WM Options History — December 2009

In December 2009, WM traded between $32.71 and $34.10. ATM implied volatility averaged 23.0%, placing in the 1.6% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 4.7% (HV 20d: 18.3%). Max pain ranged from $30.00 to $32.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.76.

Notable Days

  • 2009-12-17: Highest Volume — 8,795 contracts
  • 2009-12-08: Largest IV spike — 20.8% change
  • 2009-12-08: Highest IV Rank — 2.5%
  • 2009-12-11: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.37$32.71$34.10$33.20$33.81
Max Pain$30.34$30.00$32.50$32.50$30.00
ATM IV23.0%18.0%26.5%25.7%18.6%
Expected Move6.6%5.2%7.4%7.4%5.3%
HV 20d18.3%13.7%22.5%22.5%14.3%
HV 60d25.0%23.2%26.2%26.1%23.2%
IV Rank1.6%0.2%2.5%2.3%0.3%
IV Percentile9.7%0.4%26.2%18.3%1.6%
Term Structure2.1%-0.2%4.5%-0.2%3.4%
VWIV23.9%19.0%28.0%26.2%22.7%
Skew 25d5.0%3.4%6.2%4.7%3.5%
Skew 10d11.3%3.3%18.6%10.5%3.3%
Call IV 25d21.2%17.9%23.6%23.0%19.0%
Put IV 25d26.2%21.8%29.0%27.7%22.5%
Bid-Ask Spread %9.916.0025.3510.807.19
Gamma HHI0.360.320.510.320.37
Net GEX4.7M3.8M6.9M3.8M5.0M
Net DEX-124.9M-141.5M-108.4M-116.1M-134.0M
Net VEX-575.6K-633.0K-516.1K-619.4K-516.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.760.084.180.224.18
Total Volume1,702.9553648,7952,300865
Total OI123,883.091118,634128,963121,193122,389

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-12-01$33.20$32.5025.7%7.4%22.5%2.3%26.2%4.7%-0.2%3.8M-116.1M-619.4K0.2210.80N/AN/A1,89240875,21045,983
2009-12-02$33.20$32.5025.1%7.2%22.2%2.1%24.9%6.2%0.3%4.0M-117.8M-627.8K1.0724.42N/AN/A81286776,59345,948
2009-12-03$33.05$32.5025.2%7.2%22.4%2.2%25.0%5.4%0.2%3.9M-115.4M-633.0K0.4325.35N/AN/A1,09946876,93146,621
2009-12-04$33.56$30.0024.1%7.3%20.8%1.9%25.3%5.4%1.2%4.3M-129.2M-621.6K0.0813.60N/AN/A1,89516077,23747,032
2009-12-07$33.79$30.0021.9%6.4%20.9%1.3%25.0%4.8%2.5%4.7M-141.4M-587.7K0.0810.62N/AN/A9937978,31747,025
2009-12-08$33.17$30.0026.5%7.3%20.3%2.5%25.5%5.4%1.6%4.3M-120.4M-621.1K1.036.71N/AN/A86789278,42747,071
2009-12-09$33.21$30.0025.1%7.4%20.3%2.1%25.3%5.1%1.4%4.5M-122.7M-603.3K0.5110.86N/AN/A66733778,64447,686
2009-12-10$33.36$30.0025.4%7.3%20.2%2.2%26.1%5.7%1.4%4.8M-128.6M-598.0K0.306.00N/AN/A2898778,78947,515
2009-12-11$33.21$30.0025.8%7.4%19.5%2.3%28.0%6.1%0.8%4.7M-123.0M-598.6K0.796.94N/AN/A66952778,98447,511
2009-12-14$33.48$30.0024.9%7.1%19.5%2.1%25.1%5.7%2.0%4.8M-132.1M-590.8K0.457.61N/AN/A59026579,13947,678
2009-12-15$33.04$30.0024.6%7.0%19.2%2.0%24.0%5.9%1.6%5.3M-120.4M-580.6K1.859.39N/AN/A20237479,43447,719
2009-12-16$32.95$30.0024.4%7.0%18.8%1.9%24.6%5.8%1.8%5.4M-121.0M-573.6K0.338.83N/AN/A1,23440279,39847,647
2009-12-17$32.71$30.0024.3%7.0%18.7%1.9%24.7%5.2%1.7%6.9M-111.2M-572.9K1.268.90N/AN/A3,8954,90079,41647,666
2009-12-18$32.99$30.0023.2%6.7%17.5%1.6%22.9%5.8%2.5%4.8M-122.2M-564.0K0.198.38N/AN/A2,73551479,79049,173
2009-12-21$32.99$30.0023.0%6.6%17.5%1.6%23.1%5.4%2.2%4.0M-108.4M-552.3K0.518.50N/AN/A1,37469673,66644,968
2009-12-22$32.99$30.0022.2%6.4%13.7%1.3%22.8%4.9%3.0%4.0M-109.2M-556.6K0.436.95N/AN/A1,03444374,27645,360
2009-12-23$33.66$30.0022.3%6.4%15.4%1.4%20.0%3.5%2.8%4.5M-128.5M-543.9K0.407.06N/AN/A1,01640675,04945,676
2009-12-24$33.76$30.0018.4%5.3%15.4%0.3%19.1%3.4%4.5%4.6M-128.8M-543.0K0.367.14N/AN/A2679775,12245,803
2009-12-28$33.94$30.0018.5%5.3%14.7%0.3%23.6%4.5%4.1%4.9M-136.5M-521.3K0.876.66N/AN/A57650275,35745,774
2009-12-29$34.10$30.0018.0%5.2%14.4%0.2%19.0%3.9%3.8%5.0M-141.5M-520.4K0.397.57N/AN/A1,07141375,55345,737
2009-12-30$33.99$30.0018.6%5.3%14.1%0.4%22.1%3.5%3.6%5.1M-139.4M-516.1K0.998.55N/AN/A29529176,19545,919
2009-12-31$33.81$30.0018.6%5.3%14.3%0.3%22.7%3.5%3.4%5.0M-134.0M-516.5K4.187.19N/AN/A16769876,26446,125