WM Options History — June 2011

In June 2011, WM traded between $36.37 and $38.39. ATM implied volatility averaged 23.0%, placing in the 68.8% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 10.3% (HV 20d: 12.7%). Max pain ranged from $37.00 to $38.00. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 1.35.

Notable Days

  • 2011-06-08: Highest Volume — 25,378 contracts
  • 2011-06-15: Largest IV spike — 38.1% change
  • 2011-06-07: Highest IV Rank — 100.0%
  • 2011-06-16: Largest Expected Move — 8.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.11$36.37$38.39$38.39$37.27
Max Pain$37.14$37.00$38.00$38.00$37.00
ATM IV23.0%17.8%30.4%18.0%17.8%
Expected Move6.5%5.1%8.7%5.2%5.1%
HV 20d12.7%11.3%14.1%11.9%12.9%
HV 60d12.2%11.7%12.7%11.9%12.6%
IV Rank68.8%40.9%100.0%51.8%40.9%
IV Percentile87.8%56.0%100.0%60.3%56.0%
Term Structure0.5%-4.0%4.3%0.3%2.9%
VWIV24.9%18.1%32.1%18.1%21.4%
Skew 25d8.9%4.9%12.3%8.9%4.9%
Skew 10d20.8%9.7%31.0%19.6%9.7%
Call IV 25d19.9%13.3%27.2%13.3%15.5%
Put IV 25d28.8%20.4%38.0%22.3%20.4%
Bid-Ask Spread %24.5615.2534.9229.1118.67
Gamma HHI0.130.110.210.210.14
Net GEX1.1M-4.7M5.8M5.6M5.8M
Net DEX-26.1M-120.1M53.2M-120.1M-56.3M
Net VEX-1.3M-1.5M-1.2M-1.2M-1.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.350.143.282.861.94
Total Volume8,654.45544125,3788,4843,589
Total OI260,489.273210,739291,733210,739260,786

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-06-01$38.39$38.0018.0%5.2%11.9%51.8%18.1%8.9%0.3%5.6M-120.1M-1.2M2.8629.11N/AN/A2,1966,28897,311113,428
2011-06-02$38.24$38.0019.4%5.6%11.7%59.5%27.0%9.4%0.1%4.7M-111.1M-1.3M3.2230.90N/AN/A4,37914,09099,046117,327
2011-06-03$37.92$37.0019.9%5.6%11.3%62.5%21.8%8.9%-0.8%2.4M-80.6M-1.3M2.4116.41N/AN/A4,86211,735102,788127,987
2011-06-06$37.55$38.0023.4%6.5%11.6%82.4%25.6%10.9%-1.9%1.8M-54.6M-1.4M1.3018.50N/AN/A9,78012,716106,571132,761
2011-06-07$37.18$37.0029.0%7.5%11.8%100.0%32.1%11.6%-3.1%688.8K-27.9M-1.4M3.2816.71N/AN/A3,80812,492113,287142,209
2011-06-08$36.75$37.0026.9%7.7%12.0%89.5%30.5%12.3%-1.4%-1.3M15.0M-1.4M2.7825.44N/AN/A6,71018,668115,360148,692
2011-06-09$36.91$37.0025.5%7.3%12.3%82.7%23.7%11.0%-2.0%-1.5M2.1M-1.5M0.4115.25N/AN/A13,9155,775119,655160,427
2011-06-10$36.54$37.0024.1%6.9%12.2%75.7%26.0%9.4%-0.7%-3.2M24.5M-1.5M0.6020.87N/AN/A1,380827118,795164,129
2011-06-13$36.49$37.0026.4%7.6%12.1%86.9%23.3%11.1%-1.0%-3.8M40.3M-1.4M0.7619.37N/AN/A1,8361,392118,305164,339
2011-06-14$36.84$37.0022.0%6.3%12.9%65.0%22.0%9.5%1.8%-2.3M6.6M-1.4M0.1425.53N/AN/A4,537644118,346164,720
2011-06-15$36.37$37.0030.4%8.7%13.4%100.0%29.5%10.8%-3.6%-4.7M53.2M-1.4M0.6925.87N/AN/A9,8366,744119,472165,020
2011-06-16$36.44$37.0030.4%8.7%12.2%100.0%28.9%12.3%-4.0%-3.8M32.8M-1.4M0.5626.51N/AN/A2,1201,192123,063167,572
2011-06-17$36.74$37.0024.6%7.1%12.6%72.9%26.4%9.3%0.1%-115.9K-886.2K-1.4M0.5121.82N/AN/A2,2011,112123,653168,080
2011-06-20$37.32$37.0024.4%7.0%14.1%71.9%25.5%8.7%0.5%2.6M-54.2M-1.4M0.4518.38N/AN/A6,3712,880111,330138,963
2011-06-21$37.47$37.0021.7%6.2%13.8%59.1%26.7%8.2%2.4%3.0M-55.5M-1.4M1.3325.37N/AN/A1,5072,007114,340141,109
2011-06-22$37.29$37.0020.1%5.8%13.8%51.7%20.8%5.8%4.0%4.1M-61.2M-1.3M0.2727.70N/AN/A2,936803115,147141,545
2011-06-23$37.10$37.0019.8%5.7%13.9%50.4%21.4%7.4%4.3%2.2M-26.6M-1.3M0.7230.27N/AN/A1,4821,065116,812141,668
2011-06-24$36.80$37.0020.6%5.9%13.9%54.2%21.3%7.2%3.5%2.1M-15.3M-1.3M0.9729.98N/AN/A224217116,865142,209
2011-06-27$36.82$37.0020.7%5.9%12.9%54.6%24.5%5.8%3.5%3.2M-23.4M-1.2M2.1233.09N/AN/A5731,217116,895142,289
2011-06-28$36.90$37.0020.8%6.0%13.0%55.2%30.6%6.2%3.1%2.7M-20.0M-1.2M0.9729.54N/AN/A883856117,130141,821
2011-06-29$37.05$37.0019.2%5.5%12.6%47.4%20.9%6.0%4.0%4.5M-40.0M-1.2M1.4834.92N/AN/A1,0281,525117,837141,675
2011-06-30$37.27$37.0017.8%5.1%12.9%40.9%21.4%4.9%2.9%5.8M-56.3M-1.2M1.9418.67N/AN/A1,2202,369118,218142,568