WM Options History — June 2010

In June 2010, WM traded between $31.29 and $33.71. ATM implied volatility averaged 22.5%, placing in the 3.3% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded below realized volatility by 3.1% (HV 20d: 25.6%). Max pain ranged from $32.50 to $32.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.49.

Notable Days

  • 2010-06-08: Highest Volume — 5,911 contracts
  • 2010-06-29: Largest IV spike — 15.2% change
  • 2010-06-07: Highest IV Rank — 4.3%
  • 2010-06-07: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.53$31.29$33.71$31.97$31.29
Max Pain$32.50$32.50$32.50$32.50$32.50
ATM IV22.5%20.4%26.4%25.1%22.6%
Expected Move6.5%5.9%7.4%7.2%6.5%
HV 20d25.6%23.6%27.5%25.5%24.1%
HV 60d20.6%17.5%22.1%17.5%22.1%
IV Rank3.3%2.7%4.3%4.0%3.3%
IV Percentile35.3%24.6%66.3%52.4%36.9%
Term Structure2.2%0.5%3.6%0.5%1.6%
VWIV22.2%17.4%26.5%26.4%25.6%
Skew 25d6.5%3.3%10.6%8.4%5.6%
Skew 10d12.3%1.9%19.0%9.5%4.4%
Call IV 25d20.1%16.2%25.7%21.2%23.5%
Put IV 25d26.6%21.5%33.4%29.6%29.1%
Bid-Ask Spread %14.038.2622.8016.9010.76
Gamma HHI0.230.210.260.220.22
Net GEX2.8M2.1M3.7M2.4M2.1M
Net DEX-62.6M-88.7M-39.8M-52.1M-39.8M
Net VEX-761.0K-800.7K-694.1K-787.0K-694.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.490.032.380.242.38
Total Volume1,151.545775,9118611,255
Total OI99,948.597,881102,29299,04399,215

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-06-01$31.97$32.5025.1%7.2%25.5%4.0%26.4%8.4%0.5%2.4M-52.1M-787.0K0.2416.90N/AN/A69416773,30325,740
2010-06-02$32.68$32.5023.0%6.6%25.9%3.4%23.0%9.7%0.7%2.7M-61.3M-800.7K0.0320.89N/AN/A75273,82925,730
2010-06-03$32.80$32.5022.5%6.4%25.9%3.2%22.5%10.6%1.1%2.8M-65.1M-799.2K0.7122.80N/AN/A19413773,85325,731
2010-06-04$31.56$32.5025.0%7.4%27.5%3.9%26.5%7.2%1.1%2.2M-45.3M-758.8K0.1714.77N/AN/A63710873,95525,721
2010-06-07$31.37$32.5026.4%7.4%27.5%4.3%25.9%7.7%0.8%2.1M-41.8M-746.2K0.2318.59N/AN/A1543673,83325,766
2010-06-08$31.85$32.5022.9%7.1%25.0%3.4%25.8%6.2%1.8%2.2M-47.9M-752.2K0.0318.21N/AN/A5,75715473,87025,733
2010-06-09$31.96$32.5022.3%6.9%25.1%3.2%23.2%7.0%2.4%2.5M-52.0M-757.3K0.1118.01N/AN/A3443774,89925,734
2010-06-10$32.83$32.5023.9%6.8%26.8%3.6%22.5%6.2%2.3%3.1M-68.5M-790.2K0.2716.26N/AN/A59516375,08125,734
2010-06-11$32.77$32.5023.1%6.6%26.7%3.4%20.5%6.1%2.3%3.1M-66.0M-774.6K0.4019.50N/AN/A46018275,48625,750
2010-06-14$32.83$32.5023.3%6.7%26.1%3.5%21.9%6.6%2.1%3.3M-69.5M-775.3K0.1311.33N/AN/A1,30917175,59825,895
2010-06-15$33.61$32.5022.9%6.6%27.4%3.4%20.1%5.7%1.8%3.5M-85.9M-798.2K0.0912.44N/AN/A1,70316176,02125,953
2010-06-16$33.64$32.5021.7%6.2%27.4%3.0%19.3%4.7%2.8%3.6M-86.4M-799.7K0.8410.19N/AN/A33427976,23525,950
2010-06-17$33.71$32.5021.3%6.1%26.9%2.9%20.9%4.2%3.1%3.7M-88.7M-798.8K1.1315.57N/AN/A24327476,42625,778
2010-06-18$33.53$32.5020.5%5.9%23.7%2.7%19.4%4.8%2.8%3.6M-84.5M-789.6K0.3312.14N/AN/A86328976,48325,809
2010-06-21$33.55$32.5020.6%5.9%23.6%2.7%17.4%4.6%2.6%3.6M-80.9M-762.3K0.448.26N/AN/A68329974,04323,838
2010-06-22$33.04$32.5020.4%5.9%23.9%2.7%20.1%5.2%3.1%3.2M-70.8M-755.9K1.8815.38N/AN/A13525474,30823,973
2010-06-23$32.67$32.5020.8%6.0%24.3%2.8%20.8%4.4%3.1%2.9M-63.7M-748.1K0.229.23N/AN/A2,09445174,38024,000
2010-06-24$32.14$32.5021.2%6.1%25.0%2.9%21.2%3.3%3.1%2.4M-54.0M-722.5K0.418.82N/AN/A83134273,94124,285
2010-06-25$32.15$32.5020.8%6.0%24.4%2.8%20.7%8.3%3.6%2.5M-53.8M-715.5K0.1711.71N/AN/A67711274,56924,392
2010-06-28$32.30$32.5020.6%5.9%24.4%2.7%20.6%9.5%3.4%2.6M-57.7M-719.0K0.318.32N/AN/A52116474,59224,378
2010-06-29$31.46$32.5023.7%6.8%25.5%3.6%24.7%7.3%1.8%2.2M-42.1M-696.1K0.298.51N/AN/A1,54345174,60524,452
2010-06-30$31.29$32.5022.6%6.5%24.1%3.3%25.6%5.6%1.6%2.1M-39.8M-694.1K2.3810.76N/AN/A37188474,69524,520