WM Options History — September 2009

In September 2009, WM traded between $28.98 and $30.75. ATM implied volatility averaged 24.9%, placing in the 1.0% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded below realized volatility by 42.7% (HV 20d: 67.6%). Max pain ranged from $27.50 to $30.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.21.

Notable Days

  • 2009-09-02: Highest Volume — 6,725 contracts
  • 2009-09-09: Largest IV spike — 8.0% change
  • 2009-09-14: Highest IV Rank — 1.5%
  • 2009-09-08: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.98$28.98$30.75$29.86$29.82
Max Pain$27.86$27.50$30.00$30.00$27.50
ATM IV24.9%22.5%26.6%25.7%23.5%
Expected Move7.3%6.7%7.8%7.4%6.7%
HV 20d67.6%15.9%1003.3%1003.3%23.1%
HV 60d616.3%615.1%618.0%618.0%615.1%
IV Rank1.0%0.4%1.5%1.2%0.6%
IV Percentile5.7%0.8%10.7%5.2%2.0%
Term Structure2.8%1.1%4.6%1.1%4.1%
VWIV27.3%24.1%37.8%28.0%28.1%
Skew 25d5.8%2.3%10.3%9.9%7.7%
Skew 10d12.6%4.8%17.6%12.5%12.5%
Call IV 25d23.6%19.5%26.3%20.1%19.8%
Put IV 25d29.5%27.5%30.9%30.0%27.5%
Bid-Ask Spread %10.325.8214.4914.4910.86
Gamma HHI0.380.330.420.360.42
Net GEX3.0M2.3M3.5M2.5M3.4M
Net DEX-65.0M-88.3M-41.9M-57.2M-59.9M
Net VEX-619.9K-642.5K-580.4K-581.9K-611.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.210.124.921.994.92
Total Volume2,996.7621,0466,7254,7631,071
Total OI117,327.476105,769124,912105,769124,912

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-09-01$29.86$30.0025.7%7.4%1003.3%1.2%28.0%9.9%1.1%2.5M-57.2M-581.9K1.9914.49N/AN/A1,5943,16966,68139,088
2009-09-02$29.49$30.0024.6%7.1%25.6%0.9%35.9%7.5%3.4%2.3M-49.3M-580.4K0.279.12N/AN/A5,2841,44167,67441,673
2009-09-03$29.76$30.0024.1%6.9%24.4%0.8%24.2%10.3%2.9%2.5M-56.7M-621.4K0.569.39N/AN/A2,8631,60867,32743,228
2009-09-04$30.08$27.5022.5%7.6%23.8%0.4%27.4%6.2%2.8%2.7M-66.2M-630.7K0.128.05N/AN/A2,69831668,47043,932
2009-09-08$30.31$27.5023.9%7.8%23.8%0.7%27.8%5.6%2.4%3.0M-73.4M-634.7K0.7212.34N/AN/A99171169,82243,971
2009-09-09$29.88$27.5025.8%7.6%24.6%1.3%27.3%5.8%2.4%2.8M-64.4M-635.3K1.3212.01N/AN/A1,1511,51570,16244,306
2009-09-10$30.08$27.5026.2%7.5%20.2%1.4%25.9%6.0%2.0%3.0M-67.5M-635.9K0.4511.53N/AN/A89940370,39845,081
2009-09-11$30.40$27.5026.0%7.5%19.1%1.3%26.1%4.7%2.3%3.3M-79.3M-642.5K0.4012.56N/AN/A1,22448970,84545,022
2009-09-14$30.66$27.5026.6%7.6%18.7%1.5%37.8%6.4%1.8%3.5M-82.4M-638.4K4.8612.74N/AN/A9954,83571,57245,354
2009-09-15$30.10$27.5026.0%7.4%18.9%1.3%25.8%6.8%2.0%3.4M-70.7M-630.9K1.2613.52N/AN/A2,3963,02671,81649,380
2009-09-16$30.14$27.5026.4%7.6%16.3%1.4%26.5%7.1%1.4%3.3M-70.6M-632.9K0.8313.19N/AN/A83969671,13549,457
2009-09-17$30.02$27.5026.2%7.5%15.9%1.4%27.6%6.2%2.2%3.4M-67.2M-628.2K0.9113.46N/AN/A68862971,28049,546
2009-09-18$30.75$27.5025.5%7.3%17.1%1.2%25.1%5.4%2.5%3.0M-88.3M-626.0K0.199.21N/AN/A2,16140271,35049,620
2009-09-21$29.96$27.5025.0%7.2%19.5%1.0%27.1%3.8%3.7%2.8M-65.5M-613.9K2.477.88N/AN/A1,1082,73569,00246,917
2009-09-22$29.88$27.5025.0%7.2%19.4%1.1%25.8%2.3%3.2%2.7M-61.2M-621.7K0.847.85N/AN/A61851769,63148,583
2009-09-23$29.84$27.5023.6%6.8%19.3%0.6%25.0%4.6%4.6%2.9M-61.4M-610.5K0.726.78N/AN/A97770569,84148,767
2009-09-24$29.55$27.5024.0%6.9%19.4%0.8%24.1%2.8%3.6%2.7M-54.7M-610.5K0.156.35N/AN/A3,13446670,31549,043
2009-09-25$28.98$27.5024.3%7.0%20.5%0.8%28.6%5.7%3.0%2.4M-41.9M-600.2K1.645.82N/AN/A2,2433,68771,10649,352
2009-09-28$29.93$27.5024.7%7.1%23.3%1.0%24.4%4.7%2.7%3.2M-62.8M-612.3K0.338.91N/AN/A1,20939372,04851,651
2009-09-29$30.00$27.5024.0%6.9%23.0%0.8%25.8%2.9%4.1%3.4M-65.0M-618.2K0.5810.62N/AN/A66238472,63851,881
2009-09-30$29.82$27.5023.5%6.7%23.1%0.6%28.1%7.7%4.1%3.4M-59.9M-611.4K4.9210.86N/AN/A18189072,90652,006