WM Options History — October 2012

In October 2012, WM traded between $31.63 and $32.98. ATM implied volatility averaged 16.9%, placing in the 16.1% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 3.2% (HV 20d: 13.7%). Max pain ranged from $32.00 to $34.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.90.

Notable Days

  • 2012-10-16: Highest Volume — 13,762 contracts
  • 2012-10-11: Largest IV spike — 22.5% change
  • 2012-10-23: Highest IV Rank — 23.5%
  • 2012-10-23: Largest Expected Move — 5.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.25$31.63$32.98$31.63$32.74
Max Pain$32.43$32.00$34.00$34.00$32.00
ATM IV16.9%13.9%19.3%16.8%14.6%
Expected Move5.0%4.1%5.5%4.8%4.2%
HV 20d13.7%9.7%17.0%17.0%11.1%
HV 60d16.2%14.2%19.2%19.2%14.3%
IV Rank16.1%7.3%23.5%14.4%9.4%
IV Percentile41.1%8.3%65.9%40.9%14.3%
Term Structure-0.5%-1.9%3.3%1.6%0.8%
VWIV17.6%14.8%19.9%16.7%14.8%
Skew 25d3.5%1.7%6.2%1.7%6.2%
Skew 10d8.8%2.8%14.1%4.4%11.6%
Call IV 25d16.5%11.3%18.1%17.4%11.3%
Put IV 25d19.9%17.0%21.2%19.1%17.5%
Bid-Ask Spread %28.0611.4441.3031.3041.30
Gamma HHI0.190.160.290.160.20
Net GEX1.3M-891.7K5.1M307.6K5.1M
Net DEX21.0M-31.2M59.6M57.4M-31.2M
Net VEX-499.1K-553.2K-457.7K-463.8K-552.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.900.043.721.551.20
Total Volume3,700.0951,23713,7625,1696,166
Total OI152,307.81109,482178,756158,657119,494

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-10-01$31.63$34.0016.8%4.8%17.0%14.4%16.7%1.7%1.6%307.6K57.4M-463.8K1.5531.30N/AN/A2,0243,145104,54054,117
2012-10-02$31.67$34.0016.6%4.8%16.7%13.9%17.2%1.8%1.5%-342.7K59.6M-463.2K0.4124.67N/AN/A2,052841105,10756,157
2012-10-03$31.68$34.0015.8%4.5%15.5%12.3%16.3%1.8%2.2%-788.6K59.5M-467.6K0.3929.37N/AN/A2,463952106,38656,545
2012-10-04$32.01$34.0014.5%4.1%15.2%9.1%15.0%3.0%3.3%-140.4K44.6M-514.4K1.0027.95N/AN/A2,0932,100108,07557,088
2012-10-05$32.05$32.0014.4%5.1%15.1%9.0%17.4%3.8%-0.1%50.5K44.2M-490.9K0.2932.12N/AN/A2,919850108,88655,958
2012-10-08$32.09$32.0013.9%5.1%15.2%7.3%16.9%4.3%-0.6%-558.1K43.0M-483.1K3.7231.65N/AN/A9453,519109,23855,880
2012-10-09$31.89$32.0014.5%5.2%15.2%9.3%18.1%4.1%-0.9%-891.7K49.8M-457.7K0.5329.11N/AN/A1,316696109,64355,605
2012-10-10$32.00$32.0014.7%5.1%15.4%9.9%17.1%3.6%-0.8%-497.1K45.3M-479.6K0.3323.49N/AN/A1,246415109,46855,715
2012-10-11$32.11$32.0018.1%5.2%15.5%19.7%17.5%3.7%-1.0%-605.5K41.2M-475.7K1.0628.20N/AN/A601636109,71855,722
2012-10-12$32.09$32.0018.0%5.2%15.5%19.6%17.6%3.0%-1.1%-828.3K42.6M-466.3K3.2627.55N/AN/A4411,437109,89255,791
2012-10-15$32.32$33.0018.5%5.3%15.9%21.0%18.5%3.1%-1.3%-448.5K36.2M-481.4K0.7625.05N/AN/A768583110,05556,825
2012-10-16$32.47$32.0018.7%5.4%16.1%21.7%17.3%4.2%-1.6%-323.9K32.4M-467.0K0.0430.02N/AN/A13,182580110,47656,903
2012-10-17$32.75$32.0018.1%5.2%9.7%19.9%19.9%4.6%-1.9%2.7M7.6M-550.2K0.2928.67N/AN/A5,0981,474121,59756,573
2012-10-18$32.98$32.0017.9%5.1%9.8%19.1%18.2%4.0%-1.4%2.8M-10.3M-541.5K0.4327.66N/AN/A1,234532122,58056,176
2012-10-19$32.53$32.0017.6%5.1%11.1%18.5%18.4%3.4%-0.7%2.6M14.9M-523.9K0.9923.14N/AN/A899887122,54056,047
2012-10-22$32.58$32.0017.6%5.0%11.0%18.3%17.9%4.1%-1.3%3.6M-19.4M-498.9K0.1929.13N/AN/A4,11276473,61635,866
2012-10-23$32.30$32.0019.3%5.5%11.0%23.5%18.7%2.7%-1.7%3.6M-14.8M-507.7K0.8130.33N/AN/A1,2381,00376,66636,268
2012-10-24$32.16$32.0019.3%5.5%10.8%23.4%18.8%2.3%-1.4%3.4M-10.1M-505.7K0.7029.30N/AN/A1,7371,21777,11336,825
2012-10-25$32.69$32.0017.8%5.1%12.1%19.1%18.1%4.4%-1.3%4.2M-25.7M-536.7K0.2111.44N/AN/A2,42649977,95237,694
2012-10-26$32.54$32.0017.8%5.1%12.3%18.9%18.3%3.1%-1.8%4.2M-25.6M-553.2K0.7627.82N/AN/A1,4871,12579,71337,954
2012-10-31$32.74$32.0014.6%4.2%11.1%9.4%14.8%6.2%0.8%5.1M-31.2M-552.9K1.2041.30N/AN/A2,8003,36680,71138,783