WM Options History — February 2012

In February 2012, WM traded between $34.42 and $35.64. ATM implied volatility averaged 18.2%, placing in the 11.4% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 7.5% (HV 20d: 10.7%). Max pain ranged from $33.00 to $35.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 1.23.

Notable Days

  • 2012-02-15: Highest Volume — 8,816 contracts
  • 2012-02-27: Largest IV spike — 18.4% change
  • 2012-02-15: Highest IV Rank — 17.6%
  • 2012-02-15: Largest Expected Move — 6.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.18$34.42$35.64$34.99$34.98
Max Pain$34.00$33.00$35.00$33.00$35.00
ATM IV18.2%13.6%21.2%17.4%15.6%
Expected Move5.2%3.9%6.1%5.0%4.5%
HV 20d10.7%6.9%13.0%12.3%13.0%
HV 60d19.0%16.9%20.8%20.8%17.0%
IV Rank11.4%2.2%17.6%9.8%6.1%
IV Percentile23.1%1.2%45.6%14.3%6.0%
Term Structure-0.4%-1.6%1.4%1.4%0.7%
VWIV19.1%16.4%29.0%18.6%16.4%
Skew 25d5.7%2.6%8.4%2.9%6.4%
Skew 10d13.4%8.1%18.4%9.5%10.9%
Call IV 25d15.4%11.4%18.2%16.7%11.4%
Put IV 25d21.1%17.3%26.6%19.6%17.8%
Bid-Ask Spread %23.1116.7637.7418.9020.89
Gamma HHI0.200.180.230.210.21
Net GEX6.4M5.5M7.4M6.3M6.6M
Net DEX-104.5M-124.6M-68.9M-103.0M-87.7M
Net VEX-746.2K-789.2K-716.2K-720.1K-787.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.230.304.850.910.96
Total Volume3,597.11,1428,8162,0821,164
Total OI120,477.45110,777131,076110,777128,742

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-02-01$34.99$33.0017.4%5.0%12.3%9.8%18.6%2.9%1.4%6.3M-103.0M-720.1K0.9118.90N/AN/A1,08899475,77335,004
2012-02-02$34.99$33.0018.4%5.3%10.3%11.8%18.3%2.6%0.5%6.3M-102.7M-736.1K1.1617.07N/AN/A73384776,21435,446
2012-02-03$35.37$34.0017.7%5.4%10.5%10.5%19.5%6.1%-0.8%6.5M-114.0M-729.4K0.3922.13N/AN/A1,13044076,52935,950
2012-02-06$35.37$34.0019.8%5.4%10.2%14.6%19.0%5.9%-1.2%6.6M-116.8M-720.4K0.4923.74N/AN/A76837477,00636,079
2012-02-07$35.33$34.0020.9%5.4%10.2%16.9%19.0%6.2%-1.4%6.6M-115.3M-716.2K0.5816.76N/AN/A3,1541,84277,26336,186
2012-02-08$35.31$34.0020.2%5.3%9.4%15.5%19.8%6.0%-0.7%6.6M-116.4M-731.6K0.5618.60N/AN/A1,51485079,94337,685
2012-02-09$35.18$34.0018.9%5.4%9.5%12.9%20.3%6.3%-1.4%6.5M-109.5M-738.4K1.0322.83N/AN/A61062680,66838,151
2012-02-10$35.21$34.0020.1%5.7%8.4%15.2%21.0%6.9%-1.0%6.3M-111.7M-731.4K4.8526.19N/AN/A5372,60280,92438,527
2012-02-13$35.59$34.0018.7%5.4%6.9%12.4%29.0%6.3%-1.6%6.4M-124.6M-736.4K4.3824.17N/AN/A1,0614,64981,15940,791
2012-02-14$35.44$34.0021.1%6.1%7.4%17.4%21.2%7.0%-1.5%6.1M-119.2M-762.0K0.7123.61N/AN/A1,4341,01881,32743,896
2012-02-15$35.02$34.0021.2%6.1%9.0%17.6%21.6%8.4%-1.5%5.8M-104.2M-762.9K1.0037.74N/AN/A4,4124,40481,77744,284
2012-02-16$34.42$34.0019.9%5.7%11.2%14.9%19.1%6.5%-0.7%5.5M-68.9M-757.4K0.6923.07N/AN/A4,1012,82983,89547,181
2012-02-17$34.61$34.0016.8%4.8%11.3%8.7%17.6%5.8%0.4%5.6M-83.2M-730.2K0.3026.10N/AN/A2,90786184,36446,581
2012-02-21$35.10$34.0017.2%4.9%11.7%9.4%16.9%5.8%-0.7%6.2M-91.5M-748.1K0.5927.69N/AN/A1,9301,14077,07840,781
2012-02-22$35.03$34.0016.8%4.8%11.8%8.6%17.3%4.8%-0.4%6.3M-91.1M-748.4K0.4624.99N/AN/A1,42366178,21040,804
2012-02-23$35.47$34.0016.0%4.6%12.2%6.9%16.5%5.5%-0.2%7.1M-111.0M-749.3K0.5722.85N/AN/A1,38678478,91841,202
2012-02-24$35.64$34.0013.6%3.9%12.3%2.2%16.5%5.8%0.5%7.4M-116.3M-743.9K1.5826.08N/AN/A3,2075,06479,30641,596
2012-02-27$35.38$34.0016.1%4.6%12.6%7.3%17.0%4.9%0.9%7.1M-103.4M-784.6K3.0220.37N/AN/A1,7785,36180,79841,947
2012-02-28$35.20$35.0016.8%4.8%12.8%8.5%17.7%4.0%-0.4%6.7M-99.8M-789.2K0.4618.48N/AN/A1,55270781,41046,154
2012-02-29$34.98$35.0015.6%4.5%13.0%6.1%16.4%6.4%0.7%6.6M-87.7M-787.6K0.9620.89N/AN/A59357182,32946,413