WM Options History — September 2008

In September 2008, WM traded between $1.69 and $4.40. ATM implied volatility averaged 254.6%, placing in the 72.2% IV rank vs the trailing year. The 30-day expected move averaged 70.9%. IV traded above realized volatility by 55.9% (HV 20d: 198.8%). Max pain ranged from $4.00 to $7.00. Net GEX was positive for 18 of 18 trading days. Term structure was in contango for 8 of 18 days. Put/call ratio averaged 0.47.

Notable Days

  • 2008-09-12: Highest Volume — 272,998 contracts
  • 2008-09-24: Largest IV spike — 75.6% change
  • 2008-09-12: Highest IV Rank — 100.0%
  • 2008-09-24: Largest Expected Move — 108.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.13$1.69$4.40$4.24$1.69
Max Pain$5.39$4.00$7.00$4.00$4.00
ATM IV254.6%108.7%379.4%120.0%365.8%
Expected Move70.9%33.6%108.8%34.4%108.8%
HV 20d198.8%85.2%345.5%88.3%345.5%
HV 60d190.0%153.4%244.9%159.2%244.9%
IV Rank72.2%27.7%100.0%31.8%96.1%
IV Percentile93.1%71.0%100.0%78.2%99.6%
Term Structure-21.7%-118.4%169.9%9.1%169.9%
VWIV232.8%113.9%340.2%117.5%288.2%
Skew 25d50.3%-66.5%143.5%14.2%46.9%
Skew 10d64.1%-61.4%181.1%20.5%62.1%
Call IV 25d218.6%103.2%352.8%113.3%316.9%
Put IV 25d268.9%125.0%378.7%127.5%363.8%
Bid-Ask Spread %9.372.2550.444.423.73
Gamma HHI0.120.110.170.110.17
Net GEX317.0K76.5K708.3K497.3K89.3K
Net DEX3.8M-17.5M52.9M-8.7M23.6M
Net VEX-639.5K-938.5K-272.2K-913.6K-272.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.470.140.810.310.43
Total Volume134,854.77827,700272,99843,074197,259
Total OI1,594,425.8331,458,6761,810,9411,458,6761,679,605

Daily Data (18 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-09-02$4.24$4.00120.0%34.4%88.3%31.8%117.5%14.2%9.1%497.3K-8.7M-913.6K0.314.42N/AN/A32,84410,230939,415519,261
2008-09-03$4.40$4.00117.1%33.6%85.2%30.7%113.9%21.8%11.8%708.3K-9.3M-938.5K0.164.55N/AN/A28,1434,476947,312518,067
2008-09-04$4.04$4.00121.4%34.8%88.9%32.3%126.5%18.2%10.5%544.0K7.9M-833.6K0.425.73N/AN/A29,47212,428955,261519,165
2008-09-05$4.27$7.00108.7%36.5%90.0%27.7%122.1%30.9%5.5%648.2K-14.1M-854.5K0.144.35N/AN/A24,3013,399971,181524,754
2008-09-08$4.12$7.00132.6%43.5%86.4%36.4%151.3%41.2%3.3%609.3K-10.0M-815.4K0.493.44N/AN/A122,27360,230984,496524,064
2008-09-09$3.30$7.00223.7%59.7%114.2%69.5%230.3%70.3%-26.7%344.7K1.4M-707.7K0.813.77N/AN/A82,94766,857989,949541,951
2008-09-10$2.32$7.00305.8%77.1%163.1%99.3%247.8%37.2%-51.3%168.3K14.2M-493.8K0.622.71N/AN/A88,47555,0931,003,319576,177
2008-09-11$2.83$6.00307.4%88.1%182.2%99.8%288.2%81.0%-53.6%244.0K-11.6M-559.8K0.314.96N/AN/A159,52049,3601,017,515571,284
2008-09-12$2.73$5.00322.0%92.3%180.0%100.0%296.6%53.7%-88.6%258.6K-17.5M-551.9K0.583.60N/AN/A172,563100,4351,013,075567,632
2008-09-15$2.00$6.00340.1%97.5%204.9%100.0%319.7%52.1%-89.2%76.5K17.4M-350.7K0.552.25N/AN/A62,86534,3311,048,280620,619
2008-09-16$2.32$6.00354.2%101.5%215.0%100.0%332.8%143.5%-118.4%217.9K335.4K-541.1K0.403.72N/AN/A115,34746,1251,046,376612,071
2008-09-17$2.01$5.00358.3%102.7%218.7%100.0%340.2%38.9%-100.0%96.0K7.7M-344.8K0.814.14N/AN/A68,11854,8411,067,772621,167
2008-09-18$2.99$6.00247.5%71.0%267.4%66.0%217.8%121.8%43.8%234.8K52.9M-579.9K0.4950.44N/AN/A137,73067,3161,081,596645,145
2008-09-19$4.25$5.00263.9%75.7%296.9%71.0%243.1%126.7%-40.9%237.3K2.4M-798.8K0.2648.71N/AN/A154,72640,4281,140,008670,933
2008-09-22$3.33$5.00299.4%85.8%309.7%81.9%285.9%48.3%-46.4%258.9K-1.2M-757.7K0.485.07N/AN/A59,49828,459959,339580,942
2008-09-23$3.20$5.00216.1%61.9%309.3%56.4%235.8%-66.5%19.7%274.1K18.6M-704.5K0.498.32N/AN/A90,42543,9791,006,118597,953
2008-09-24$2.26$4.00379.4%108.8%332.2%100.0%288.2%25.9%-49.7%198.8K-6.4M-491.6K0.804.69N/AN/A68,13354,7601,024,767613,096
2008-09-25$1.69$4.00365.8%0.0%345.5%96.1%0.0%46.9%169.9%89.3K23.6M-272.2K0.433.73N/AN/A138,01059,2491,042,269637,336