WM Options History — January 2013

In January 2013, WM traded between $33.97 and $36.46. ATM implied volatility averaged 14.7%, placing in the 25.2% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 4.3% (HV 20d: 10.4%). Max pain ranged from $33.00 to $35.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.59.

Notable Days

  • 2013-01-28: Highest Volume — 40,201 contracts
  • 2013-01-28: Largest IV spike — 49.1% change
  • 2013-01-30: Highest IV Rank — 57.8%
  • 2013-01-30: Largest Expected Move — 5.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.11$33.97$36.46$33.97$36.38
Max Pain$34.57$33.00$35.00$33.00$35.00
ATM IV14.7%12.0%20.1%13.6%19.9%
Expected Move4.4%3.5%5.8%3.9%5.7%
HV 20d10.4%8.6%14.1%14.1%11.9%
HV 60d13.9%13.0%14.1%13.9%13.0%
IV Rank25.2%9.5%57.8%19.1%56.6%
IV Percentile28.5%3.2%91.7%13.5%90.1%
Term Structure-0.8%-4.8%2.1%2.1%-3.9%
VWIV15.5%13.0%20.5%13.8%20.0%
Skew 25d3.3%1.9%5.8%2.0%2.7%
Skew 10d7.5%1.1%12.3%1.5%7.8%
Call IV 25d13.9%10.2%19.4%13.3%18.5%
Put IV 25d17.2%14.8%21.5%15.3%21.2%
Bid-Ask Spread %32.5018.5643.7525.8518.56
Gamma HHI0.410.290.530.380.29
Net GEX9.4M7.0M13.0M10.8M9.6M
Net DEX-135.3M-189.9M-95.9M-95.9M-155.5M
Net VEX-710.5K-828.7K-661.8K-723.7K-828.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.590.192.430.500.41
Total Volume5,104.52491040,2011,5481,685
Total OI139,855.1991,610167,052153,879126,942

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-01-02$33.97$33.0013.6%3.9%14.1%19.1%13.8%2.0%2.1%10.8M-95.9M-723.7K0.5025.85N/AN/A1,031517106,59047,289
2013-01-03$34.09$33.0013.6%3.9%14.1%18.6%14.1%2.3%2.0%11.2M-103.5M-747.2K0.3735.99N/AN/A1,920712107,12147,549
2013-01-04$34.08$34.0012.7%4.4%10.7%13.1%15.4%2.9%0.4%11.9M-101.3M-738.0K0.5741.15N/AN/A579331108,26947,769
2013-01-07$33.97$34.0013.2%4.5%10.7%16.4%16.0%3.2%-0.5%12.3M-96.2M-718.8K1.1133.93N/AN/A478531108,42147,812
2013-01-08$34.04$34.0012.2%4.4%9.7%10.2%15.9%3.3%-0.3%13.0M-100.4M-684.9K0.6731.63N/AN/A568382108,67048,083
2013-01-09$34.57$34.0012.0%4.2%10.9%9.5%14.8%3.3%-0.1%12.8M-138.2M-699.4K0.3431.03N/AN/A3,6701,257108,53448,231
2013-01-10$34.86$34.0014.3%4.1%10.6%23.1%14.2%3.2%-0.2%12.7M-162.9M-681.6K2.4341.11N/AN/A3,6618,883109,60648,661
2013-01-11$34.81$35.0014.2%4.1%8.8%22.3%15.2%3.2%-0.1%8.8M-149.9M-700.2K0.4941.33N/AN/A910449110,52655,151
2013-01-14$34.86$35.0014.8%4.3%8.8%26.3%15.9%3.3%-0.9%8.6M-150.7M-688.4K0.2929.79N/AN/A1,492435110,51655,238
2013-01-15$34.91$35.0014.5%4.1%8.7%24.0%14.4%2.8%-0.9%8.1M-155.8M-672.6K0.5626.70N/AN/A1,017574111,21155,363
2013-01-16$34.97$35.0014.4%4.1%8.6%23.8%15.2%3.4%-0.4%7.3M-161.8M-673.9K0.1937.28N/AN/A1,714332111,30855,405
2013-01-17$35.27$35.0014.4%4.1%8.9%23.4%14.0%4.4%-1.0%7.4M-186.0M-661.8K0.3632.60N/AN/A4,0621,473110,99254,322
2013-01-18$35.25$35.0013.0%3.7%8.7%15.5%13.0%3.3%-0.1%7.0M-189.9M-666.5K0.3438.89N/AN/A4,9711,711111,87955,173
2013-01-22$35.75$35.0012.3%3.5%9.6%11.0%13.6%4.0%-0.2%7.2M-117.8M-676.7K0.2829.70N/AN/A3,04186065,56726,043
2013-01-23$35.50$35.0014.2%4.1%9.9%22.3%14.6%5.1%-0.4%7.5M-110.6M-682.8K1.3427.10N/AN/A1,5552,08566,95226,242
2013-01-24$35.52$35.0012.0%3.5%9.8%9.5%13.2%5.2%-0.5%7.6M-110.8M-687.9K0.6629.07N/AN/A1,04969467,77827,959
2013-01-25$35.69$35.0013.4%3.8%9.6%17.3%14.4%5.8%-1.1%7.5M-116.8M-697.0K0.2632.06N/AN/A1,73444668,47228,223
2013-01-28$36.46$35.0019.9%5.7%11.6%56.5%18.8%1.9%-3.5%7.0M-148.8M-675.2K0.3043.75N/AN/A31,0159,18669,85928,418
2013-01-29$36.31$35.0019.5%5.6%11.2%53.8%19.5%2.6%-3.2%9.0M-151.9M-806.2K0.6229.73N/AN/A2,0581,27488,23633,325
2013-01-30$36.05$35.0020.1%5.8%11.7%57.8%20.5%2.1%-4.8%9.2M-137.5M-808.1K0.3325.21N/AN/A5,1701,68389,44133,813
2013-01-31$36.38$35.0019.9%5.7%11.9%56.6%20.0%2.7%-3.9%9.6M-155.5M-828.7K0.4118.56N/AN/A1,19549092,02234,920