WM Options History — May 2011

In May 2011, WM traded between $38.25 and $39.47. ATM implied volatility averaged 16.8%, placing in the 38.0% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 4.5% (HV 20d: 12.3%). Max pain ranged from $37.00 to $38.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.50.

Notable Days

  • 2011-05-27: Highest Volume — 14,716 contracts
  • 2011-05-23: Largest IV spike — 21.5% change
  • 2011-05-24: Highest IV Rank — 54.2%
  • 2011-05-24: Largest Expected Move — 5.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.82$38.25$39.47$39.47$38.88
Max Pain$37.48$37.00$38.00$38.00$38.00
ATM IV16.8%13.3%18.7%18.1%14.0%
Expected Move4.8%3.8%5.3%5.2%4.0%
HV 20d12.3%10.1%13.5%12.6%11.2%
HV 60d11.5%11.1%11.8%11.1%11.5%
IV Rank38.0%24.2%54.2%41.8%28.7%
IV Percentile38.5%2.0%64.3%54.0%6.7%
Term Structure0.9%-0.5%2.3%-0.4%1.3%
VWIV20.2%15.6%30.7%17.0%15.6%
Skew 25d7.0%5.3%8.2%6.3%8.1%
Skew 10d16.6%14.5%20.7%15.1%15.3%
Call IV 25d14.6%9.6%17.3%14.7%9.6%
Put IV 25d21.6%17.6%24.5%21.0%17.6%
Bid-Ask Spread %27.1320.6635.4623.2535.46
Gamma HHI0.200.160.250.200.25
Net GEX4.8M2.6M7.2M4.3M7.2M
Net DEX-136.7M-178.1M-94.6M-172.9M-153.6M
Net VEX-1.4M-1.5M-1.2M-1.4M-1.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.500.0210.161.400.78
Total Volume3,748.14370414,7164,5581,968
Total OI222,361.619195,090232,810221,592210,552

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-05-02$39.47$38.0018.1%5.2%12.6%41.8%17.0%6.3%-0.4%4.3M-172.9M-1.4M1.4023.25N/AN/A1,8962,662102,930118,662
2011-05-03$39.35$38.0017.5%5.0%12.8%39.0%19.6%6.8%0.6%3.9M-163.9M-1.5M0.6022.72N/AN/A577346103,819120,933
2011-05-04$39.06$38.0017.8%5.1%13.2%40.3%19.7%7.1%0.5%3.6M-147.4M-1.5M1.6523.17N/AN/A511842103,964121,050
2011-05-05$38.57$38.0018.4%5.3%13.4%43.1%21.1%7.2%-0.5%2.6M-114.5M-1.5M0.4734.45N/AN/A1,967930103,969121,453
2011-05-06$38.71$38.0018.7%5.2%13.3%44.2%20.0%8.0%0.5%3.3M-124.1M-1.5M1.2320.66N/AN/A8391,029105,094121,743
2011-05-09$38.80$38.0017.9%5.2%13.2%40.8%19.1%7.1%0.3%3.9M-135.0M-1.5M0.4223.37N/AN/A3,9261,637105,555122,239
2011-05-10$38.99$38.0016.7%4.8%13.1%34.9%16.6%6.1%0.9%4.5M-146.8M-1.4M0.1526.32N/AN/A2,508373104,822123,258
2011-05-11$38.85$38.0016.3%4.9%13.2%33.5%21.5%7.5%0.7%4.3M-137.3M-1.4M2.3022.95N/AN/A6991,605104,266123,429
2011-05-12$39.05$38.0016.8%4.8%13.1%35.4%23.6%6.1%1.0%5.0M-154.1M-1.4M1.3628.63N/AN/A1,8162,468104,388124,339
2011-05-13$38.75$37.0017.1%4.9%13.5%37.0%20.7%7.4%1.0%5.0M-136.1M-1.4M1.5526.13N/AN/A276428105,686123,243
2011-05-16$38.71$37.0016.7%4.8%13.5%35.1%19.5%6.2%0.7%4.4M-113.0M-1.4M2.1829.36N/AN/A6441,403105,790125,543
2011-05-17$38.56$37.0016.8%4.8%12.5%35.7%20.3%6.8%0.9%5.0M-126.3M-1.3M0.5724.02N/AN/A825468105,749126,711
2011-05-18$39.06$37.0016.1%4.6%13.1%32.3%19.4%6.0%1.5%6.3M-166.5M-1.3M1.4327.07N/AN/A324464106,057126,753
2011-05-19$39.22$37.0015.6%4.5%11.1%30.1%17.2%5.3%1.7%6.1M-178.1M-1.3M0.9334.05N/AN/A414386106,112125,914
2011-05-20$38.87$37.0014.6%4.2%11.6%30.8%15.6%6.8%2.3%7.1M-157.3M-1.3M0.4526.56N/AN/A643288106,158126,085
2011-05-23$38.43$37.0017.7%5.1%12.3%48.5%27.5%7.0%0.9%4.3M-99.3M-1.3M3.5528.56N/AN/A2,6879,53094,737100,353
2011-05-24$38.37$37.0018.5%5.3%10.7%54.2%20.6%8.2%0.6%3.7M-96.9M-1.3M10.1627.37N/AN/A6626,72896,587107,902
2011-05-25$38.25$37.0017.3%5.0%10.1%47.4%21.0%8.0%0.9%3.9M-94.6M-1.3M0.2026.18N/AN/A4,81397196,583112,821
2011-05-26$38.40$37.0016.3%4.7%10.1%41.8%18.6%7.1%2.0%5.1M-110.3M-1.2M0.1526.97N/AN/A3,00543798,453113,362
2011-05-27$38.87$37.0013.3%3.8%11.2%24.2%30.7%8.2%2.2%6.4M-142.6M-1.2M0.0232.49N/AN/A14,39731999,151113,379
2011-05-31$38.88$38.0014.0%4.0%11.2%28.7%15.6%8.1%1.3%7.2M-153.6M-1.2M0.7835.46N/AN/A1,10386597,078113,474