WM Options History — December 2011

In December 2011, WM traded between $30.57 and $32.85. ATM implied volatility averaged 24.0%, placing in the 23.4% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded below realized volatility by 1.8% (HV 20d: 25.7%). Max pain ranged from $31.00 to $32.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.57.

Notable Days

  • 2011-12-16: Highest Volume — 13,075 contracts
  • 2011-12-13: Largest IV spike — 24.1% change
  • 2011-12-13: Highest IV Rank — 39.0%
  • 2011-12-09: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.74$30.57$32.85$31.24$32.71
Max Pain$32.36$31.00$32.50$31.00$32.50
ATM IV24.0%19.9%31.7%26.2%21.8%
Expected Move6.9%5.7%7.7%7.5%6.2%
HV 20d25.7%23.7%28.5%25.1%23.7%
HV 60d30.0%25.9%32.5%32.0%25.9%
IV Rank23.4%15.3%39.0%27.9%18.6%
IV Percentile55.9%41.3%70.2%63.1%49.6%
Term Structure1.1%-0.8%3.9%0.3%0.6%
VWIV24.3%18.7%28.2%26.7%23.3%
Skew 25d5.4%3.9%7.0%6.3%4.8%
Skew 10d10.7%7.1%17.2%13.8%8.8%
Call IV 25d21.6%17.4%25.4%23.7%19.2%
Put IV 25d27.0%22.1%30.4%30.0%24.0%
Bid-Ask Spread %12.588.5818.6318.638.72
Gamma HHI0.160.130.530.130.15
Net GEX3.5M1.3M9.4M2.6M3.6M
Net DEX-21.5M-50.7M13.5M-6.6M-48.0M
Net VEX-658.3K-679.9K-609.5K-679.9K-664.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.570.061.010.110.58
Total Volume3,471.52478413,0753,140925
Total OI156,239.048145,610169,021155,770153,207

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-12-01$31.24$31.0026.2%7.5%25.1%27.9%26.7%6.3%0.3%2.6M-6.6M-679.9K0.1118.63N/AN/A2,84030096,95258,818
2011-12-02$31.23$31.0026.0%7.5%24.5%27.6%24.4%6.0%-0.4%2.8M-5.4M-658.6K0.2513.27N/AN/A1,66342198,78958,875
2011-12-05$31.53$32.5023.9%7.2%24.5%23.3%25.0%7.0%0.6%3.2M-15.9M-655.7K0.7118.31N/AN/A1,23087799,35158,947
2011-12-06$31.61$32.5022.7%7.3%24.4%20.8%25.3%6.2%0.3%3.5M-19.5M-652.6K0.0612.88N/AN/A5,32932199,67859,167
2011-12-07$31.49$32.5025.5%7.4%24.5%26.5%26.3%5.9%0.8%3.5M-19.0M-650.8K0.6813.12N/AN/A821557100,26558,451
2011-12-08$30.57$32.5027.8%7.5%25.5%31.0%28.2%6.4%0.7%2.3M13.5M-609.5K1.0115.61N/AN/A1,0601,068100,31358,525
2011-12-09$31.66$32.5023.5%7.7%28.5%22.6%25.1%6.0%-0.8%3.7M-26.7M-664.2K0.5913.12N/AN/A5,2673,134100,75258,930
2011-12-12$31.71$32.5025.6%7.7%27.4%26.6%26.4%5.8%-0.8%4.0M-27.1M-667.4K0.7814.29N/AN/A887696102,18260,842
2011-12-13$31.25$32.5031.7%7.2%26.8%39.0%24.5%4.8%2.0%3.9M-12.7M-648.5K0.5516.37N/AN/A2,5041,376102,42360,903
2011-12-14$31.62$32.5025.2%7.7%27.1%25.8%26.7%5.9%-0.4%4.3M-27.2M-662.0K0.2313.04N/AN/A790185102,91361,320
2011-12-15$30.89$32.5026.7%7.6%28.4%28.8%26.7%4.4%1.5%3.8M2.9M-624.3K0.8810.63N/AN/A4,5383,996103,31961,365
2011-12-16$31.00$32.5026.1%7.5%28.3%27.6%26.5%4.7%1.6%9.4M-2.6M-644.5K0.4310.11N/AN/A9,1223,953105,66263,359
2011-12-19$31.05$32.5024.5%7.0%28.2%24.4%24.0%4.2%2.3%1.3M2.9M-643.8K0.669.30N/AN/A1,7901,17491,87753,733
2011-12-20$31.84$32.5020.2%5.8%25.8%15.7%22.0%5.7%3.9%2.2M-15.4M-658.4K0.889.66N/AN/A2,0991,84092,55554,447
2011-12-21$32.06$32.5020.4%5.8%24.7%16.2%21.3%4.7%3.5%2.5M-25.8M-678.0K0.4610.47N/AN/A99646093,19654,705
2011-12-22$32.39$32.5020.5%5.9%24.5%16.4%20.9%4.5%3.0%2.9M-35.8M-675.8K0.5013.44N/AN/A2,4951,25593,37954,978
2011-12-23$32.73$32.5019.9%5.7%24.6%15.3%18.7%4.7%1.1%3.4M-46.2M-675.2K0.499.91N/AN/A2,03599194,79054,892
2011-12-27$32.85$32.5021.2%6.1%24.6%17.8%21.1%5.8%0.7%3.6M-48.9M-672.0K0.5812.02N/AN/A1,16467496,13455,477
2011-12-28$32.41$32.5022.1%6.3%25.3%19.7%23.3%3.9%2.6%3.2M-38.2M-675.3K0.6412.60N/AN/A47830696,99055,709
2011-12-29$32.78$32.5021.9%6.3%23.7%19.3%24.0%5.5%-0.2%3.6M-50.7M-663.9K0.908.58N/AN/A67760897,08755,763
2011-12-30$32.71$32.5021.8%6.2%23.7%18.6%23.3%4.8%0.6%3.6M-48.0M-664.6K0.588.72N/AN/A58434197,34555,862