WM Options History — July 2011

In July 2011, WM traded between $31.49 and $38.00. ATM implied volatility averaged 22.5%, placing in the 59.2% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 7.6% (HV 20d: 14.9%). Max pain ranged from $35.00 to $38.00. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 1.32.

Notable Days

  • 2011-07-28: Highest Volume — 56,299 contracts
  • 2011-07-11: Largest IV spike — 28.4% change
  • 2011-07-28: Highest IV Rank — 100.0%
  • 2011-07-29: Largest Expected Move — 12.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.15$31.49$38.00$37.54$31.49
Max Pain$36.85$35.00$38.00$37.00$35.00
ATM IV22.5%14.9%42.3%14.9%42.3%
Expected Move6.5%4.3%12.1%4.3%12.1%
HV 20d14.9%11.2%33.4%12.9%33.4%
HV 60d13.6%12.4%22.0%12.4%22.0%
IV Rank59.2%27.6%100.0%27.6%100.0%
IV Percentile77.5%15.9%100.0%15.9%100.0%
Term Structure-1.2%-4.1%2.5%2.5%-4.1%
VWIV24.4%18.1%42.6%18.1%42.6%
Skew 25d7.8%5.1%11.9%5.1%10.1%
Skew 10d18.5%13.7%23.8%13.7%23.1%
Call IV 25d20.3%15.4%37.6%15.5%37.6%
Put IV 25d28.1%20.6%47.7%20.6%47.7%
Bid-Ask Spread %17.3512.9722.4021.3616.44
Gamma HHI0.160.130.200.150.13
Net GEX2.8M-2.4M7.9M7.2M-2.4M
Net DEX-3.1M-122.5M162.9M-79.5M162.9M
Net VEX-1.0M-1.2M-905.6K-1.2M-974.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.320.165.311.291.85
Total Volume10,277.551,71356,2991,71332,668
Total OI216,563.25138,457274,130263,468221,531

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-07-01$37.54$37.0014.9%4.3%12.9%27.6%18.1%5.1%2.5%7.2M-79.5M-1.2M1.2921.36N/AN/A749964119,208144,260
2011-07-05$37.62$38.0016.7%5.2%12.5%35.9%20.7%5.9%0.5%7.1M-87.8M-1.1M1.8120.88N/AN/A7261,313119,487144,407
2011-07-06$37.73$38.0018.3%5.2%11.9%43.4%19.3%7.2%0.0%7.5M-95.3M-1.1M5.3118.90N/AN/A7904,195119,740144,451
2011-07-07$38.00$38.0016.2%5.0%11.2%33.7%19.0%5.9%0.2%7.9M-122.5M-1.1M1.2920.36N/AN/A2,1812,824119,919146,193
2011-07-08$37.74$38.0016.1%5.1%11.5%33.0%18.8%5.2%-0.2%6.9M-97.0M-1.1M1.5620.05N/AN/A8191,276120,300147,379
2011-07-11$37.15$38.0020.6%5.7%12.4%54.3%22.7%6.4%-0.6%6.2M-30.4M-1.0M0.5216.70N/AN/A5,0042,612120,409147,677
2011-07-12$36.63$38.0018.7%5.5%13.5%45.3%20.9%6.7%-0.6%4.8M17.0M-988.1K0.3114.03N/AN/A4,9301,548121,240148,313
2011-07-13$36.54$38.0019.7%5.6%13.0%49.8%23.3%7.0%-0.3%4.1M24.7M-991.6K0.2114.88N/AN/A4,9061,038121,105148,551
2011-07-14$36.05$38.0021.6%6.2%13.1%58.6%21.2%6.9%-0.9%653.4K58.5M-948.7K0.9318.42N/AN/A2,5552,380123,181148,747
2011-07-15$36.16$37.0022.9%6.6%13.2%64.8%24.1%6.9%-1.9%1.9M46.6M-938.9K1.4612.97N/AN/A3,2054,671124,309149,821
2011-07-18$35.73$36.0023.6%6.8%13.4%68.4%24.6%8.7%-1.1%750.4K11.9M-938.6K1.2013.97N/AN/A6,5107,82574,02464,433
2011-07-19$36.06$36.0023.8%6.8%12.4%68.9%25.8%9.7%-1.4%884.3K1.4M-1.0M0.8114.85N/AN/A4,2593,46777,78870,138
2011-07-20$36.14$36.0022.6%6.5%12.3%63.4%22.2%8.2%-2.1%736.8K2.8M-999.3K0.1613.64N/AN/A2,63341380,35573,224
2011-07-21$36.57$36.0019.5%5.6%13.2%48.9%24.4%8.1%-1.0%1.6M-18.1M-1.0M0.2614.38N/AN/A6,3101,60981,59273,298
2011-07-22$35.97$36.0021.6%6.2%14.2%58.8%21.3%8.4%-1.6%819.6K784.9K-1.0M1.6814.45N/AN/A1,3172,21187,12973,709
2011-07-25$35.95$36.0022.2%6.4%14.0%61.4%21.0%8.7%-2.2%630.4K3.5M-1.0M0.4818.93N/AN/A2,3861,14887,06075,570
2011-07-26$35.80$36.0025.3%7.2%14.1%75.9%31.4%10.0%-2.0%646.9K6.5M-1.1M3.6022.40N/AN/A2,96310,65487,13475,128
2011-07-27$35.51$36.0028.6%8.2%14.2%91.4%32.3%11.9%-3.0%-233.0K21.4M-1.1M0.4218.38N/AN/A10,0014,19288,34483,039
2011-07-28$32.68$36.0035.1%10.1%31.9%100.0%33.9%8.6%-3.7%-1.7M109.9M-905.6K1.3221.02N/AN/A24,29632,00394,80884,264
2011-07-29$31.49$35.0042.3%12.1%33.4%100.0%42.6%10.1%-4.1%-2.4M162.9M-974.6K1.8516.44N/AN/A11,46421,204111,224110,307