WM Options History — February 2013

In February 2013, WM traded between $35.92 and $37.32. ATM implied volatility averaged 19.0%, placing in the 50.9% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 6.1% (HV 20d: 12.9%). Max pain ranged from $37.00 to $37.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 0 of 19 days. Put/call ratio averaged 0.68.

Notable Days

  • 2013-02-14: Highest Volume — 41,289 contracts
  • 2013-02-25: Largest IV spike — 14.9% change
  • 2013-02-06: Highest IV Rank — 62.5%
  • 2013-02-14: Largest Expected Move — 5.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.52$35.92$37.32$36.30$37.32
Max Pain$37.00$37.00$37.00$37.00$37.00
ATM IV19.0%16.3%20.9%19.2%16.3%
Expected Move5.1%4.4%5.8%4.4%4.7%
HV 20d12.9%11.6%14.2%12.0%12.0%
HV 60d12.7%12.3%13.3%13.0%12.5%
IV Rank50.9%34.8%62.5%52.4%34.8%
IV Percentile81.9%56.7%94.0%85.7%56.7%
Term Structure-2.1%-3.5%-0.9%-1.4%-1.5%
VWIV17.3%13.2%19.7%13.8%16.2%
Skew 25d3.2%2.1%5.5%3.6%2.1%
Skew 10d8.4%4.0%11.7%8.1%9.1%
Call IV 25d16.1%13.2%18.0%13.3%14.9%
Put IV 25d19.3%16.9%21.2%16.9%17.0%
Bid-Ask Spread %39.7426.7049.0739.0949.07
Gamma HHI0.310.260.340.290.34
Net GEX12.2M9.3M16.0M9.5M16.0M
Net DEX-165.2M-222.8M-133.0M-150.1M-210.9M
Net VEX-887.1K-965.1K-813.2K-813.2K-868.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.680.082.880.140.39
Total Volume6,968.47487141,2895,8332,247
Total OI146,703.053127,191171,469127,191148,832

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-02-01$36.30$37.0019.2%4.4%12.0%52.4%13.8%3.6%-1.4%9.5M-150.1M-813.2K0.1439.09N/AN/A5,11571891,90935,282
2013-02-04$35.92$37.0020.6%4.4%12.9%60.6%15.6%3.4%-1.1%9.6M-133.0M-815.2K1.8531.34N/AN/A8401,55495,52235,615
2013-02-05$35.97$37.0020.5%4.4%12.8%60.2%15.9%3.4%-1.6%9.9M-136.6M-818.8K0.4136.72N/AN/A2,02283795,93136,273
2013-02-06$36.10$37.0020.9%4.4%12.8%62.5%13.2%4.3%-1.2%10.0M-140.9M-822.7K2.8840.92N/AN/A1,1273,24596,37936,596
2013-02-07$36.55$37.0019.3%5.5%12.4%53.1%18.7%3.2%-3.1%9.3M-165.1M-869.8K0.0832.19N/AN/A21,7231,76496,60139,476
2013-02-08$36.30$37.0018.9%5.4%12.7%50.5%17.6%3.6%-2.6%11.7M-158.6M-903.3K0.3940.32N/AN/A8,1703,147106,89140,402
2013-02-11$36.31$37.0019.4%5.6%12.6%53.4%18.6%3.8%-2.8%12.3M-164.1M-908.1K0.5243.59N/AN/A2,2741,171111,33642,608
2013-02-12$36.46$37.0019.6%5.6%12.6%54.9%18.2%4.0%-3.0%12.7M-172.4M-906.7K0.1242.60N/AN/A3,839469111,75643,018
2013-02-13$36.64$37.0018.2%5.2%12.7%46.6%18.4%3.1%-2.3%13.3M-189.4M-909.5K1.6645.36N/AN/A3,6486,063113,61043,022
2013-02-14$37.14$37.0020.2%5.8%13.3%58.1%19.7%3.1%-3.2%13.2M-222.8M-906.6K0.3745.49N/AN/A30,10911,180112,78146,724
2013-02-15$36.69$37.0019.0%5.4%14.1%50.9%18.5%2.9%-2.1%12.2M-179.5M-965.1K0.3037.54N/AN/A3,5991,075119,69851,771
2013-02-19$36.62$37.0018.4%5.3%14.2%47.7%18.0%2.2%-1.3%12.5M-160.9M-916.5K0.1444.00N/AN/A3,635503106,52639,981
2013-02-20$36.53$37.0018.5%5.3%13.5%48.3%17.9%2.4%-1.1%12.8M-158.1M-935.4K1.3226.70N/AN/A1,0781,420108,18140,132
2013-02-21$36.42$37.0019.1%5.5%13.2%51.5%18.1%2.5%-3.3%12.5M-148.6M-926.1K0.7240.89N/AN/A632458108,09339,854
2013-02-22$36.61$37.0017.0%4.9%13.3%39.3%17.7%2.2%-0.9%13.3M-159.5M-911.0K0.5337.03N/AN/A1,338704107,91339,983
2013-02-25$36.34$37.0019.6%5.6%13.6%54.5%19.1%2.5%-3.5%12.6M-144.4M-889.6K0.2636.42N/AN/A3,061788108,20439,763
2013-02-26$36.60$37.0018.4%5.3%11.6%47.3%17.0%5.5%-1.3%13.5M-156.5M-885.4K0.3445.73N/AN/A1,471506108,02340,117
2013-02-27$37.05$37.0017.3%5.0%12.2%40.8%17.1%2.5%-1.7%14.8M-188.0M-883.3K0.4540.05N/AN/A602269108,20640,349
2013-02-28$37.32$37.0016.3%4.7%12.0%34.8%16.2%2.1%-1.5%16.0M-210.9M-868.4K0.3949.07N/AN/A1,613634108,36540,467