WM Options History — October 2010

In October 2010, WM traded between $35.72 and $36.99. ATM implied volatility averaged 16.3%, placing in the 25.4% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 3.0% (HV 20d: 13.3%). 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 18 of 21 days. Put/call ratio averaged 1.39.

Notable Days

  • 2010-10-13: Highest Volume — 4,985 contracts
  • 2010-10-14: Largest IV spike — 102.9% change
  • 2010-10-27: Highest IV Rank — 35.6%
  • 2010-10-07: Largest Expected Move — 5.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.41$35.72$36.99$35.93$35.72
Max Pain$34.88$32.50$35.00$32.50$35.00
ATM IV16.3%9.0%18.6%14.6%17.5%
Expected Move5.0%4.2%5.5%4.2%5.0%
HV 20d13.3%11.7%14.7%12.1%13.5%
HV 60d15.7%15.2%16.5%16.1%15.5%
IV Rank25.4%0.0%35.6%16.0%31.6%
IV Percentile20.4%0.0%38.9%7.5%27.8%
Term Structure0.7%-0.3%3.8%3.8%0.2%
VWIV18.1%15.5%20.1%15.5%19.3%
Skew 25d3.8%1.6%6.2%6.2%3.5%
Skew 10d9.5%2.9%15.5%3.8%11.6%
Call IV 25d16.0%10.4%17.9%10.4%16.2%
Put IV 25d19.8%16.6%22.4%16.6%19.7%
Bid-Ask Spread %21.4712.1240.7212.1324.57
Gamma HHI0.170.150.210.200.16
Net GEX4.6M3.5M6.3M6.2M3.5M
Net DEX-143.9M-181.3M-107.0M-148.2M-107.0M
Net VEX-691.0K-712.3K-665.8K-705.1K-678.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.390.0213.721.071.28
Total Volume2,354.7626374,9851,7741,655
Total OI109,859.333102,063118,089108,185109,069

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-10-01$35.93$32.5014.6%4.2%12.1%16.0%15.5%6.2%3.8%6.2M-148.2M-705.1K1.0712.13N/AN/A85691878,49829,687
2010-10-04$35.75$35.0015.3%5.4%12.3%18.8%20.1%5.1%0.8%6.3M-141.7M-709.6K1.1619.48N/AN/A1,1771,36278,85930,232
2010-10-05$36.40$35.0014.5%5.4%12.8%16.0%16.8%5.0%0.1%5.7M-161.9M-699.5K0.5816.88N/AN/A1,8321,06078,96431,003
2010-10-06$36.55$35.0015.8%5.0%12.8%21.0%20.1%4.4%2.1%5.9M-164.5M-702.5K13.7221.14N/AN/A3144,30979,57930,992
2010-10-07$36.17$35.0015.7%5.5%13.6%20.6%18.8%4.7%0.5%5.3M-151.1M-712.3K0.4912.12N/AN/A1,61878979,60134,433
2010-10-08$36.35$35.0014.4%5.3%13.5%15.6%18.5%4.6%0.3%5.6M-158.4M-685.7K0.2520.72N/AN/A50912879,88734,889
2010-10-11$36.44$35.0016.9%5.3%13.5%25.4%17.8%3.7%0.9%5.1M-161.5M-692.2K0.1313.69N/AN/A1,62121879,93934,982
2010-10-12$36.53$35.0016.6%4.9%13.5%23.9%20.0%3.6%2.1%4.9M-165.9M-689.3K0.1715.52N/AN/A3,09152780,52235,098
2010-10-13$36.99$35.009.0%5.1%13.9%0.0%18.2%3.5%-0.2%4.7M-181.3M-679.9K0.4619.31N/AN/A3,4181,56781,32635,421
2010-10-14$36.91$35.0018.3%5.3%14.0%34.6%18.3%4.2%-0.2%5.0M-174.8M-698.0K0.1919.33N/AN/A2,54048281,45336,636
2010-10-15$36.61$35.0017.8%5.1%14.0%32.8%18.3%3.5%0.7%4.2M-165.2M-701.9K0.1527.83N/AN/A2,06131681,46236,609
2010-10-18$36.47$35.0018.5%5.3%13.9%35.2%17.7%3.8%0.2%3.9M-126.0M-691.0K0.9124.90N/AN/A1,6761,52670,08031,983
2010-10-19$36.13$35.0018.1%5.2%14.2%33.8%18.6%4.2%0.5%3.6M-116.6M-697.9K0.9422.92N/AN/A48345371,28133,438
2010-10-20$36.54$35.0016.9%4.9%14.7%29.4%17.7%3.0%0.4%3.8M-129.1M-689.7K0.2022.72N/AN/A99019671,20733,276
2010-10-21$36.72$35.0016.3%4.7%13.6%27.1%17.7%3.5%0.6%3.9M-131.8M-694.1K0.5319.60N/AN/A51327371,84133,320
2010-10-22$36.79$35.0016.4%4.7%12.2%27.5%16.9%3.7%0.3%4.1M-133.9M-694.7K0.9022.74N/AN/A85477071,97933,256
2010-10-25$36.88$35.0016.5%4.7%11.7%27.7%17.7%3.4%0.4%4.3M-138.7M-674.6K0.0223.24N/AN/A2,2574872,17333,361
2010-10-26$36.50$35.0017.6%5.1%12.5%32.0%16.6%1.6%1.0%4.1M-128.5M-665.8K0.9340.72N/AN/A37935172,78233,360
2010-10-27$36.09$35.0018.6%5.3%13.0%35.6%18.6%2.2%-0.3%3.9M-118.2M-669.2K4.7726.74N/AN/A5432,59272,89633,545
2010-10-28$36.13$35.0016.5%4.7%12.9%28.0%17.7%2.8%0.8%3.7M-116.6M-680.8K0.3624.53N/AN/A2,34583372,91335,214
2010-10-29$35.72$35.0017.5%5.0%13.5%31.6%19.3%3.5%0.2%3.5M-107.0M-678.0K1.2824.57N/AN/A72692974,33634,733