WM Options History — October 2009

In October 2009, WM traded between $28.39 and $31.63. ATM implied volatility averaged 27.9%, placing in the 2.6% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 0.3% (HV 20d: 27.6%). Max pain ranged from $27.50 to $30.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 0.83.

Notable Days

  • 2009-10-15: Highest Volume — 14,426 contracts
  • 2009-10-13: Largest IV spike — 79.1% change
  • 2009-10-28: Highest IV Rank — 4.8%
  • 2009-10-28: Largest Expected Move — 9.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.03$28.39$31.63$28.98$29.88
Max Pain$29.77$27.50$30.00$27.50$30.00
ATM IV27.9%17.3%34.6%26.1%30.6%
Expected Move8.3%7.1%9.9%7.5%8.8%
HV 20d27.6%23.2%32.8%24.9%29.7%
HV 60d551.0%25.7%615.2%615.1%26.1%
IV Rank2.6%0.0%4.8%1.4%3.7%
IV Percentile16.9%0.0%23.4%13.5%22.6%
Term Structure-0.6%-2.7%3.8%2.1%-0.2%
VWIV29.2%26.5%34.7%26.5%28.4%
Skew 25d4.2%3.1%6.4%4.5%5.1%
Skew 10d10.9%2.7%61.2%7.7%5.0%
Call IV 25d27.2%23.6%32.1%25.3%27.9%
Put IV 25d31.4%29.5%36.4%29.8%33.0%
Bid-Ask Spread %13.817.8921.927.8921.92
Gamma HHI0.320.250.560.360.25
Net GEX2.6M904.4K5.7M2.4M2.3M
Net DEX-58.8M-113.5M-18.1M-39.6M-49.8M
Net VEX-624.6K-676.7K-560.6K-594.9K-676.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.830.124.900.130.88
Total Volume4,095.95570614,4261,3163,460
Total OI124,643.682107,783139,896125,307121,502

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-10-01$28.98$27.5026.1%7.5%24.9%1.4%26.5%4.5%2.1%2.4M-39.6M-594.9K0.137.89N/AN/A1,16215472,95652,351
2009-10-02$29.15$27.5024.9%7.1%24.7%1.0%29.0%6.4%3.8%2.5M-41.0M-595.6K1.368.55N/AN/A39253572,70152,396
2009-10-05$28.92$30.0025.4%8.1%24.4%1.2%30.1%5.2%-0.4%2.3M-34.6M-571.5K0.3619.57N/AN/A1,34848172,85652,402
2009-10-06$28.78$30.0025.9%8.1%24.2%1.3%34.7%4.7%-0.3%2.0M-32.9M-572.1K4.9011.71N/AN/A6112,99672,61852,503
2009-10-07$28.39$30.0026.6%8.6%24.2%1.5%28.6%3.2%-0.5%904.4K-18.1M-560.6K0.1210.23N/AN/A12,2401,49672,63655,097
2009-10-08$28.68$30.0027.6%8.7%24.4%1.8%30.2%5.1%-0.9%2.5M-30.9M-596.1K2.5118.15N/AN/A1,2143,04982,83055,828
2009-10-09$28.64$30.0026.8%8.5%23.9%1.6%28.5%4.0%-0.3%1.6M-26.2M-605.7K0.2117.41N/AN/A4,19286578,53658,547
2009-10-12$28.73$30.0017.3%8.6%23.6%0.0%29.2%4.1%-1.3%1.8M-28.4M-597.9K0.1221.20N/AN/A4,33652877,47458,651
2009-10-13$28.97$30.0031.1%7.6%23.2%3.8%27.4%3.5%-0.0%2.2M-34.4M-602.0K1.1513.97N/AN/A32837876,66858,845
2009-10-14$29.94$30.0022.6%7.8%26.3%1.5%27.1%3.2%-0.4%5.7M-62.7M-615.1K0.2710.29N/AN/A1,93252476,94158,853
2009-10-15$31.63$30.0027.1%7.8%32.8%2.7%27.7%3.1%-1.0%3.6M-113.5M-606.7K0.2014.74N/AN/A12,0042,42276,72658,694
2009-10-16$31.22$30.0028.2%8.1%32.2%3.0%27.1%3.4%-0.4%2.5M-108.4M-624.5K0.3220.27N/AN/A4,0051,27080,84959,047
2009-10-19$31.25$30.0029.2%8.4%30.6%3.3%28.0%3.9%-0.4%2.5M-78.8M-623.9K0.719.13N/AN/A2,3781,69668,03339,750
2009-10-20$30.96$30.0028.2%8.1%30.8%3.0%26.9%3.3%-0.2%2.6M-74.1M-628.3K0.6713.72N/AN/A3,2892,20870,55040,585
2009-10-21$31.09$30.0029.7%8.5%30.8%3.4%29.5%3.2%-1.0%2.7M-77.4M-669.8K0.6212.89N/AN/A1,43089172,55941,865
2009-10-22$31.48$30.0027.0%7.7%30.7%2.7%28.0%3.5%-1.6%2.9M-86.4M-665.8K0.4111.99N/AN/A1,18648672,79841,738
2009-10-23$30.93$30.0029.8%8.5%30.5%3.4%28.9%5.1%-1.4%2.7M-73.9M-659.4K0.3712.44N/AN/A1,72864072,96141,700
2009-10-26$30.63$30.0031.8%9.1%28.8%4.0%30.7%4.3%-2.6%2.6M-67.3M-663.0K0.908.93N/AN/A51146173,96242,165
2009-10-27$31.07$30.0034.2%9.8%29.2%4.7%33.9%4.1%-2.3%2.7M-78.4M-667.7K0.9613.47N/AN/A1,3831,33373,98342,227
2009-10-28$30.62$30.0034.6%9.9%29.6%4.8%34.3%4.3%-2.7%2.5M-66.7M-672.9K0.4212.66N/AN/A4,6831,96374,81342,980
2009-10-29$30.77$30.0028.7%8.2%27.5%3.1%27.1%5.0%-0.1%2.9M-70.4M-671.9K0.6312.67N/AN/A1,18374077,51943,466
2009-10-30$29.88$30.0030.6%8.8%29.7%3.7%28.4%5.1%-0.2%2.3M-49.8M-676.7K0.8821.92N/AN/A1,8451,61577,70343,799