WM Options History — August 2009

In August 2009, WM traded between $28.01 and $30.65. ATM implied volatility averaged 24.5%, placing in the 0.8% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded below realized volatility by 1030.1% (HV 20d: 1054.7%). Max pain ranged from $27.50 to $30.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 0.57.

Notable Days

  • 2009-08-07: Highest Volume — 8,780 contracts
  • 2009-08-11: Largest IV drop — 16.4% change
  • 2009-08-17: Highest IV Rank — 1.5%
  • 2009-08-10: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.57$28.01$30.65$28.58$29.93
Max Pain$28.95$27.50$30.00$27.50$30.00
ATM IV24.5%21.3%26.6%24.2%25.0%
Expected Move7.2%6.5%8.0%6.9%7.2%
HV 20d1054.7%1014.0%1076.4%1075.2%1014.0%
HV 60d625.0%618.0%632.9%632.8%618.0%
IV Rank0.8%0.0%1.5%0.0%1.0%
IV Percentile1.8%0.0%4.0%0.0%4.0%
Term Structure1.6%0.3%3.1%1.5%1.6%
VWIV25.6%18.2%32.1%22.3%30.4%
Skew 25d6.3%3.2%9.5%3.7%9.5%
Skew 10d11.3%1.9%19.3%4.2%11.9%
Call IV 25d21.5%16.6%25.1%20.2%19.7%
Put IV 25d27.9%21.5%31.1%23.9%29.2%
Bid-Ask Spread %15.6811.7926.6713.4213.48
Gamma HHI0.440.360.780.410.37
Net GEX3.1M964.4K11.2M1.6M2.5M
Net DEX-60.4M-95.1M-22.8M-34.5M-57.5M
Net VEX-559.8K-596.6K-477.8K-494.4K-584.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.570.002.460.000.29
Total Volume2,515.053848,780841,451
Total OI107,889.526100,040114,281103,026105,726

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-08-05$28.58$27.5024.2%6.9%1075.2%0.0%22.3%3.7%1.5%1.6M-34.5M-494.4K0.0013.42N/AN/A84062,84040,186
2009-08-06$28.01$27.5022.8%6.5%1075.9%0.0%18.2%4.8%2.9%964.4K-22.8M-477.8K0.4012.27N/AN/A81032662,85040,186
2009-08-07$28.57$27.5025.1%7.8%1076.1%0.7%22.0%7.3%0.9%1.5M-36.1M-502.3K0.0715.27N/AN/A8,20058062,99140,245
2009-08-10$28.72$27.5025.8%8.0%1076.4%0.8%26.6%5.4%0.3%2.0M-47.3M-568.4K0.6615.17N/AN/A63041570,39940,481
2009-08-11$28.85$27.5021.6%6.8%1074.9%0.0%28.0%6.7%2.6%2.2M-49.8M-572.5K0.1715.45N/AN/A3926570,66940,587
2009-08-12$30.02$27.5021.3%6.6%1075.0%0.0%23.0%4.2%2.6%3.6M-80.2M-579.1K0.1926.67N/AN/A4,74388670,88340,576
2009-08-13$30.65$27.5024.3%7.0%1074.2%0.9%23.7%4.8%1.4%3.5M-95.1M-596.6K0.3015.07N/AN/A2,57478072,04740,856
2009-08-14$30.23$27.5025.8%7.4%1068.5%1.3%26.0%5.6%1.0%3.4M-83.8M-587.4K2.4612.75N/AN/A6671,63871,27441,180
2009-08-17$29.74$30.0026.6%7.6%1055.7%1.5%27.9%5.4%1.5%3.1M-72.2M-580.6K0.8225.41N/AN/A46137671,70942,572
2009-08-18$29.00$30.0026.2%7.5%1056.7%1.4%27.9%7.3%1.5%2.2M-52.3M-568.1K0.3111.79N/AN/A2,33473171,82942,363
2009-08-19$29.38$30.0026.0%7.5%1055.9%1.3%26.2%8.4%1.6%2.8M-59.6M-563.2K1.7116.23N/AN/A6811,16471,16842,579
2009-08-20$29.85$30.0025.9%7.4%1044.6%1.3%25.7%3.8%1.2%4.5M-71.5M-562.1K0.4418.93N/AN/A87438170,88142,386
2009-08-21$30.06$30.0024.3%7.0%1045.6%0.8%24.7%3.2%2.6%11.2M-80.7M-568.0K0.0619.92N/AN/A3,18718971,15342,505
2009-08-24$30.24$30.0025.0%7.2%1041.8%1.0%25.3%3.7%0.9%2.7M-63.9M-564.7K0.3513.05N/AN/A1,52053764,37735,663
2009-08-25$30.04$30.0025.0%7.2%1038.2%1.1%24.9%9.3%1.3%2.6M-62.5M-563.0K0.7212.76N/AN/A1,7851,29264,90235,745
2009-08-26$30.20$30.0024.3%7.0%1035.0%0.9%24.8%9.4%0.4%2.7M-63.9M-573.7K0.2913.93N/AN/A41311865,24636,535
2009-08-27$30.05$30.0023.9%6.9%1028.0%0.7%32.1%9.0%2.3%2.6M-60.0M-568.7K0.3613.66N/AN/A1,16042365,30036,598
2009-08-28$29.64$30.0023.2%6.7%1027.5%0.5%25.9%8.7%3.1%2.5M-53.1M-561.6K1.2012.71N/AN/A2,6863,23365,85236,562
2009-08-31$29.93$30.0025.0%7.2%1014.0%1.0%30.4%9.5%1.6%2.5M-57.5M-584.1K0.2913.48N/AN/A1,12532666,78438,942