WM Options History — October 2011

In October 2011, WM traded between $31.36 and $34.68. ATM implied volatility averaged 35.2%, placing in the 47.1% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded below realized volatility by 0.8% (HV 20d: 36.0%). Max pain ranged from $32.00 to $33.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 1.13.

Notable Days

  • 2011-10-27: Highest Volume — 16,213 contracts
  • 2011-10-27: Largest IV spike — 21.0% change
  • 2011-10-03: Highest IV Rank — 75.6%
  • 2011-10-03: Largest Expected Move — 14.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.18$31.36$34.68$31.36$32.93
Max Pain$32.48$32.00$33.00$33.00$33.00
ATM IV35.2%28.5%49.1%49.1%33.7%
Expected Move10.3%8.2%14.1%14.1%9.7%
HV 20d36.0%25.6%41.2%40.5%25.6%
HV 60d45.8%43.3%47.2%46.3%43.6%
IV Rank47.1%32.5%75.6%75.6%43.0%
IV Percentile80.4%73.4%95.2%95.2%77.0%
Term Structure-1.4%-4.1%4.1%2.8%-3.3%
VWIV37.4%29.1%50.9%50.9%35.1%
Skew 25d11.9%10.0%13.9%11.5%12.2%
Skew 10d26.0%18.8%35.3%24.4%21.5%
Call IV 25d30.9%24.7%42.9%42.9%28.0%
Put IV 25d42.8%36.5%54.4%54.4%40.2%
Bid-Ask Spread %20.2214.8326.0919.0321.19
Gamma HHI0.160.100.560.100.15
Net GEX1.4M-1.2M11.3M-1.2M2.1M
Net DEX-7.0M-74.9M85.6M85.6M-18.7M
Net VEX-920.8K-1.1M-814.8K-1.1M-817.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.130.193.902.380.92
Total Volume6,036.7622,06216,2132,6702,484
Total OI232,340.905130,725271,423264,649155,177

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-10-03$31.36$33.0049.1%14.1%40.5%75.6%50.9%11.5%2.8%-1.2M85.6M-1.1M2.3819.03N/AN/A7891,881136,433128,216
2011-10-04$31.99$33.0046.8%13.4%41.1%71.2%49.5%11.7%1.2%-862.4K57.0M-1.1M2.4120.70N/AN/A8872,139136,509128,431
2011-10-05$32.64$33.0039.4%11.3%40.8%57.3%39.0%10.4%4.1%-598.0K28.5M-1.1M0.2224.05N/AN/A1,684378136,670129,011
2011-10-06$33.09$33.0037.5%10.8%40.9%53.8%40.0%10.0%2.6%-162.0K3.7M-1.0M0.3119.61N/AN/A2,849879136,946128,042
2011-10-07$32.93$32.0037.0%11.4%39.8%52.8%35.1%13.7%-1.7%-195.6K12.1M-1.0M0.9614.83N/AN/A2,8472,746138,604127,756
2011-10-10$33.75$32.0034.3%10.4%40.4%47.8%37.6%13.3%-1.6%593.1K-33.0M-1.0M0.5916.10N/AN/A1,8881,119140,270129,398
2011-10-11$33.12$32.0032.6%10.9%41.2%44.6%43.3%11.8%-2.3%418.3K1.4M-986.2K1.9616.39N/AN/A1,6883,309141,055129,412
2011-10-12$33.09$32.0030.3%10.4%40.7%40.1%42.4%12.5%-1.5%519.9K-212.8K-965.2K3.9017.79N/AN/A2,1298,309141,059128,517
2011-10-13$32.56$32.0035.1%10.1%40.9%45.9%37.8%11.3%-1.9%-307.4K39.6M-910.1K0.8919.25N/AN/A5,0024,473141,329127,414
2011-10-14$32.92$32.0033.9%9.7%40.9%43.3%35.0%11.2%-1.6%496.7K10.7M-909.1K2.4419.97N/AN/A1,2743,113142,229126,748
2011-10-17$32.55$32.0035.9%10.3%40.1%47.4%33.2%11.2%-3.4%-557.5K43.7M-873.9K0.1918.41N/AN/A4,024748142,107127,617
2011-10-18$33.09$32.0035.5%10.2%40.3%46.7%34.4%12.4%-2.8%1.1M3.5M-852.1K0.6721.14N/AN/A2,2291,498142,233127,625
2011-10-19$33.01$32.0036.5%10.5%35.2%48.6%35.0%12.4%-2.8%884.5K2.1M-857.6K0.5720.08N/AN/A2,1991,248142,023127,885
2011-10-20$33.26$32.0034.5%9.9%34.8%44.7%36.0%10.5%-3.5%2.1M-19.3M-826.0K0.7722.61N/AN/A2,1651,665142,678127,987
2011-10-21$33.91$32.0032.7%9.4%31.5%41.0%36.1%11.2%-2.6%11.3M-68.2M-814.8K0.9921.14N/AN/A7,2347,157142,958128,465
2011-10-24$34.33$33.0031.4%9.0%28.7%38.4%29.1%11.3%-2.3%2.7M-64.0M-818.6K0.2017.14N/AN/A6,1991,23279,77650,949
2011-10-25$33.88$33.0029.9%8.6%29.1%35.4%33.7%12.1%-0.9%2.8M-57.1M-827.5K0.6319.59N/AN/A2,2201,38983,09551,434
2011-10-26$34.68$33.0028.5%8.2%27.5%32.5%34.7%13.0%-1.2%3.3M-74.9M-849.3K0.7424.86N/AN/A6,3564,68983,89652,034
2011-10-27$34.07$33.0034.4%9.9%27.5%44.5%35.2%13.9%-4.1%2.9M-58.7M-847.1K1.4124.73N/AN/A6,7359,47887,77855,370
2011-10-28$33.72$33.0029.9%8.6%27.8%35.4%32.2%12.0%-2.4%2.6M-41.7M-852.3K0.5026.09N/AN/A4,3012,13991,81862,205
2011-10-31$32.93$33.0033.7%9.7%25.6%43.0%35.1%12.2%-3.3%2.1M-18.7M-817.5K0.9221.19N/AN/A1,2961,18892,63062,547