WM Options History — May 2010

In May 2010, WM traded between $32.02 and $35.08. ATM implied volatility averaged 24.3%, placing in the 3.7% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 1.6% (HV 20d: 22.7%). Max pain ranged from $32.50 to $35.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.93.

Notable Days

  • 2010-05-07: Highest Volume — 5,934 contracts
  • 2010-05-14: Largest IV spike — 26.2% change
  • 2010-05-20: Highest IV Rank — 5.5%
  • 2010-05-20: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.30$32.02$35.08$35.08$32.51
Max Pain$34.63$32.50$35.00$35.00$32.50
ATM IV24.3%18.7%30.8%18.7%23.2%
Expected Move7.0%5.4%8.8%5.4%6.6%
HV 20d22.7%13.6%26.8%13.6%25.6%
HV 60d16.2%14.0%17.4%14.0%17.4%
IV Rank3.7%2.2%5.5%2.2%3.4%
IV Percentile45.9%17.9%74.6%17.9%34.5%
Term Structure0.5%-1.1%2.1%0.5%0.8%
VWIV24.6%18.7%32.1%18.7%22.5%
Skew 25d7.8%0.3%11.0%8.2%10.5%
Skew 10d14.7%-0.3%24.3%13.1%15.3%
Call IV 25d20.7%13.7%28.3%13.7%16.6%
Put IV 25d28.5%21.9%38.7%21.9%27.1%
Bid-Ask Spread %18.209.5833.329.5816.20
Gamma HHI0.240.210.320.240.23
Net GEX2.6M-266.0K3.8M3.8M2.7M
Net DEX-77.2M-123.1M-42.9M-123.1M-62.0M
Net VEX-869.8K-932.5K-797.0K-901.9K-810.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.930.056.310.340.12
Total Volume1,739.13415,934377407
Total OI106,683.2597,867111,798107,57999,045

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-05-03$35.08$35.0018.7%5.4%13.6%2.2%18.7%8.2%0.5%3.8M-123.1M-901.9K0.349.58N/AN/A2819679,83227,747
2010-05-04$34.20$35.0020.9%6.0%16.3%2.8%22.2%5.3%-0.2%3.3M-99.7M-923.3K0.3212.73N/AN/A1,46047179,93127,758
2010-05-05$34.04$35.0020.7%5.9%16.3%2.8%21.1%4.3%0.9%2.9M-98.2M-901.9K0.1517.12N/AN/A5,01875079,43227,917
2010-05-06$33.09$35.0025.2%7.2%19.0%4.0%20.3%0.3%0.5%2.6M-81.5M-909.4K0.3833.32N/AN/A2,55398281,33128,424
2010-05-07$32.86$35.0029.2%7.9%18.9%5.1%29.1%5.4%0.2%2.4M-74.2M-924.1K0.1524.78N/AN/A5,13879682,14228,974
2010-05-10$33.98$35.0023.3%6.3%22.8%3.5%25.2%7.8%1.0%2.9M-93.3M-932.5K0.1715.03N/AN/A1,24320781,10429,087
2010-05-11$33.96$35.0021.3%6.4%22.8%2.9%23.3%7.3%0.6%3.0M-93.6M-931.0K0.8925.18N/AN/A18016181,54629,234
2010-05-12$34.35$35.0019.2%6.0%23.1%2.4%20.7%7.8%1.0%3.2M-103.9M-900.6K0.2617.26N/AN/A50713181,59929,296
2010-05-13$34.06$35.0020.9%6.0%23.2%2.8%22.6%7.2%1.0%3.2M-97.3M-873.4K6.3117.53N/AN/A7446781,75829,043
2010-05-14$33.47$35.0026.4%7.6%23.9%4.3%24.5%7.1%-0.2%2.7M-81.7M-900.1K0.8414.77N/AN/A41935081,76829,300
2010-05-17$33.74$35.0026.5%7.6%24.1%4.3%30.7%7.5%-1.1%2.9M-85.7M-886.3K0.6218.42N/AN/A45628182,09329,532
2010-05-18$33.75$35.0027.2%7.8%24.1%4.5%27.5%7.5%-0.9%3.0M-86.8M-889.4K1.1416.95N/AN/A34038782,21429,584
2010-05-19$33.30$35.0027.0%7.7%24.4%4.5%32.1%6.6%0.0%2.3M-61.2M-855.7K0.2122.93N/AN/A1,24126577,39429,647
2010-05-20$32.17$35.0030.8%8.8%26.8%5.5%24.2%10.4%-0.2%1.6M-43.7M-823.1K2.7821.67N/AN/A33994376,77329,849
2010-05-21$32.40$35.0027.0%7.7%26.7%4.5%28.3%10.1%1.4%-266.0K-42.9M-826.3K2.3215.47N/AN/A1,0582,45576,91330,034
2010-05-24$32.02$35.0026.9%7.7%26.7%4.5%26.8%11.0%0.7%2.1M-50.9M-800.0K0.3816.42N/AN/A78629672,15625,711
2010-05-25$32.04$35.0025.4%7.3%25.7%4.0%30.1%11.0%2.1%2.1M-49.7M-797.0K0.4917.15N/AN/A1,15657072,53625,767
2010-05-26$32.22$32.5023.9%6.9%25.0%3.6%19.5%10.0%1.1%2.2M-52.2M-799.8K0.6714.68N/AN/A95864272,59825,848
2010-05-27$32.68$32.5022.1%6.3%25.8%3.1%21.6%10.5%1.6%2.6M-61.7M-808.8K0.0516.83N/AN/A8724672,91425,834
2010-05-28$32.51$32.5023.2%6.6%25.6%3.4%22.5%10.5%0.8%2.7M-62.0M-810.8K0.1216.20N/AN/A3624573,29725,748