WM Options History — February 2011

In February 2011, WM traded between $36.79 and $38.18. ATM implied volatility averaged 18.9%, placing in the 42.7% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 9.7% (HV 20d: 9.2%). Max pain ranged from $36.00 to $36.00. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 2 of 19 days. Put/call ratio averaged 2.64.

Notable Days

  • 2011-02-28: Highest Volume — 18,804 contracts
  • 2011-02-23: Largest IV spike — 26.0% change
  • 2011-02-24: Highest IV Rank — 61.4%
  • 2011-02-24: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.77$36.79$38.18$38.10$37.06
Max Pain$36.00$36.00$36.00$36.00$36.00
ATM IV18.9%16.2%22.4%17.7%21.7%
Expected Move5.3%4.6%6.4%5.1%6.2%
HV 20d9.2%8.4%10.0%9.7%9.0%
HV 60d9.9%9.4%10.4%10.4%9.4%
IV Rank42.7%32.4%61.4%32.4%58.3%
IV Percentile63.5%35.7%88.5%52.4%85.7%
Term Structure-0.7%-1.8%0.5%-0.9%-1.8%
VWIV19.8%17.4%24.8%17.6%23.7%
Skew 25d6.9%4.4%8.1%4.4%7.3%
Skew 10d16.3%11.4%23.5%13.8%11.4%
Call IV 25d16.4%13.8%20.7%16.4%19.3%
Put IV 25d23.3%20.8%28.8%20.8%26.6%
Bid-Ask Spread %26.4516.2250.6317.1317.83
Gamma HHI0.170.120.290.190.12
Net GEX4.5M-2.2M5.9M5.1M3.8M
Net DEX-89.2M-110.3M-45.4M-105.1M-51.9M
Net VEX-1.0M-1.1M-957.9K-975.9K-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.640.1115.980.121.66
Total Volume5,804.0531,06618,8042,69218,804
Total OI134,591.105116,104158,352116,104158,352

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-02-01$38.10$36.0017.7%5.1%9.7%32.4%17.6%4.4%-0.9%5.1M-105.1M-975.9K0.1217.13N/AN/A2,40229068,11047,994
2011-02-02$37.84$36.0017.9%5.1%9.8%33.0%18.0%5.1%-0.8%5.3M-100.5M-964.8K0.4022.02N/AN/A1,12344769,55448,168
2011-02-03$37.70$36.0018.6%5.3%10.0%35.6%20.9%5.4%-0.5%5.2M-95.2M-970.1K5.4722.35N/AN/A1,1596,33970,11748,387
2011-02-04$37.72$36.0018.4%5.0%9.7%34.7%19.1%7.7%-0.0%5.0M-92.5M-987.0K2.2625.58N/AN/A33976770,99653,827
2011-02-07$38.04$36.0019.1%5.1%9.6%37.3%19.7%7.7%-0.7%5.3M-104.6M-979.3K2.7031.42N/AN/A28877871,23554,273
2011-02-08$38.07$36.0018.9%4.9%9.5%38.5%18.5%7.0%0.2%5.4M-108.3M-957.9K15.9832.26N/AN/A3615,76871,32554,544
2011-02-09$38.18$36.0019.6%5.0%9.3%45.8%17.4%7.0%-0.4%4.4M-99.1M-1.0M0.1727.62N/AN/A4,78082871,47159,872
2011-02-10$38.14$36.0017.5%5.0%9.1%38.8%17.5%7.1%-0.6%5.4M-102.7M-1.0M0.9730.74N/AN/A1,3671,32575,19760,130
2011-02-11$38.04$36.0017.7%5.1%8.9%39.7%17.5%7.0%-0.3%5.4M-100.1M-1.0M0.6328.22N/AN/A1,02464175,64561,059
2011-02-14$38.18$36.0018.6%5.3%8.5%43.6%21.5%6.9%-1.3%5.5M-103.9M-1.0M0.1123.95N/AN/A5,69161575,56161,255
2011-02-15$37.98$36.0018.7%5.4%8.7%44.4%18.9%7.5%-1.1%5.8M-98.2M-1.0M0.4729.34N/AN/A1,72980977,55061,289
2011-02-16$37.99$36.0019.3%5.5%8.7%47.2%19.1%6.0%-1.8%5.9M-103.7M-998.6K5.6850.63N/AN/A1,2026,83177,72961,596
2011-02-17$37.98$36.0016.2%4.6%8.7%32.7%18.6%7.6%-0.2%-2.2M-93.4M-1.0M3.7338.06N/AN/A1,5675,84178,28467,637
2011-02-18$38.04$36.0016.2%4.6%8.4%32.9%18.5%6.7%0.5%5.4M-110.3M-1.0M0.3521.70N/AN/A1,60856980,76964,405
2011-02-22$37.70$36.0017.4%5.0%8.8%38.5%20.4%7.8%-0.4%4.2M-75.0M-993.9K0.4920.11N/AN/A1,48272371,91460,588
2011-02-23$37.26$36.0022.0%6.3%9.5%59.4%20.1%7.4%-1.2%3.6M-59.6M-1.0M0.4725.84N/AN/A7,6523,56372,50561,036
2011-02-24$36.79$36.0022.4%6.4%9.6%61.4%24.8%8.1%-0.8%4.2M-46.1M-1.0M5.1121.53N/AN/A2,36512,08378,46963,357
2011-02-25$36.88$36.0021.7%6.2%9.6%58.1%24.8%7.3%-1.4%3.8M-45.4M-1.0M3.4516.22N/AN/A1,5985,51978,90274,129
2011-02-28$37.06$36.0021.7%6.2%9.0%58.3%23.7%7.3%-1.8%3.8M-51.9M-1.1M1.6617.83N/AN/A7,05711,74779,43578,917