WM Options History — March 2012

In March 2012, WM traded between $34.45 and $35.41. ATM implied volatility averaged 14.6%, placing in the 5.0% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 2.6% (HV 20d: 12.0%). Max pain ranged from $33.00 to $35.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.62.

Notable Days

  • 2012-03-26: Highest Volume — 13,237 contracts
  • 2012-03-09: Largest IV drop — 20.8% change
  • 2012-03-07: Highest IV Rank — 12.1%
  • 2012-03-07: Largest Expected Move — 5.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.93$34.45$35.41$35.15$34.96
Max Pain$33.18$33.00$35.00$35.00$33.00
ATM IV14.6%11.9%18.5%16.0%13.4%
Expected Move4.2%3.5%5.3%4.6%3.9%
HV 20d12.0%9.5%14.2%12.9%10.1%
HV 60d13.7%11.5%17.2%17.0%11.5%
IV Rank5.0%0.0%12.1%7.0%3.0%
IV Percentile6.9%0.0%28.6%7.1%3.2%
Term Structure2.9%1.4%4.6%1.5%4.6%
VWIV16.7%12.6%25.2%17.7%14.0%
Skew 25d6.1%2.5%8.3%5.2%4.2%
Skew 10d15.0%8.8%21.1%9.1%11.5%
Call IV 25d12.9%10.9%15.7%14.4%12.8%
Put IV 25d19.0%15.3%23.4%19.5%17.0%
Bid-Ask Spread %21.4217.1428.1218.0121.39
Gamma HHI0.220.150.380.200.17
Net GEX7.1M4.8M13.4M6.5M6.0M
Net DEX-81.1M-100.8M-64.7M-94.0M-75.2M
Net VEX-756.3K-810.1K-715.9K-810.1K-751.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.620.1710.3910.390.82
Total Volume3,568.77390213,2379,2391,280
Total OI135,221.636125,549148,244128,991148,244

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-03-01$35.15$35.0016.0%4.6%12.9%7.0%17.7%5.2%1.5%6.5M-94.0M-810.1K10.3918.01N/AN/A8118,42882,50046,491
2012-03-02$34.89$35.0015.2%4.3%13.2%5.3%17.7%7.1%2.4%6.2M-80.0M-804.0K0.4117.69N/AN/A75631382,82953,694
2012-03-05$35.10$33.0017.4%4.7%12.8%9.9%21.5%7.8%2.3%6.7M-90.1M-793.5K0.3627.02N/AN/A1,53254982,66653,928
2012-03-06$34.72$33.0017.5%4.8%13.3%10.0%25.2%7.7%2.6%5.8M-71.7M-798.0K0.1721.48N/AN/A6,1121,04183,02454,160
2012-03-07$34.45$33.0018.5%5.3%13.5%12.1%17.6%7.1%1.4%5.7M-64.7M-760.6K0.4528.12N/AN/A2,06893279,14154,322
2012-03-08$34.82$33.0015.1%4.5%14.2%5.1%17.0%8.3%2.2%6.8M-75.0M-770.1K0.3518.81N/AN/A1,17141379,43454,558
2012-03-09$34.90$33.0011.9%4.3%14.2%0.0%21.4%5.7%3.1%9.0M-84.7M-781.0K1.5219.56N/AN/A1,6352,48280,37054,620
2012-03-12$34.90$33.0014.1%4.1%14.2%4.4%15.1%6.2%3.1%8.9M-83.2M-746.4K0.5421.15N/AN/A58531780,46754,860
2012-03-13$35.02$33.0013.6%4.1%13.6%3.3%19.0%6.6%2.9%9.7M-88.3M-743.8K0.4720.98N/AN/A2,1421,00180,70554,908
2012-03-14$34.82$33.0015.8%4.0%13.7%7.7%14.3%6.6%3.2%9.0M-80.3M-730.6K0.3818.42N/AN/A1,15043381,61754,834
2012-03-15$34.65$33.0013.8%3.9%13.2%3.6%18.5%6.8%3.2%7.9M-64.7M-729.8K1.5524.07N/AN/A40462581,89655,086
2012-03-16$34.84$33.0013.6%3.9%11.7%3.4%15.4%5.9%3.2%13.4M-83.0M-771.0K0.6525.61N/AN/A96162781,97355,105
2012-03-19$34.79$33.0013.0%3.7%11.6%2.1%14.9%5.7%2.6%5.4M-72.2M-728.1K0.4917.14N/AN/A2,6931,32475,57249,977
2012-03-20$34.81$33.0013.2%3.8%10.4%2.5%14.4%6.1%2.7%5.8M-75.6M-716.0K2.7320.84N/AN/A9792,67676,11250,714
2012-03-21$35.06$33.0012.2%3.5%10.7%0.5%12.6%4.4%2.9%6.8M-85.9M-720.5K0.3420.35N/AN/A1,56253676,30552,499
2012-03-22$34.94$33.0012.8%3.7%9.7%1.7%14.3%4.6%3.2%6.6M-83.5M-728.8K1.2120.76N/AN/A69183977,55752,500
2012-03-23$34.95$33.0014.3%4.1%9.5%4.6%14.0%2.5%2.7%6.6M-87.4M-744.6K0.3325.24N/AN/A3,1391,04177,58552,987
2012-03-26$35.41$33.0014.4%4.1%10.4%4.9%14.0%6.0%3.6%7.2M-100.8M-715.9K4.3119.25N/AN/A2,49510,74276,52153,782
2012-03-27$35.32$33.0015.2%4.3%10.3%6.4%15.7%6.3%3.0%6.6M-97.0M-747.5K2.8324.00N/AN/A1,1143,15377,58362,628
2012-03-28$34.99$33.0015.0%4.3%10.6%6.1%15.9%5.3%3.6%5.8M-78.7M-752.8K3.9820.38N/AN/A1,2494,96678,09765,136
2012-03-29$34.91$33.0014.6%4.2%10.4%5.3%17.1%7.2%2.9%4.8M-69.3M-793.2K1.4421.04N/AN/A63491278,57169,318
2012-03-30$34.96$33.0013.4%3.9%10.1%3.0%14.0%4.2%4.6%6.0M-75.2M-751.3K0.8221.39N/AN/A70457678,50169,743