% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 8.6% (HV 20d: 7.5%). Max pain ranged from $32.50 to $36.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 1.38.

Notable Days

  • 2011-01-24: Highest Volume — 14,841 contracts
  • 2011-01-13: Largest IV spike — 16.6% change
  • 2011-01-31: Highest IV Rank — 33.4%
  • 2011-01-10: Largest Expected Move — 5.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.09$36.04$38.34$36.82$37.87
Max Pain$35.30$32.50$36.00$32.50$36.00
ATM IV16.1%13.9%18.0%13.9%18.0%
Expected Move4.8%4.0%5.2%4.0%5.2%
HV 20d7.5%5.2%9.6%7.7%9.6%
HV 60d10.6%10.1%11.0%11.0%10.3%
IV Rank26.5%18.2%33.4%18.2%33.4%
IV Percentile32.5%7.5%54.0%7.5%54.0%
Term Structure0.6%-0.9%3.5%3.5%-0.9%
VWIV17.3%15.5%20.2%16.5%20.2%
Skew 25d3.7%1.9%4.9%3.4%3.8%
Skew 10d10.2%3.6%15.1%8.0%14.2%
Call IV 25d15.1%13.1%16.6%13.1%16.6%
Put IV 25d18.9%16.2%20.7%16.6%20.4%
Bid-Ask Spread %18.6311.1126.0513.8826.05
Gamma HHI0.260.160.730.230.20
Net GEX8.0M3.7M29.3M7.6M4.3M
Net DEX-136.2M-179.9M-84.3M-153.7M-90.6M
Net VEX-780.6K-963.7K-665.4K-680.9K-963.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.380.058.110.610.16
Total Volume4,268.980914,8411,1054,688
Total OI117,694.886,904136,931115,092112,519

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-01-03$36.82$32.5013.9%4.0%7.7%18.2%16.5%3.4%3.5%7.6M-153.7M-680.9K0.6113.88N/AN/A68741879,97435,118
2011-01-04$36.60$32.5015.3%4.4%8.0%23.3%15.8%1.9%2.0%7.4M-146.7M-675.0K0.4613.19N/AN/A64229380,11535,344
2011-01-05$36.58$32.5015.1%4.3%8.0%22.5%17.4%2.2%2.4%7.4M-145.8M-672.4K0.4711.56N/AN/A65931080,38835,455
2011-01-06$36.41$32.5015.3%4.4%8.4%23.2%15.5%2.4%2.9%7.2M-140.1M-667.6K0.1811.11N/AN/A3,09957180,86135,689
2011-01-07$36.21$36.0015.2%5.2%7.8%22.8%18.5%4.8%0.4%5.8M-134.6M-665.4K0.1118.87N/AN/A2,23024983,46336,044
2011-01-10$36.15$36.0016.1%5.2%6.0%26.3%19.4%4.3%0.1%5.5M-133.2M-676.2K0.0620.83N/AN/A3,91625084,66536,194
2011-01-11$36.04$36.0015.0%5.2%5.2%22.2%19.0%4.9%0.0%6.5M-138.1M-725.6K3.0220.41N/AN/A5131,54987,49436,247
2011-01-12$36.36$36.0014.5%5.1%5.9%20.3%16.9%4.6%0.5%7.0M-148.2M-720.9K0.1220.24N/AN/A96011587,58037,117
2011-01-13$36.68$36.0016.9%4.8%6.3%29.2%18.4%4.0%1.0%6.2M-157.2M-731.3K8.1118.42N/AN/A8506,89587,94937,174
2011-01-14$37.03$36.0016.4%4.7%7.0%27.5%17.2%4.2%0.6%9.9M-167.6M-770.9K0.4923.32N/AN/A69134088,34843,624
2011-01-18$37.21$36.0017.5%5.0%7.1%31.6%17.4%4.7%-0.3%12.9M-176.3M-771.7K0.2020.02N/AN/A1,37327588,73143,734
2011-01-19$37.19$36.0017.3%5.0%7.2%30.7%16.3%3.8%0.1%12.0M-174.7M-777.2K2.5317.91N/AN/A9492,39889,32643,915
2011-01-20$37.18$36.0017.6%5.0%7.1%31.7%17.2%4.0%0.3%9.6M-165.5M-769.6K0.1916.88N/AN/A4,28380189,43745,843
2011-01-21$37.43$36.0018.0%5.2%7.4%33.3%17.3%3.8%0.1%29.3M-179.9M-787.1K3.0121.17N/AN/A3,1369,43790,56446,367
2011-01-24$37.70$36.0015.9%4.5%7.7%25.4%16.3%3.7%0.2%3.7M-84.3M-800.8K0.6915.71N/AN/A8,7836,05853,75333,151
2011-01-25$37.87$36.0016.0%4.6%7.7%26.0%16.5%4.3%-0.3%4.2M-87.6M-919.8K0.1818.99N/AN/A1,90334861,00738,610
2011-01-26$38.23$36.0015.8%4.5%8.2%25.2%15.7%2.9%0.4%4.6M-101.8M-931.6K0.0519.27N/AN/A3,40518162,71638,636
2011-01-27$38.34$36.0015.9%4.6%8.2%25.6%15.7%3.0%-0.0%4.8M-104.3M-946.5K0.2222.67N/AN/A66314664,45838,749
2011-01-28$37.87$36.0017.4%5.0%9.6%31.3%17.9%3.8%-0.4%4.4M-94.2M-958.3K6.7522.13N/AN/A1,4599,85564,73738,800
2011-01-31$37.87$36.0018.0%5.2%9.6%33.4%20.2%3.8%-0.9%4.3M-90.6M-963.7K0.1626.05N/AN/A4,03365564,97447,545