WM Options History — August 2010

In August 2010, WM traded between $33.01 and $34.65. ATM implied volatility averaged 17.9%, placing in the 26.5% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 0.8% (HV 20d: 17.1%). Max pain ranged from $32.50 to $33.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.51.

Notable Days

  • 2010-08-12: Highest Volume — 3,397 contracts
  • 2010-08-12: Largest IV spike — 18.7% change
  • 2010-08-12: Highest IV Rank — 40.3%
  • 2010-08-12: Largest Expected Move — 5.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.73$33.01$34.65$34.46$33.09
Max Pain$32.91$32.50$33.00$32.50$33.00
ATM IV17.9%13.7%20.7%15.8%18.6%
Expected Move5.3%4.2%5.9%4.5%5.3%
HV 20d17.1%15.2%19.0%17.2%17.1%
HV 60d20.6%18.3%22.1%22.1%18.4%
IV Rank26.5%1.2%40.3%1.4%32.0%
IV Percentile20.1%3.2%34.5%9.5%23.8%
Term Structure1.6%-0.5%3.3%1.7%3.3%
VWIV18.5%14.6%22.4%14.6%16.8%
Skew 25d4.3%0.6%6.3%4.4%5.0%
Skew 10d10.4%1.2%13.7%10.1%7.7%
Call IV 25d16.2%12.2%18.7%12.9%16.6%
Put IV 25d20.5%13.9%24.0%17.3%21.5%
Bid-Ask Spread %18.3011.3826.6911.3819.58
Gamma HHI0.190.160.250.230.16
Net GEX4.4M3.4M6.0M5.4M3.6M
Net DEX-89.3M-115.1M-70.4M-108.9M-70.4M
Net VEX-730.4K-770.3K-700.5K-770.3K-700.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.510.081.540.240.40
Total Volume1,197.1822743,3971,703723
Total OI100,884.54596,796103,461100,645101,180

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-08-02$34.46$32.5015.8%4.5%17.2%1.4%14.6%4.4%1.7%5.4M-108.9M-770.3K0.2411.38N/AN/A1,36833575,32025,325
2010-08-03$34.39$32.5016.6%4.8%17.2%1.7%16.3%4.6%1.3%5.4M-107.1M-762.5K1.2714.96N/AN/A20726375,57125,333
2010-08-04$34.59$32.5014.7%4.2%15.6%1.2%14.6%5.4%1.5%5.6M-112.5M-760.9K0.2112.80N/AN/A3577475,61125,481
2010-08-05$34.46$32.5015.8%4.5%15.4%21.1%15.7%0.6%2.9%5.6M-109.2M-761.5K0.3611.89N/AN/A2077575,77025,495
2010-08-06$34.57$33.0014.1%4.7%15.3%14.2%17.6%3.7%1.4%5.7M-111.9M-756.9K0.3713.22N/AN/A2629675,79625,516
2010-08-09$34.65$33.0013.7%4.7%15.2%12.8%17.1%3.8%1.6%6.0M-115.1M-747.2K0.9415.91N/AN/A14113375,84925,605
2010-08-10$34.32$33.0016.1%5.1%15.4%21.9%18.3%4.0%0.6%5.7M-106.0M-750.5K0.4225.31N/AN/A2018575,91225,585
2010-08-11$33.33$33.0017.5%5.8%18.9%27.5%19.2%5.1%-0.4%4.2M-80.7M-730.8K1.5422.90N/AN/A39961575,95525,642
2010-08-12$33.10$33.0020.7%5.9%19.0%40.3%21.9%5.4%1.1%3.8M-73.6M-721.0K0.2422.28N/AN/A2,74265575,95425,568
2010-08-13$33.01$33.0020.3%5.8%17.1%38.8%22.4%5.0%2.2%3.5M-72.6M-722.9K0.2223.97N/AN/A3307175,65425,729
2010-08-16$33.25$33.0020.3%5.8%17.3%38.8%21.4%6.3%1.9%3.8M-76.2M-711.2K1.0326.69N/AN/A17217875,56725,780
2010-08-17$33.96$33.0018.4%5.3%18.6%31.2%18.7%4.6%1.4%4.8M-96.7M-735.5K0.3215.72N/AN/A1,33842875,67125,773
2010-08-18$33.96$33.0018.4%5.3%18.6%31.1%16.8%3.5%1.4%4.8M-96.0M-728.1K0.5721.49N/AN/A82847676,13325,832
2010-08-19$33.48$33.0020.2%5.8%17.8%38.0%22.3%4.0%-0.5%3.9M-83.0M-713.6K0.7623.12N/AN/A76658276,57726,115
2010-08-20$33.60$33.0018.4%5.3%17.6%31.0%19.7%4.3%1.9%4.0M-84.9M-713.3K0.5518.47N/AN/A1,66792576,84326,618
2010-08-23$33.52$33.0018.0%5.2%16.6%29.7%18.0%3.6%1.2%3.7M-81.0M-709.1K0.4322.51N/AN/A1,75175271,72225,074
2010-08-24$33.17$33.0019.8%5.7%17.0%36.7%20.6%4.0%2.5%3.5M-74.1M-716.3K0.3416.72N/AN/A1,15139473,00825,600
2010-08-25$33.12$33.0019.9%5.7%17.0%36.9%20.0%4.5%2.0%3.4M-71.7M-713.5K0.2815.39N/AN/A1,61745373,08425,867
2010-08-26$33.09$33.0019.9%5.7%16.9%37.0%19.7%3.5%2.2%3.4M-71.5M-712.7K0.1918.06N/AN/A1,21223673,19326,117
2010-08-27$33.62$33.0017.4%5.0%17.7%27.3%17.8%6.2%2.8%4.0M-83.0M-718.4K0.4513.68N/AN/A33515274,23026,209
2010-08-30$33.43$33.0018.9%5.4%16.9%33.1%16.8%4.3%1.0%3.9M-79.5M-712.0K0.0816.63N/AN/A1,47311374,35426,242
2010-08-31$33.09$33.0018.6%5.3%17.1%32.0%16.8%5.0%3.3%3.6M-70.4M-700.5K0.4019.58N/AN/A51720674,87626,304