WM Options History — November 2011

In November 2011, WM traded between $29.83 and $31.84. ATM implied volatility averaged 33.6%, placing in the 42.8% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 4.9% (HV 20d: 28.7%). Max pain ranged from $31.00 to $34.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.62.

Notable Days

  • 2011-11-30: Highest Volume — 19,976 contracts
  • 2011-11-09: Largest IV spike — 28.7% change
  • 2011-11-09: Highest IV Rank — 66.1%
  • 2011-11-01: Largest Expected Move — 11.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.04$29.83$31.84$31.37$31.30
Max Pain$32.33$31.00$34.00$33.00$31.00
ATM IV33.6%25.7%45.2%39.4%25.7%
Expected Move9.3%7.4%11.3%11.3%7.4%
HV 20d28.7%25.1%30.8%30.4%25.1%
HV 60d36.3%31.8%41.9%41.9%32.4%
IV Rank42.8%26.9%66.1%54.5%26.9%
IV Percentile74.6%63.1%91.7%84.9%63.1%
Term Structure-1.9%-5.8%0.6%-5.2%-0.1%
VWIV33.2%25.4%39.5%39.5%25.4%
Skew 25d7.2%2.9%9.4%7.1%8.1%
Skew 10d17.2%7.8%27.5%13.3%16.8%
Call IV 25d29.9%21.7%37.0%37.0%21.7%
Put IV 25d37.1%29.8%44.1%44.1%29.8%
Bid-Ask Spread %18.8415.0422.6618.5115.25
Gamma HHI0.130.080.360.120.13
Net GEX1.1M289.7K3.7M466.0K2.4M
Net DEX26.0M-5.1M46.7M27.4M-5.1M
Net VEX-701.4K-769.8K-586.5K-751.0K-674.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.620.052.511.000.05
Total Volume6,789.85791619,9767,63919,976
Total OI168,679.524142,411193,029158,044156,341

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-11-01$31.37$33.0039.4%11.3%30.4%54.5%39.5%7.1%-5.2%466.0K27.4M-751.0K1.0018.51N/AN/A3,8283,81194,60163,443
2011-11-02$31.36$33.0035.9%10.3%29.4%47.4%37.2%5.7%-3.1%347.8K26.4M-739.4K2.5116.96N/AN/A2,3375,87094,08863,473
2011-11-03$31.82$33.0037.4%10.7%29.5%50.4%36.7%2.9%-5.8%493.7K16.9M-768.3K0.2222.66N/AN/A5,6251,23095,35066,619
2011-11-04$31.50$34.0036.1%9.4%29.6%47.9%34.8%8.1%-1.4%590.4K24.8M-754.4K1.2920.93N/AN/A40051698,32066,576
2011-11-07$31.65$34.0037.5%8.7%28.0%50.6%33.5%9.4%0.6%659.5K22.0M-729.4K0.7819.90N/AN/A8,3386,49498,19366,775
2011-11-08$31.67$33.0035.1%8.4%27.4%45.8%32.5%8.0%0.3%1.1M19.4M-731.8K0.8319.67N/AN/A2,2101,832103,82770,404
2011-11-09$30.99$33.0045.2%10.1%28.3%66.1%36.3%9.0%-2.5%468.9K34.7M-733.3K0.6717.13N/AN/A9,4706,384104,42671,252
2011-11-10$31.16$33.0034.4%9.9%28.0%44.5%35.3%9.2%-3.0%703.2K30.6M-753.4K0.5717.84N/AN/A1,347768108,92376,556
2011-11-11$31.84$33.0030.6%8.8%28.9%36.7%32.6%7.9%-2.0%1.9M5.6M-769.8K0.3322.26N/AN/A1,484483109,14376,809
2011-11-14$31.16$33.0032.8%9.4%29.6%41.2%37.0%7.8%-2.5%620.4K34.7M-697.0K0.3521.94N/AN/A3,3591,189109,72277,030
2011-11-15$31.18$33.0031.6%9.1%28.8%38.8%32.5%7.6%-1.6%1.2M28.7M-698.4K0.5018.76N/AN/A1,314658111,84777,634
2011-11-16$31.14$33.0031.8%9.1%28.8%39.1%32.2%6.6%-1.5%1.0M33.6M-685.3K0.5518.82N/AN/A1,458795112,21677,991
2011-11-17$30.87$32.0030.7%8.8%28.6%36.9%31.8%8.4%-0.3%678.4K44.6M-661.4K0.3720.54N/AN/A5,0741,874112,14278,265
2011-11-18$30.97$32.0032.1%9.2%27.4%39.7%31.8%7.8%-2.2%3.7M46.7M-663.4K0.2021.61N/AN/A9,9471,989114,10578,924
2011-11-21$29.83$31.0031.2%8.9%29.0%38.0%34.1%7.3%-1.0%289.7K43.3M-586.5K1.4516.44N/AN/A4,4096,38588,26254,149
2011-11-22$30.54$31.0030.9%8.9%30.8%37.5%31.5%6.6%-2.3%643.7K26.3M-667.5K0.2415.99N/AN/A8,5002,01589,85357,676
2011-11-23$30.25$31.0032.9%9.4%28.9%41.4%32.8%5.0%-1.8%1.0M26.7M-671.4K0.2122.13N/AN/A3,16367894,89158,048
2011-11-25$30.31$31.0032.7%9.4%28.8%41.0%31.8%5.8%-1.2%1.1M25.6M-665.3K0.1815.04N/AN/A1,45126895,80658,288
2011-11-28$30.41$31.0031.2%8.9%28.9%38.0%29.4%6.8%-1.7%1.6M16.3M-669.8K0.4415.91N/AN/A2,3971,06396,12658,432
2011-11-29$30.42$31.0030.1%8.6%28.1%35.7%29.0%6.0%-1.4%1.6M17.9M-657.1K0.2617.44N/AN/A1,75044896,97058,774
2011-11-30$31.30$31.0025.7%7.4%25.1%26.9%25.4%8.1%-0.1%2.4M-5.1M-674.7K0.0515.25N/AN/A19,08589197,45858,883