WM Options History — January 2010

In January 2010, WM traded between $32.05 and $34.88. ATM implied volatility averaged 22.8%, placing in the 1.9% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 7.0% (HV 20d: 15.8%). Max pain ranged from $32.50 to $35.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 0 of 19 days. Put/call ratio averaged 1.31.

Notable Days

  • 2010-01-15: Highest Volume — 14,529 contracts
  • 2010-01-14: Largest IV spike — 26.1% change
  • 2010-01-29: Highest IV Rank — 3.9%
  • 2010-01-29: Largest Expected Move — 8.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.58$32.05$34.88$34.16$32.05
Max Pain$33.03$32.50$35.00$32.50$32.50
ATM IV22.8%15.6%29.9%19.0%29.9%
Expected Move7.1%6.0%8.6%6.5%8.6%
HV 20d15.8%11.6%20.0%14.5%18.7%
HV 60d21.0%19.0%23.0%23.0%19.0%
IV Rank1.9%0.0%3.9%0.5%3.9%
IV Percentile17.6%0.0%45.6%2.4%45.6%
Term Structure-1.3%-3.5%-0.0%-0.0%-3.5%
VWIV25.7%21.2%32.3%23.8%30.4%
Skew 25d4.3%2.0%5.2%4.9%5.0%
Skew 10d10.6%6.4%13.9%9.8%11.7%
Call IV 25d23.2%19.0%28.4%21.4%28.1%
Put IV 25d27.5%23.6%33.5%26.4%33.1%
Bid-Ask Spread %12.856.6319.3610.5219.36
Gamma HHI0.410.240.760.420.25
Net GEX3.8M1.1M8.1M5.3M1.2M
Net DEX-107.7M-166.0M-48.0M-142.8M-48.8M
Net VEX-529.0K-634.7K-440.5K-498.0K-634.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.310.088.490.541.03
Total Volume5,1041,13514,5293,5062,562
Total OI106,056.10567,950128,289122,85394,623

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-01-04$34.16$32.5019.0%6.5%14.5%0.5%23.8%4.9%-0.0%5.3M-142.8M-498.0K0.5410.52N/AN/A2,2731,23376,39046,463
2010-01-05$34.01$32.5019.1%6.7%13.7%0.5%25.9%4.4%-0.7%5.2M-138.7M-502.6K2.6610.41N/AN/A31082577,22347,485
2010-01-06$34.00$32.5018.4%6.7%13.6%0.3%26.2%4.4%-1.0%5.1M-137.9M-497.2K0.5413.68N/AN/A1,38575177,27548,040
2010-01-07$34.08$32.5018.7%6.6%11.6%0.4%23.4%4.1%-1.2%5.3M-139.6M-488.7K0.5911.12N/AN/A80147377,28447,855
2010-01-08$34.24$32.5015.6%6.6%11.6%0.0%24.8%4.2%-1.1%5.4M-146.8M-440.5K1.0815.83N/AN/A1,2201,31477,18147,724
2010-01-11$34.67$32.5019.0%6.5%12.2%0.9%22.6%3.9%-1.4%6.6M-159.8M-449.1K0.2617.01N/AN/A1,81546877,94848,367
2010-01-12$34.88$35.0019.4%6.5%12.1%1.0%22.3%4.2%-1.2%7.3M-166.0M-442.0K0.1116.01N/AN/A5,47962078,14848,428
2010-01-13$34.80$35.0017.3%6.0%12.0%0.5%21.8%3.1%-0.2%8.1M-156.7M-444.4K0.1612.99N/AN/A6,6461,09577,03748,666
2010-01-14$34.44$35.0021.8%6.2%11.6%1.7%23.1%2.0%-1.1%4.7M-144.4M-443.5K0.4410.41N/AN/A4,8212,14279,33748,780
2010-01-15$33.25$35.0023.4%6.7%17.5%2.1%24.5%4.7%-0.9%2.3M-119.6M-478.0K1.269.51N/AN/A6,4378,09278,53349,756
2010-01-19$33.92$32.5021.0%6.0%18.6%1.5%21.2%4.6%-0.7%1.9M-76.2M-458.9K0.086.63N/AN/A9,56274147,78120,169
2010-01-20$33.72$32.5023.7%6.8%18.6%2.2%23.6%4.5%-0.2%2.4M-85.2M-549.4K0.1817.76N/AN/A4,43277955,38220,690
2010-01-21$33.10$32.5024.5%7.0%19.9%2.4%24.7%3.3%-0.3%2.6M-77.4M-593.3K0.9116.54N/AN/A2,5912,37058,42621,180
2010-01-22$32.86$32.5027.6%7.9%20.0%3.3%27.4%4.5%-0.8%2.3M-73.6M-619.3K3.0711.46N/AN/A1,8205,59359,46422,800
2010-01-25$32.64$32.5028.0%8.0%18.6%3.4%28.0%4.8%-2.5%1.8M-63.3M-625.7K0.469.93N/AN/A2,4581,14259,51826,838
2010-01-26$32.56$32.5028.7%8.2%18.6%3.6%32.3%4.7%-2.5%1.8M-61.9M-622.1K8.4911.69N/AN/A4804,07559,99726,889
2010-01-27$32.58$32.5029.6%8.5%18.4%3.9%31.2%5.2%-2.6%1.6M-60.4M-633.9K2.2211.76N/AN/A2,0984,65160,00930,271
2010-01-28$32.11$32.5028.9%8.3%18.7%3.7%30.4%5.1%-2.3%1.1M-48.0M-630.0K0.8411.59N/AN/A1,8581,56460,28632,823
2010-01-29$32.05$32.5029.9%8.6%18.7%3.9%30.4%5.0%-3.5%1.2M-48.8M-634.7K1.0319.36N/AN/A1,2641,29861,45333,170