WM Options History — April 2010

In April 2010, WM traded between $34.58 and $35.66. ATM implied volatility averaged 16.8%, placing in the 1.7% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 8.7% (HV 20d: 8.2%). Max pain ranged from $32.50 to $35.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.75.

Notable Days

  • 2010-04-16: Highest Volume — 9,032 contracts
  • 2010-04-15: Largest IV spike — 57.2% change
  • 2010-04-27: Highest IV Rank — 3.1%
  • 2010-04-27: Largest Expected Move — 6.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.99$34.58$35.66$34.58$34.68
Max Pain$34.88$32.50$35.00$32.50$35.00
ATM IV16.8%12.4%21.8%13.8%18.7%
Expected Move5.4%4.0%6.3%4.0%5.4%
HV 20d8.2%5.2%13.0%8.9%13.0%
HV 60d14.9%13.0%16.8%16.7%14.6%
IV Rank1.7%0.5%3.1%0.9%2.2%
IV Percentile10.9%0.8%25.8%1.6%17.1%
Term Structure-0.2%-1.3%5.2%5.2%0.5%
VWIV19.0%13.8%21.8%13.8%19.0%
Skew 25d3.2%-2.0%5.9%-2.0%5.9%
Skew 10d5.9%-2.3%9.1%-2.3%9.0%
Call IV 25d17.8%13.5%21.1%13.5%14.9%
Put IV 25d21.0%11.5%24.9%11.5%20.8%
Bid-Ask Spread %14.367.4822.917.4819.75
Gamma HHI0.410.230.790.450.23
Net GEX5.8M3.3M18.8M4.9M3.5M
Net DEX-125.7M-142.6M-112.4M-122.5M-114.7M
Net VEX-738.2K-922.3K-610.8K-629.2K-915.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.750.035.350.450.53
Total Volume2,785.2384009,0321,259400
Total OI102,931.09593,099111,774100,527107,435

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-04-01$34.58$32.5013.8%4.0%8.9%0.9%13.8%-2.0%5.2%4.9M-122.5M-629.2K0.457.48N/AN/A87038971,42629,101
2010-04-05$34.68$35.0014.4%5.4%8.1%1.1%19.0%3.9%-0.4%5.3M-124.9M-622.3K0.9610.12N/AN/A22721971,59329,364
2010-04-06$34.84$35.0014.2%5.5%7.5%1.0%18.5%3.8%-0.5%5.6M-130.4M-623.0K0.179.87N/AN/A1,30022171,68429,403
2010-04-07$34.68$35.0013.5%5.5%7.8%0.8%20.2%3.5%-0.7%5.6M-124.9M-615.5K0.1212.12N/AN/A1,96923771,78729,407
2010-04-08$34.61$35.0014.1%5.5%7.7%1.0%20.5%3.7%-0.9%5.4M-122.5M-610.8K0.799.18N/AN/A2,2691,79071,78729,407
2010-04-09$34.77$35.0013.2%5.5%7.7%0.7%18.4%3.9%-0.9%6.1M-126.9M-657.4K0.8717.77N/AN/A3,7433,25673,59831,022
2010-04-12$34.92$35.0014.1%5.4%7.6%1.0%20.2%3.2%-0.5%7.1M-133.3M-733.8K0.589.62N/AN/A49829077,01834,196
2010-04-13$34.87$35.0013.3%5.5%7.4%0.8%20.1%3.7%-0.5%7.9M-132.7M-730.6K0.2317.41N/AN/A61114277,18834,180
2010-04-14$35.10$35.0012.4%5.3%7.5%0.5%18.5%3.7%-0.4%9.4M-141.2M-717.0K0.2317.24N/AN/A4,23997777,36634,226
2010-04-15$35.14$35.0019.6%5.6%7.5%2.5%19.3%3.5%-1.3%9.6M-142.6M-727.0K0.4211.24N/AN/A1,45661577,24434,530
2010-04-16$35.03$35.0019.1%5.5%7.6%2.3%19.9%2.6%-0.7%18.8M-137.6M-724.7K0.1511.48N/AN/A7,8271,20577,07834,530
2010-04-19$35.11$35.0019.3%5.5%7.6%2.4%19.2%2.4%-0.6%3.3M-112.4M-745.9K0.7018.48N/AN/A55439067,36925,730
2010-04-20$35.09$35.0018.1%5.2%7.6%2.1%18.5%3.2%-0.3%3.4M-113.0M-728.1K5.359.76N/AN/A1931,03367,68226,023
2010-04-21$35.13$35.0017.7%5.1%6.4%2.0%17.5%3.4%-0.2%3.5M-115.2M-730.5K0.9310.61N/AN/A54150467,81426,141
2010-04-22$35.24$35.0018.4%5.3%5.2%2.1%18.3%4.3%-0.1%3.5M-117.5M-734.4K1.7712.82N/AN/A6601,16668,10426,423
2010-04-23$35.53$35.0018.2%5.2%5.6%2.1%18.3%2.6%0.6%3.6M-123.2M-748.1K0.0322.44N/AN/A7,64225168,42526,567
2010-04-26$35.66$35.0019.9%5.7%5.5%2.5%19.0%2.8%-0.3%3.9M-133.9M-821.7K0.3514.86N/AN/A56119473,85526,707
2010-04-27$34.77$35.0021.8%6.3%11.0%3.1%21.8%2.2%-1.3%3.4M-115.2M-852.3K0.1017.15N/AN/A6,94367975,47526,788
2010-04-28$35.29$35.0021.3%6.1%12.1%2.9%21.1%5.1%-0.4%3.8M-129.6M-922.3K0.7622.91N/AN/A91069279,35027,184
2010-04-29$35.09$35.0018.5%5.3%12.3%2.2%18.5%2.4%0.0%3.8M-124.8M-912.8K0.3019.17N/AN/A63519279,69627,650
2010-04-30$34.68$35.0018.7%5.4%13.0%2.2%19.0%5.9%0.5%3.5M-114.7M-915.6K0.5319.75N/AN/A26113979,74827,687