WM Options History — September 2010

In September 2010, WM traded between $33.80 and $35.85. ATM implied volatility averaged 16.2%, placing in the 22.6% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded below realized volatility by 0.3% (HV 20d: 16.5%). Max pain ranged from $32.50 to $34.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.59.

Notable Days

  • 2010-09-01: Highest Volume — 36,333 contracts
  • 2010-09-27: Largest IV spike — 20.7% change
  • 2010-09-09: Highest IV Rank — 31.5%
  • 2010-09-07: Largest Expected Move — 5.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.76$33.80$35.85$34.00$35.74
Max Pain$32.60$32.50$34.00$33.00$32.50
ATM IV16.2%14.4%18.5%16.5%15.5%
Expected Move4.8%4.1%5.5%4.7%4.4%
HV 20d16.5%12.4%20.2%19.9%12.4%
HV 60d17.5%16.2%18.9%18.9%16.2%
IV Rank22.6%15.2%31.5%23.8%19.6%
IV Percentile13.7%6.7%24.2%12.7%11.5%
Term Structure3.2%2.2%4.0%3.1%3.2%
VWIV17.4%14.4%27.1%27.1%15.9%
Skew 25d4.8%3.0%6.4%3.0%4.5%
Skew 10d9.5%5.5%12.6%5.5%8.1%
Call IV 25d14.4%11.1%17.8%15.8%13.1%
Put IV 25d19.2%16.9%22.6%18.8%17.6%
Bid-Ask Spread %12.317.9320.1120.1112.39
Gamma HHI0.210.160.500.180.21
Net GEX6.0M4.6M11.8M4.6M6.2M
Net DEX-115.7M-142.7M-89.8M-92.6M-141.4M
Net VEX-718.8K-739.2K-704.2K-728.0K-705.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.590.031.690.030.60
Total Volume3,234.28652436,33336,3331,917
Total OI105,030.952101,314107,498101,314107,498

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-09-01$34.00$33.0016.5%4.7%19.9%23.8%27.1%3.0%3.1%4.6M-92.6M-728.0K0.0320.11N/AN/A35,42291174,89126,423
2010-09-02$33.84$34.0015.6%4.5%19.9%20.1%16.5%5.8%2.9%4.7M-91.5M-739.2K0.4910.90N/AN/A86442675,27526,901
2010-09-03$34.11$32.5014.8%5.2%20.1%17.2%20.3%4.6%3.8%5.2M-99.9M-738.7K1.6915.84N/AN/A6031,02175,48327,110
2010-09-07$33.83$32.5016.6%5.5%20.2%24.2%18.5%4.8%3.5%4.8M-90.2M-722.0K1.2711.73N/AN/A61277875,69327,831
2010-09-08$33.92$32.5015.4%5.3%20.0%19.5%19.6%5.6%3.3%5.0M-91.4M-738.2K0.8713.63N/AN/A48942675,78228,375
2010-09-09$33.80$32.5018.5%5.3%17.0%31.5%19.1%5.3%3.5%5.0M-89.8M-717.9K0.6610.57N/AN/A73448775,79628,191
2010-09-10$34.00$32.5018.2%5.2%16.8%30.3%18.4%5.1%3.1%5.4M-94.9M-723.3K0.5112.48N/AN/A34817675,92528,170
2010-09-13$34.16$32.5018.3%5.2%16.8%30.7%17.3%5.0%3.1%5.7M-99.9M-716.4K0.3012.26N/AN/A1,17235375,94728,244
2010-09-14$34.27$32.5017.4%5.0%16.7%27.2%16.1%4.6%4.0%6.2M-104.7M-709.9K0.2613.77N/AN/A96524976,57128,425
2010-09-15$34.53$32.5016.0%4.6%15.2%21.9%16.5%4.7%3.6%6.3M-113.1M-713.3K0.4710.31N/AN/A59627977,33028,564
2010-09-16$34.54$32.5016.0%4.6%15.2%21.8%16.2%4.0%3.6%6.2M-114.5M-707.9K0.4711.43N/AN/A51424377,43028,638
2010-09-17$35.00$32.5016.2%4.6%14.7%22.4%16.0%3.6%3.6%11.8M-126.9M-709.8K0.1916.25N/AN/A3,81073877,56528,802
2010-09-20$35.31$32.5015.7%4.5%14.9%20.5%15.8%4.3%3.3%6.1M-129.0M-707.7K1.2514.09N/AN/A1,6982,11876,35126,744
2010-09-21$35.60$32.5014.4%4.1%14.9%15.2%15.6%5.9%3.5%6.0M-137.3M-733.3K0.1611.64N/AN/A1,21019177,59428,357
2010-09-22$35.62$32.5015.2%4.3%14.1%18.4%16.0%5.3%3.3%5.9M-139.0M-726.3K0.2910.18N/AN/A2,35867977,49228,447
2010-09-23$35.12$32.5017.0%4.9%15.3%25.7%16.9%4.5%3.3%5.9M-121.3M-724.9K1.508.78N/AN/A48973577,50128,879
2010-09-24$35.76$32.5014.6%4.2%16.2%16.3%14.4%5.5%3.3%6.1M-140.1M-712.1K0.2210.46N/AN/A1,23727777,39729,017
2010-09-27$35.47$32.5017.6%5.1%16.0%28.2%16.7%4.3%2.2%6.1M-133.4M-705.3K0.3110.24N/AN/A71221977,64529,150
2010-09-28$35.58$32.5015.7%4.5%15.7%20.5%15.9%4.9%2.3%6.2M-136.5M-711.9K0.4513.41N/AN/A42919177,99729,187
2010-09-29$35.85$32.5015.6%4.5%15.0%20.0%16.6%6.4%2.7%6.1M-142.7M-704.2K0.397.93N/AN/A89235277,76829,264
2010-09-30$35.74$32.5015.5%4.4%12.4%19.6%15.9%4.5%3.2%6.2M-141.4M-705.1K0.6012.39N/AN/A1,20071778,10929,389