WM Options History — November 2009

In November 2009, WM traded between $30.48 and $33.53. ATM implied volatility averaged 25.0%, placing in the 2.1% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded below realized volatility by 2.8% (HV 20d: 27.9%). Max pain ranged from $30.00 to $32.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 0.60.

Notable Days

  • 2009-11-23: Highest Volume — 14,215 contracts
  • 2009-11-05: Largest IV drop — 17.7% change
  • 2009-11-02: Highest IV Rank — 3.7%
  • 2009-11-02: Largest Expected Move — 8.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.30$30.48$33.53$30.69$32.84
Max Pain$30.50$30.00$32.50$30.00$32.50
ATM IV25.0%22.2%30.9%30.9%26.0%
Expected Move7.3%6.4%8.9%8.9%7.4%
HV 20d27.9%23.8%32.4%30.8%23.8%
HV 60d25.7%25.0%26.4%26.3%26.0%
IV Rank2.1%1.3%3.7%3.7%2.4%
IV Percentile10.2%1.2%23.0%23.0%20.6%
Term Structure0.6%-1.0%1.9%-0.6%-0.5%
VWIV26.9%21.0%34.9%31.2%29.7%
Skew 25d5.4%4.0%6.9%5.8%5.8%
Skew 10d11.6%7.8%15.6%15.6%10.3%
Call IV 25d23.3%19.9%28.0%28.0%23.6%
Put IV 25d28.7%25.7%33.8%33.8%29.4%
Bid-Ask Spread %15.798.3629.3416.4119.82
Gamma HHI0.380.260.660.270.32
Net GEX4.6M2.7M9.9M2.9M3.6M
Net DEX-110.2M-147.5M-62.5M-68.8M-103.6M
Net VEX-636.6K-679.7K-595.8K-679.7K-631.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.600.031.950.760.53
Total Volume3,558.279114,2151,8721,634
Total OI124,346.1109,582130,196122,892120,874

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-11-02$30.69$30.0030.9%8.9%30.8%3.7%31.2%5.8%-0.6%2.9M-68.8M-679.7K0.7616.41N/AN/A1,06680678,43444,458
2009-11-03$30.48$30.0030.0%8.6%30.9%3.5%34.9%6.2%-1.0%2.7M-62.5M-672.5K1.9514.20N/AN/A26852378,64644,469
2009-11-04$30.66$30.0028.6%8.2%30.3%3.1%30.9%5.1%0.5%3.0M-69.2M-668.3K1.0729.34N/AN/A40743678,68044,513
2009-11-05$31.56$30.0023.6%6.8%31.5%1.7%24.6%6.9%1.6%3.6M-94.6M-665.6K0.238.36N/AN/A1,23028278,68344,511
2009-11-06$31.64$30.0023.4%7.4%31.5%1.7%28.8%5.7%0.2%3.8M-96.9M-655.6K1.219.16N/AN/A50661378,94244,433
2009-11-09$32.49$30.0025.5%7.4%32.4%2.3%25.6%5.4%0.2%4.1M-120.0M-644.2K0.0911.75N/AN/A4,68141378,87244,661
2009-11-10$32.62$30.0024.3%7.2%32.4%1.9%25.9%6.1%0.4%4.5M-127.3M-639.1K0.1614.69N/AN/A2,43239480,11644,870
2009-11-11$32.43$30.0023.2%7.1%31.0%1.6%24.6%5.3%0.4%4.7M-123.6M-633.3K0.2519.81N/AN/A5,0781,29180,66245,044
2009-11-12$31.97$30.0024.5%7.0%25.0%2.0%25.9%4.8%1.1%5.2M-112.0M-644.0K0.1524.79N/AN/A4,11763083,18444,946
2009-11-13$32.18$30.0024.0%6.9%24.6%1.8%23.7%5.0%1.7%5.5M-118.6M-631.2K0.9223.81N/AN/A1,3181,21283,19445,110
2009-11-16$32.79$30.0024.7%7.1%25.3%2.0%26.6%5.5%0.7%5.8M-141.1M-622.4K0.5012.13N/AN/A79640183,67245,734
2009-11-17$33.12$30.0024.9%7.1%25.1%2.1%24.8%4.5%-0.0%5.7M-147.5M-617.0K0.9514.69N/AN/A54651983,57745,927
2009-11-18$32.79$30.0024.0%6.9%25.5%1.8%23.8%5.3%1.1%6.6M-138.5M-621.3K0.4710.03N/AN/A74535083,54846,050
2009-11-19$32.17$30.0024.1%6.9%26.4%1.9%23.9%4.7%1.2%6.6M-114.2M-612.1K0.5616.26N/AN/A1,21667983,87946,273
2009-11-20$32.30$30.0023.1%6.6%25.4%1.6%26.6%4.0%1.8%9.9M-113.7M-610.6K0.439.18N/AN/A81034983,72246,474
2009-11-23$33.28$30.0024.8%7.1%26.8%2.1%24.6%4.5%0.1%3.5M-110.5M-595.8K0.7913.95N/AN/A7,9616,25469,51340,069
2009-11-24$33.53$32.5023.8%6.8%26.6%1.8%26.1%6.2%0.6%3.7M-116.4M-624.6K0.4415.86N/AN/A2,26399774,12644,608
2009-11-25$33.46$32.5022.2%6.4%25.8%1.3%21.0%5.8%1.9%3.8M-117.1M-623.1K0.4512.87N/AN/A2,6891,21975,01145,200
2009-11-27$33.06$32.5025.1%7.2%26.5%2.1%34.7%4.9%0.7%3.6M-108.8M-641.0K0.0318.71N/AN/A13,62740676,33645,901
2009-11-30$32.84$32.5026.0%7.4%23.8%2.4%29.7%5.8%-0.5%3.6M-103.6M-631.3K0.5319.82N/AN/A1,06856674,71346,161