WM Options History — December 2012

In December 2012, WM traded between $32.52 and $34.33. ATM implied volatility averaged 14.1%, placing in the 20.0% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded below realized volatility by 0.8% (HV 20d: 14.8%). Max pain ranged from $32.00 to $33.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.57.

Notable Days

  • 2012-12-11: Highest Volume — 21,454 contracts
  • 2012-12-12: Largest IV spike — 19.1% change
  • 2012-12-28: Highest IV Rank — 37.6%
  • 2012-12-28: Largest Expected Move — 4.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.67$32.52$34.33$32.52$33.74
Max Pain$32.80$32.00$33.00$32.00$33.00
ATM IV14.1%11.3%16.7%12.2%15.8%
Expected Move4.1%3.2%4.8%3.5%4.5%
HV 20d14.8%13.2%16.8%13.2%14.1%
HV 60d14.8%13.8%16.1%14.7%13.9%
IV Rank20.0%3.9%37.6%8.1%31.8%
IV Percentile20.4%1.2%57.1%2.8%40.5%
Term Structure1.8%1.0%2.6%1.3%1.5%
VWIV14.8%11.5%16.3%12.3%16.2%
Skew 25d3.3%1.5%4.9%3.8%4.1%
Skew 10d7.7%1.4%12.2%8.8%10.5%
Call IV 25d13.6%10.3%15.3%11.2%14.9%
Put IV 25d16.9%13.1%19.0%15.0%19.0%
Bid-Ask Spread %27.9210.5861.7244.4123.77
Gamma HHI0.320.200.440.200.36
Net GEX9.3M4.6M15.1M4.6M9.0M
Net DEX-86.6M-117.8M-22.0M-22.0M-81.0M
Net VEX-724.4K-859.2K-490.6K-490.6K-759.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.570.111.640.620.55
Total Volume3,737.441621,4541,4861,602
Total OI150,546.8128,796164,891128,796153,193

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-12-03$32.52$32.0012.2%3.5%13.2%8.1%12.3%3.8%1.3%4.6M-22.0M-490.6K0.6244.41N/AN/A91756982,88645,910
2012-12-04$32.63$32.0011.3%3.2%13.2%3.9%11.5%4.9%2.2%5.1M-26.2M-495.2K0.2642.54N/AN/A1,26032283,37246,167
2012-12-05$33.52$32.0012.5%3.6%16.1%9.6%13.2%1.5%1.2%6.8M-67.5M-546.6K0.4161.72N/AN/A4,6131,87983,35146,225
2012-12-06$33.68$32.0012.9%3.7%15.6%11.4%13.7%4.6%1.0%7.4M-75.1M-561.8K0.4535.97N/AN/A1,77579185,66246,603
2012-12-07$34.12$33.0011.7%4.0%15.4%5.7%15.2%3.0%1.9%8.1M-96.6M-568.3K0.8126.94N/AN/A3,1292,54086,13046,917
2012-12-10$34.33$33.0012.1%4.2%15.4%7.8%15.5%3.5%2.1%8.1M-109.8M-561.0K0.1123.05N/AN/A15,3151,67287,53247,546
2012-12-11$34.00$33.0012.7%4.3%16.1%10.8%16.0%3.3%1.8%9.1M-105.4M-744.8K0.1128.59N/AN/A19,2982,156100,35848,689
2012-12-12$33.50$33.0015.2%4.7%16.8%22.2%16.3%3.0%1.0%9.8M-88.5M-859.2K1.6425.15N/AN/A7561,241113,72350,460
2012-12-13$33.64$33.0015.0%4.3%15.4%21.4%15.0%3.1%1.9%10.3M-99.2M-858.3K0.2427.13N/AN/A958230113,60950,840
2012-12-14$33.57$33.0014.5%4.2%15.3%18.9%14.9%3.4%2.2%10.3M-95.2M-854.0K0.5624.59N/AN/A662368113,81950,797
2012-12-17$33.74$33.0014.8%4.3%14.8%26.2%14.9%2.9%2.3%11.2M-104.9M-838.2K0.5824.31N/AN/A264152113,75250,877
2012-12-18$33.91$33.0014.3%4.1%14.8%22.9%14.7%3.6%2.5%11.4M-109.1M-845.4K0.3327.17N/AN/A533177113,84250,875
2012-12-19$33.80$33.0014.8%4.2%14.9%25.7%15.4%1.9%2.0%11.8M-105.0M-843.2K0.3823.43N/AN/A863326114,05750,834
2012-12-20$34.01$33.0014.8%4.2%14.8%25.8%14.6%3.6%1.5%15.1M-117.8M-818.4K0.6625.62N/AN/A1,8421,223112,76150,016
2012-12-21$33.85$33.0015.3%4.4%14.9%29.1%15.2%2.0%1.2%13.4M-110.0M-799.5K0.1321.10N/AN/A2,647337112,32949,505
2012-12-24$33.84$33.0015.0%4.3%14.2%27.4%15.8%2.9%1.9%9.3M-89.1M-771.1K0.7510.58N/AN/A478357105,57045,970
2012-12-26$33.73$33.0014.8%4.2%14.2%26.0%14.8%2.3%2.6%9.3M-85.7M-755.2K0.5819.14N/AN/A784453105,87146,140
2012-12-27$33.71$33.0015.1%4.3%13.6%27.7%15.7%4.6%2.0%8.5M-77.6M-765.7K0.5721.18N/AN/A849487105,77146,301
2012-12-28$33.46$33.0016.7%4.8%13.9%37.6%16.0%3.5%1.4%8.1M-65.7M-752.4K1.6322.03N/AN/A351572106,10646,570
2012-12-31$33.74$33.0015.8%4.5%14.1%31.8%16.2%4.1%1.5%9.0M-81.0M-759.6K0.5523.77N/AN/A1,036566106,22646,967