WM Options History — April 2011

In April 2011, WM traded between $37.33 and $39.61. ATM implied volatility averaged 17.1%, placing in the 37.0% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 6.6% (HV 20d: 10.5%). Max pain ranged from $36.00 to $38.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 1.83.

Notable Days

  • 2011-04-25: Highest Volume — 18,387 contracts
  • 2011-04-14: Largest IV spike — 54.7% change
  • 2011-04-27: Highest IV Rank — 57.8%
  • 2011-04-27: Largest Expected Move — 6.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.18$37.33$39.61$37.65$39.46
Max Pain$37.20$36.00$38.00$36.00$38.00
ATM IV17.1%12.5%21.6%13.1%17.9%
Expected Move5.2%3.8%6.2%3.8%5.1%
HV 20d10.5%7.3%12.8%10.8%12.8%
HV 60d10.5%10.0%11.3%10.1%11.2%
IV Rank37.0%16.1%57.8%18.6%40.8%
IV Percentile41.0%0.8%83.3%1.6%51.2%
Term Structure-0.2%-3.3%2.7%2.7%0.2%
VWIV20.4%15.9%31.9%16.5%31.9%
Skew 25d6.8%5.0%8.1%7.3%6.7%
Skew 10d16.5%12.4%20.5%14.5%16.8%
Call IV 25d15.5%10.8%18.2%10.8%14.7%
Put IV 25d22.3%18.1%26.3%18.1%21.4%
Bid-Ask Spread %24.1717.9835.0319.4135.03
Gamma HHI0.230.180.520.200.19
Net GEX6.9M2.9M16.4M6.5M4.0M
Net DEX-125.6M-170.2M-58.6M-98.6M-167.9M
Net VEX-1.4M-1.5M-1.4M-1.4M-1.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.830.109.750.413.43
Total Volume5,845.1591618,3879168,891
Total OI216,078.75184,233247,161218,678216,527

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-04-01$37.65$36.0013.1%3.8%10.8%18.6%16.5%7.3%2.7%6.5M-98.6M-1.4M0.4119.41N/AN/A64926796,761121,917
2011-04-04$37.75$37.0014.0%4.6%10.9%22.5%16.4%7.3%0.6%7.0M-106.7M-1.4M0.9324.15N/AN/A71466297,113121,890
2011-04-05$37.74$37.0013.8%4.8%10.6%21.6%18.1%7.1%0.9%7.1M-106.1M-1.4M0.1019.28N/AN/A7,19571597,313122,048
2011-04-06$38.24$37.0014.9%4.9%11.4%27.0%17.0%6.5%-0.4%7.7M-151.9M-1.4M0.3323.66N/AN/A859280103,398121,980
2011-04-07$38.09$37.0014.6%4.9%10.0%25.3%19.3%6.4%0.1%8.2M-150.1M-1.4M3.2924.36N/AN/A5391,773103,803122,103
2011-04-08$37.92$37.0013.9%4.5%10.3%22.1%17.6%5.8%0.6%8.7M-130.8M-1.4M0.1826.32N/AN/A4,201752103,834122,603
2011-04-11$37.76$37.0016.4%4.7%10.4%33.8%18.4%5.0%0.9%10.1M-128.3M-1.4M0.5225.11N/AN/A5,0472,627107,665122,970
2011-04-12$37.67$37.0017.8%5.5%10.1%40.0%19.1%6.4%0.0%9.2M-123.9M-1.4M0.6718.08N/AN/A9,6256,482109,251125,388
2011-04-13$37.59$37.0012.5%5.5%7.5%16.1%20.8%6.0%-0.3%10.8M-127.1M-1.5M0.4618.12N/AN/A1,019472115,556128,264
2011-04-14$37.82$37.0019.4%5.6%7.7%47.5%27.4%6.4%-0.2%13.5M-149.5M-1.4M9.7522.67N/AN/A6686,515115,636125,211
2011-04-15$37.85$37.0018.4%5.3%7.3%42.7%20.3%6.4%0.0%16.4M-146.0M-1.4M0.2821.49N/AN/A2,487699115,771131,390
2011-04-18$37.33$37.0020.0%5.7%9.0%50.1%20.9%6.2%0.1%2.9M-58.6M-1.4M0.5117.98N/AN/A1,61882592,75391,480
2011-04-19$37.38$37.0020.1%5.8%9.0%50.8%18.6%6.8%-0.6%3.2M-61.1M-1.4M0.5821.58N/AN/A77344893,64792,117
2011-04-20$38.17$37.0018.0%5.2%11.4%41.0%18.5%6.3%-0.5%4.2M-103.7M-1.4M0.1225.14N/AN/A4,16049893,68592,379
2011-04-21$38.38$37.0019.7%5.7%11.4%49.1%23.0%7.3%-1.5%4.5M-117.9M-1.4M5.8223.99N/AN/A1,0956,37595,79992,748
2011-04-25$38.50$38.0021.5%6.2%11.4%57.1%24.7%8.0%-1.9%3.7M-117.4M-1.4M6.6129.85N/AN/A2,41615,97196,44097,542
2011-04-26$39.13$38.0019.6%5.6%12.4%48.2%18.4%8.0%-1.7%3.2M-140.3M-1.5M0.6428.66N/AN/A4,2552,71397,444110,851
2011-04-27$39.46$38.0021.6%6.2%12.6%57.8%24.8%8.1%-3.3%3.2M-155.7M-1.5M1.4129.37N/AN/A2,0942,96098,755112,889
2011-04-28$39.61$38.0015.1%4.3%12.5%27.9%15.9%7.4%0.5%3.6M-170.2M-1.4M0.5329.22N/AN/A4,9452,619100,014114,640
2011-04-29$39.46$38.0017.9%5.1%12.8%40.8%31.9%6.7%0.2%4.0M-167.9M-1.4M3.4335.03N/AN/A2,0056,886101,635114,892