WM Options History — September 2012

In September 2012, WM traded between $31.86 and $34.76. ATM implied volatility averaged 16.2%, placing in the 12.7% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 0.1% (HV 20d: 16.1%). Max pain ranged from $34.00 to $34.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 1.32.

Notable Days

  • 2012-09-19: Highest Volume — 12,022 contracts
  • 2012-09-05: Largest IV spike — 15.0% change
  • 2012-09-21: Highest IV Rank — 16.3%
  • 2012-09-21: Largest Expected Move — 5.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.38$31.86$34.76$34.76$32.08
Max Pain$34.00$34.00$34.00$34.00$34.00
ATM IV16.2%14.8%17.5%14.8%15.0%
Expected Move4.7%4.3%5.0%4.3%4.3%
HV 20d16.1%11.5%17.4%13.3%16.7%
HV 60d18.7%17.6%19.8%17.6%19.1%
IV Rank12.7%8.8%16.3%8.8%9.7%
IV Percentile29.9%14.7%46.0%14.7%16.7%
Term Structure1.3%-0.3%3.0%1.2%3.0%
VWIV16.3%14.0%17.4%15.0%15.4%
Skew 25d3.8%1.1%6.3%5.2%2.1%
Skew 10d9.5%4.6%13.0%12.4%9.2%
Call IV 25d15.1%12.7%17.1%13.3%15.6%
Put IV 25d18.9%17.2%20.6%18.6%17.8%
Bid-Ask Spread %26.1018.9147.6147.6125.09
Gamma HHI0.300.190.390.300.23
Net GEX7.0M1.2M11.0M11.0M1.7M
Net DEX-28.4M-120.4M47.3M-120.4M43.6M
Net VEX-600.9K-748.8K-454.5K-748.8K-494.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.320.0410.110.042.54
Total Volume3,332.10576812,0228,2455,119
Total OI151,161.737146,736157,347154,286157,347

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-09-04$34.76$34.0014.8%4.3%13.3%8.8%15.0%5.2%1.2%11.0M-120.4M-748.8K0.0447.61N/AN/A7,928317107,28347,003
2012-09-05$34.00$34.0017.1%4.9%15.4%14.5%17.1%4.8%0.7%8.9M-66.1M-712.3K0.9530.02N/AN/A96791699,57147,165
2012-09-06$34.44$34.0017.3%5.0%16.2%15.3%15.3%6.3%-0.3%9.8M-88.7M-719.4K0.9735.01N/AN/A48947299,48847,516
2012-09-07$34.50$34.0016.5%4.9%16.2%13.2%16.9%4.4%1.0%10.3M-94.0M-711.6K0.9022.19N/AN/A48843799,85447,417
2012-09-10$34.27$34.0016.0%4.9%16.3%12.0%16.6%4.9%0.9%9.8M-81.6M-692.3K0.2521.32N/AN/A1,122286100,06647,568
2012-09-11$34.15$34.0016.1%4.9%16.3%12.5%17.1%4.4%0.5%9.6M-74.5M-679.4K0.7518.91N/AN/A438330100,21847,713
2012-09-12$33.99$34.0015.6%4.8%16.1%11.1%17.4%4.8%0.7%9.9M-64.1M-658.5K0.9321.75N/AN/A863800100,53447,946
2012-09-13$34.07$34.0016.1%4.6%16.1%12.6%16.6%4.4%1.2%10.5M-67.7M-656.5K0.6425.46N/AN/A1,159739100,62348,238
2012-09-14$33.96$34.0015.5%4.5%15.5%11.0%16.6%4.7%1.7%10.1M-57.2M-638.7K0.5628.47N/AN/A855483100,78248,209
2012-09-17$33.94$34.0016.2%4.7%15.5%12.8%16.4%3.8%0.8%10.7M-57.9M-633.8K10.1123.82N/AN/A2962,992101,28448,396
2012-09-18$33.94$34.0015.6%4.5%11.5%11.0%14.0%4.8%0.9%10.7M-52.7M-620.1K0.2229.50N/AN/A1,454324101,36949,941
2012-09-19$32.69$34.0017.1%4.9%17.3%15.1%17.4%3.4%1.0%5.2M13.3M-520.7K1.3626.83N/AN/A5,0986,924101,35449,973
2012-09-20$32.55$34.0017.3%5.0%17.4%15.8%17.2%3.7%0.8%3.9M28.4M-530.7K1.6425.55N/AN/A1,3192,157101,92254,309
2012-09-21$32.48$34.0017.5%5.0%17.3%16.3%16.9%3.1%0.5%3.7M36.0M-499.6K1.3821.76N/AN/A1,0991,519102,30654,529
2012-09-24$32.35$34.0015.7%4.5%17.3%11.5%15.1%3.0%2.6%3.5M26.4M-486.8K0.1720.71N/AN/A6,0641,02798,19250,544
2012-09-25$32.08$34.0015.9%4.6%17.4%12.1%15.9%2.6%2.6%1.8M44.0M-454.5K0.5625.53N/AN/A2,1591,210101,82051,098
2012-09-26$31.86$34.0016.8%4.8%17.3%14.2%16.6%1.4%2.7%1.4M47.3M-470.8K0.7321.11N/AN/A1,8831,375102,56351,750
2012-09-27$32.02$34.0016.0%4.6%16.6%12.1%15.9%1.1%2.6%1.2M47.0M-488.7K0.3125.18N/AN/A1,685517103,49952,683
2012-09-28$32.08$34.0015.0%4.3%16.7%9.7%15.4%2.1%3.0%1.7M43.6M-494.3K2.5425.09N/AN/A1,4463,673104,34153,006