WM Options History — April 2012

In April 2012, WM traded between $34.20 and $36.08. ATM implied volatility averaged 16.0%, placing in the 8.1% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 4.2% (HV 20d: 11.7%). Max pain ranged from $33.00 to $36.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.74.

Notable Days

  • 2012-04-27: Highest Volume — 20,900 contracts
  • 2012-04-10: Largest IV spike — 25.6% change
  • 2012-04-13: Highest IV Rank — 14.0%
  • 2012-04-10: Largest Expected Move — 6.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.27$34.20$36.08$35.19$34.20
Max Pain$35.15$33.00$36.00$33.00$36.00
ATM IV16.0%13.5%18.9%13.5%16.2%
Expected Move4.7%3.9%6.3%3.9%4.6%
HV 20d11.7%8.5%17.4%10.2%17.4%
HV 60d11.6%10.9%13.7%11.5%13.7%
IV Rank8.1%3.1%14.0%3.1%8.5%
IV Percentile16.4%3.6%34.9%3.6%17.5%
Term Structure0.3%-2.1%4.2%4.2%0.4%
VWIV17.7%13.5%24.7%13.9%16.2%
Skew 25d6.1%3.8%8.2%5.8%5.2%
Skew 10d15.1%8.4%19.8%13.1%8.4%
Call IV 25d14.7%11.5%18.4%11.7%14.7%
Put IV 25d20.8%16.2%26.4%17.5%19.9%
Bid-Ask Spread %19.5613.7925.7022.4313.87
Gamma HHI0.240.140.770.190.14
Net GEX7.3M1.3M27.7M6.6M1.3M
Net DEX-84.4M-132.2M-18.8M-87.2M-18.8M
Net VEX-709.9K-780.8K-622.2K-751.4K-622.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.740.112.180.612.18
Total Volume3,979.779320,9002,0415,067
Total OI142,630.65112,876158,321148,967124,611

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-04-02$35.19$33.0013.5%3.9%10.2%3.1%13.9%5.8%4.2%6.6M-87.2M-751.4K0.6122.43N/AN/A1,27177078,92270,045
2012-04-03$34.94$33.0013.7%3.9%9.7%3.5%15.8%5.5%3.4%6.0M-76.9M-729.6K0.3419.97N/AN/A1,98467078,86670,162
2012-04-04$35.06$33.0013.6%3.9%9.3%3.4%15.1%4.2%4.0%6.8M-87.5M-780.8K0.6425.09N/AN/A51132980,04370,420
2012-04-05$35.11$33.0013.6%3.9%8.5%3.3%14.1%4.0%4.0%6.9M-86.1M-753.7K0.1919.00N/AN/A66912480,27770,544
2012-04-09$34.95$36.0014.8%5.3%8.7%5.7%24.0%7.4%-0.9%6.3M-76.7M-723.3K1.3323.55N/AN/A1,1081,47180,43770,623
2012-04-10$34.49$36.0018.6%6.3%9.9%13.2%24.7%8.0%-2.1%5.5M-59.7M-736.7K1.7724.93N/AN/A9951,76480,61170,954
2012-04-11$34.89$35.0015.0%5.3%10.7%6.2%20.0%8.2%-0.4%6.7M-74.3M-751.0K1.2016.17N/AN/A69683280,86171,521
2012-04-12$35.39$35.0018.7%5.4%11.6%13.5%17.8%7.0%-1.1%8.0M-99.3M-726.4K0.1720.60N/AN/A2,70946281,08471,762
2012-04-13$35.14$35.0018.9%5.4%11.8%14.0%20.4%7.7%-1.4%8.0M-90.6M-728.7K0.4218.80N/AN/A1,07645082,20072,002
2012-04-16$35.35$35.0018.7%5.3%11.8%13.4%17.7%7.9%-1.0%8.2M-100.5M-714.9K0.2817.88N/AN/A95626882,86972,318
2012-04-17$35.68$35.0015.9%4.6%12.2%7.9%16.4%6.9%-0.2%9.0M-121.0M-700.7K0.2715.94N/AN/A3,8191,02083,05272,351
2012-04-18$35.89$36.0016.7%4.8%12.3%9.5%17.2%5.9%-1.1%10.6M-131.7M-701.8K0.3013.79N/AN/A2,85084584,49872,646
2012-04-19$35.74$36.0016.2%4.7%12.2%8.6%17.5%5.7%-0.3%10.6M-122.3M-713.3K0.5320.03N/AN/A1,88499184,52573,027
2012-04-20$35.96$36.0016.0%4.6%12.3%8.2%16.2%5.8%-1.0%27.7M-132.2M-700.8K0.1120.70N/AN/A6,08369484,86573,456
2012-04-23$35.87$36.0015.9%4.6%12.3%8.0%16.7%6.0%-0.4%3.8M-76.8M-697.4K0.5916.65N/AN/A2,4491,45364,21348,663
2012-04-24$35.98$36.0015.3%4.4%11.6%6.7%17.4%6.3%0.4%4.1M-77.3M-692.9K1.0221.38N/AN/A1,7761,80465,43749,514
2012-04-25$36.08$36.0016.2%4.6%11.5%8.5%16.7%3.8%-0.8%4.6M-85.8M-673.2K0.6725.70N/AN/A2,2741,51566,76450,121
2012-04-26$35.29$36.0014.3%4.1%13.7%4.8%13.5%4.7%0.6%4.0M-59.5M-676.2K0.2918.83N/AN/A3,9161,13967,96050,830
2012-04-27$34.25$36.0017.7%5.1%17.4%11.5%22.1%5.6%-0.9%2.0M-22.9M-622.2K1.9915.88N/AN/A6,98413,91668,56950,990
2012-04-30$34.20$36.0016.2%4.6%17.4%8.5%16.2%5.2%0.4%1.3M-18.8M-622.5K2.1813.87N/AN/A1,5933,47469,66654,945