WM Options History — January 2012

In January 2012, WM traded between $32.35 and $34.81. ATM implied volatility averaged 18.6%, placing in the 12.2% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 1.1% (HV 20d: 17.5%). Max pain ranged from $32.00 to $33.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.75.

Notable Days

  • 2012-01-26: Highest Volume — 11,117 contracts
  • 2012-01-10: Largest IV drop — 28.7% change
  • 2012-01-03: Highest IV Rank — 19.1%
  • 2012-01-03: Largest Expected Move — 6.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.75$32.35$34.81$32.84$34.76
Max Pain$32.52$32.00$33.00$32.50$33.00
ATM IV18.6%14.8%22.0%22.0%18.3%
Expected Move5.4%4.4%6.3%6.3%5.2%
HV 20d17.5%12.2%24.6%23.7%12.2%
HV 60d24.5%20.9%25.9%25.7%20.9%
IV Rank12.2%4.6%19.1%19.1%11.6%
IV Percentile27.0%4.0%50.8%50.8%22.6%
Term Structure0.9%-0.3%2.6%0.2%0.1%
VWIV19.2%16.0%21.8%21.8%18.5%
Skew 25d4.8%3.6%6.2%6.2%4.1%
Skew 10d12.2%6.5%16.3%13.9%6.5%
Call IV 25d17.0%12.9%19.2%19.0%16.3%
Put IV 25d21.8%18.6%25.2%25.2%20.5%
Bid-Ask Spread %15.4610.0521.5314.2316.82
Gamma HHI0.210.150.360.160.21
Net GEX5.2M3.6M6.6M4.0M6.1M
Net DEX-76.0M-99.6M-34.0M-50.7M-93.8M
Net VEX-635.0K-720.9K-590.7K-638.7K-720.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.750.192.270.670.64
Total Volume3,744.21,22811,1173,6231,437
Total OI137,91489,128166,405153,522109,794

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-01-03$32.84$32.5022.0%6.3%23.7%19.1%21.8%6.2%0.2%4.0M-50.7M-638.7K0.6714.23N/AN/A2,1701,45397,64155,881
2012-01-04$32.35$32.5020.5%5.9%24.4%16.1%19.5%4.1%2.6%3.6M-34.0M-612.2K0.7410.05N/AN/A2,3071,70398,52156,031
2012-01-05$32.61$32.5020.2%5.8%24.5%15.4%20.5%4.3%0.4%4.0M-43.4M-632.2K0.2611.02N/AN/A2,63367997,75756,566
2012-01-06$32.99$32.0020.3%5.9%24.6%15.7%20.1%5.8%0.6%4.4M-54.9M-617.5K0.5814.53N/AN/A1,17868198,73656,743
2012-01-09$32.94$32.0020.8%5.8%21.6%16.7%19.2%4.8%0.5%4.7M-55.8M-619.0K1.0221.53N/AN/A73374698,78456,594
2012-01-10$33.42$32.0014.8%5.8%18.7%4.6%17.9%4.9%0.3%5.4M-73.1M-593.6K0.4313.32N/AN/A2,7631,17598,99256,773
2012-01-11$33.33$32.0016.5%5.6%18.8%7.9%21.6%4.9%0.7%5.4M-73.8M-590.7K1.1914.60N/AN/A561667100,50056,243
2012-01-12$33.83$32.0018.8%5.4%18.2%12.6%18.3%5.0%2.0%5.6M-94.3M-610.8K0.8220.71N/AN/A2,6592,192100,63256,333
2012-01-13$33.40$32.0020.1%5.8%18.8%15.2%20.3%5.2%1.6%5.5M-77.3M-626.7K1.9720.35N/AN/A5581,100102,30557,853
2012-01-17$33.50$32.0020.0%5.7%16.1%15.2%19.7%4.4%1.7%5.6M-80.6M-596.9K0.7415.07N/AN/A1,6461,222102,57358,412
2012-01-18$33.68$32.0020.1%5.8%16.1%15.2%21.4%5.3%-0.1%5.8M-87.0M-608.4K0.4717.13N/AN/A5,6462,678102,97258,768
2012-01-19$33.85$33.0018.6%5.3%16.1%12.2%19.5%4.8%1.2%6.6M-94.9M-620.9K0.4915.87N/AN/A1,167572105,26260,895
2012-01-20$33.95$33.0017.6%5.1%14.1%10.3%17.8%4.8%0.5%6.0M-99.6M-639.7K0.5415.74N/AN/A2,3121,256105,54960,856
2012-01-23$34.31$33.0017.5%5.0%14.3%10.1%17.2%3.6%0.8%4.0M-70.9M-619.8K0.2714.81N/AN/A5,0361,33859,62929,499
2012-01-24$34.33$33.0016.7%4.8%14.1%8.3%16.0%5.7%0.9%4.6M-75.1M-619.2K0.1918.66N/AN/A1,75033863,37030,042
2012-01-25$34.61$33.0015.5%4.4%13.9%5.9%16.8%4.4%-0.3%5.0M-82.1M-633.8K0.6113.97N/AN/A3,9482,40464,51030,173
2012-01-26$34.73$33.0017.2%4.9%13.9%9.5%18.8%4.9%1.7%4.8M-86.5M-667.8K0.2111.94N/AN/A9,1791,93866,82831,715
2012-01-27$34.81$33.0017.8%5.1%12.6%10.6%18.6%4.4%0.1%5.9M-97.8M-711.1K0.9015.44N/AN/A1,04694173,96432,784
2012-01-30$34.76$33.0018.5%5.3%12.3%12.1%20.4%5.0%1.6%5.9M-95.4M-719.3K2.2713.37N/AN/A9392,13374,51133,289
2012-01-31$34.76$33.0018.3%5.2%12.2%11.6%18.5%4.1%0.1%6.1M-93.8M-720.9K0.6416.82N/AN/A87656175,13834,656