WM Options History — September 2011

In September 2011, WM traded between $29.35 and $32.56. ATM implied volatility averaged 43.2%, placing in the 64.5% IV rank vs the trailing year. The 30-day expected move averaged 12.0%. IV traded below realized volatility by 2.3% (HV 20d: 45.5%). Max pain ranged from $31.00 to $35.00. Net GEX was positive for 2 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.96.

Notable Days

  • 2011-09-19: Highest Volume — 19,083 contracts
  • 2011-09-07: Largest IV drop — 23.3% change
  • 2011-09-06: Highest IV Rank — 78.5%
  • 2011-09-23: Largest Expected Move — 13.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.33$29.35$32.56$32.08$32.56
Max Pain$33.95$31.00$35.00$31.00$33.00
ATM IV43.2%32.4%50.6%41.5%41.6%
Expected Move12.0%9.3%13.8%11.9%11.9%
HV 20d45.5%36.9%60.0%57.7%41.3%
HV 60d42.4%39.8%45.7%39.8%45.7%
IV Rank64.5%44.1%78.5%61.3%61.6%
IV Percentile91.8%86.1%96.8%92.9%88.1%
Term Structure-2.6%-8.4%5.3%-2.9%5.3%
VWIV41.3%32.7%47.2%42.2%42.6%
Skew 25d9.6%7.7%12.1%12.1%10.8%
Skew 10d18.8%14.2%30.2%30.2%21.6%
Call IV 25d37.3%28.9%43.3%35.7%38.5%
Put IV 25d46.9%37.3%53.8%47.8%49.3%
Bid-Ask Spread %18.5113.7628.5828.5822.72
Gamma HHI0.160.100.440.150.11
Net GEX-919.8K-2.7M7.0M-819.9K-472.4K
Net DEX93.2M27.6M163.6M55.7M28.8M
Net VEX-1.1M-1.3M-887.1K-1.3M-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.960.094.550.620.36
Total Volume8,407.2862,45519,0834,3363,043
Total OI291,601.571232,866334,933319,885263,988

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-09-01$32.08$31.0041.5%11.9%57.7%61.3%42.2%12.1%-2.9%-819.9K55.7M-1.3M0.6228.58N/AN/A2,6821,654156,115163,770
2011-09-02$30.71$31.0046.4%13.3%60.0%70.5%47.2%10.4%-2.4%-2.3M131.3M-1.2M4.5518.89N/AN/A2,0919,511156,447163,805
2011-09-06$30.72$35.0050.6%13.6%52.9%78.5%45.6%11.0%-8.4%-2.7M136.2M-1.3M0.0919.12N/AN/A12,4361,118156,332170,562
2011-09-07$31.45$35.0038.8%12.3%51.5%56.3%39.7%9.3%-4.6%-1.6M86.7M-1.3M1.9315.39N/AN/A5,82711,263162,895170,649
2011-09-08$31.20$35.0043.4%11.6%50.7%64.8%43.7%9.4%-4.3%-1.7M109.6M-1.2M1.0013.76N/AN/A9,1919,221161,728166,312
2011-09-09$30.48$35.0049.8%12.7%45.4%76.9%42.7%10.0%-5.7%-2.7M153.1M-1.1M0.5914.87N/AN/A1,611947161,210165,213
2011-09-12$30.83$35.0049.1%12.2%45.6%75.6%43.1%9.2%-5.9%-2.5M135.6M-1.1M0.6617.01N/AN/A2,1651,424161,265165,465
2011-09-13$31.15$35.0045.8%11.8%45.7%69.3%40.6%9.0%-5.4%-1.8M113.3M-1.1M0.2314.54N/AN/A3,889880162,015165,883
2011-09-14$31.77$35.0047.0%10.6%46.0%71.7%37.8%9.0%-3.5%-120.0K70.7M-1.1M0.3716.94N/AN/A8,6153,178163,133165,635
2011-09-15$32.28$35.0036.4%10.4%45.8%51.5%37.2%9.0%-3.8%2.6M27.6M-1.1M0.3316.73N/AN/A2,269741168,980165,953
2011-09-16$32.01$35.0032.4%9.3%42.0%44.1%32.7%8.4%-0.9%7.0M53.8M-1.0M2.0218.07N/AN/A1,8903,826164,188166,035
2011-09-19$31.25$35.0039.1%11.2%42.9%56.7%38.9%7.7%-1.4%-2.3M112.0M-982.2K0.6316.69N/AN/A11,7037,380115,160117,706
2011-09-20$31.14$34.0038.8%11.1%42.2%56.1%35.7%9.5%-1.2%-1.9M110.4M-986.0K0.2217.92N/AN/A5,1831,131122,833119,983
2011-09-21$29.62$34.0042.4%12.1%39.0%62.9%41.7%9.0%-2.4%-1.8M157.1M-894.2K1.7817.15N/AN/A3,1015,515126,846119,740
2011-09-22$29.35$34.0045.5%13.0%36.9%68.8%42.3%9.5%-1.7%-2.0M163.6M-887.1K0.3320.92N/AN/A6,7902,274126,663122,780
2011-09-23$30.81$34.0048.1%13.8%41.3%73.8%45.7%8.5%-2.7%-1.6M106.1M-1.1M0.2616.80N/AN/A9,7272,517126,400123,973
2011-09-26$32.09$33.0044.7%12.8%44.0%67.3%43.2%9.2%-2.6%-722.9K53.5M-1.1M0.5517.25N/AN/A2,5961,418132,789124,774
2011-09-27$32.48$33.0041.6%11.9%40.7%61.4%41.8%9.4%-0.9%-507.7K33.9M-1.1M0.6321.59N/AN/A3,2182,022133,827124,508
2011-09-28$31.55$33.0041.5%11.9%41.6%61.4%40.6%9.8%-1.0%-1.0M78.3M-1.1M1.1820.76N/AN/A1,1261,329134,874124,387
2011-09-29$32.37$33.0043.2%12.4%42.6%64.5%42.3%11.8%2.2%-503.6K39.9M-1.1M1.7822.95N/AN/A3,6166,435135,032123,780
2011-09-30$32.56$33.0041.6%11.9%41.3%61.6%42.6%10.8%5.3%-472.4K28.8M-1.1M0.3622.72N/AN/A2,230813135,775128,213