WM Options History — March 2013

In March 2013, WM traded between $36.75 and $39.21. ATM implied volatility averaged 13.4%, placing in the 17.8% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded above realized volatility by 1.1% (HV 20d: 12.3%). Max pain ranged from $33.00 to $37.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.68.

Notable Days

  • 2013-03-12: Highest Volume — 16,441 contracts
  • 2013-03-26: Largest IV drop — 18.9% change
  • 2013-03-01: Highest IV Rank — 47.3%
  • 2013-03-01: Largest Expected Move — 5.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.62$36.75$39.21$36.90$39.21
Max Pain$36.05$33.00$37.00$37.00$37.00
ATM IV13.4%10.3%18.4%18.4%10.3%
Expected Move3.7%2.9%5.3%5.3%2.9%
HV 20d12.3%11.3%13.6%12.5%12.3%
HV 60d11.8%11.4%12.8%12.8%11.8%
IV Rank17.8%0.0%47.3%47.3%0.0%
IV Percentile20.7%0.0%77.4%77.4%0.0%
Term Structure1.5%-2.5%3.7%-2.5%3.7%
VWIV14.1%10.3%29.5%18.6%10.4%
Skew 25d2.5%1.2%5.3%3.0%5.3%
Skew 10d4.7%-0.6%10.9%2.3%4.5%
Call IV 25d12.0%6.2%17.3%17.3%6.2%
Put IV 25d14.4%11.4%20.4%20.4%11.4%
Bid-Ask Spread %26.378.6852.2952.2929.81
Gamma HHI0.320.200.560.320.21
Net GEX14.5M7.8M28.0M14.4M7.8M
Net DEX-173.0M-225.2M-118.2M-175.7M-216.6M
Net VEX-733.8K-876.3K-562.8K-876.3K-562.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.680.013.050.620.28
Total Volume3,62380416,4411,6512,798
Total OI127,751.3108,071150,780149,452114,763

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-03-01$36.90$37.0018.4%5.3%12.5%47.3%18.6%3.0%-2.5%14.4M-175.7M-876.3K0.6252.29N/AN/A1,020631108,66940,783
2013-03-04$37.20$33.0017.6%4.2%12.7%42.5%16.4%2.7%0.6%16.4M-198.2M-853.7K0.3324.52N/AN/A1,907637109,11740,919
2013-03-05$37.50$33.0016.2%4.1%12.1%34.2%14.5%2.5%0.1%17.6M-225.2M-826.8K0.1423.29N/AN/A2,972421109,62040,827
2013-03-06$37.23$33.0015.2%4.0%12.6%28.3%29.5%2.6%0.6%18.1M-206.0M-795.4K0.0529.17N/AN/A15,121746110,02040,760
2013-03-07$36.75$36.0014.9%4.0%13.6%26.5%14.5%2.3%0.7%14.9M-118.2M-778.9K0.1522.97N/AN/A3,54154990,05440,641
2013-03-08$36.92$36.0013.6%3.9%13.0%18.7%13.4%2.8%0.8%17.8M-136.8M-785.6K0.438.68N/AN/A83736492,35040,864
2013-03-11$37.00$36.0014.5%3.8%12.7%24.0%14.1%3.0%0.8%20.4M-139.8M-748.0K0.6624.17N/AN/A95362990,42540,922
2013-03-12$36.96$36.0014.5%3.9%12.7%24.0%13.4%2.5%1.0%21.6M-135.5M-738.8K0.0119.96N/AN/A16,28116090,59241,296
2013-03-13$37.26$36.0012.7%3.8%12.9%13.2%13.4%1.2%1.0%27.3M-184.0M-754.3K0.7120.71N/AN/A71350397,28941,360
2013-03-14$37.23$36.0013.1%3.8%12.9%15.9%12.9%1.2%1.4%28.0M-179.8M-737.0K0.1032.31N/AN/A2,50925696,10341,273
2013-03-15$37.52$36.0011.4%3.3%12.2%5.6%12.1%1.7%2.1%18.2M-215.9M-703.9K3.0526.29N/AN/A1,3894,24097,39441,358
2013-03-18$37.48$37.0012.6%3.6%11.3%12.9%12.6%1.8%1.7%8.9M-139.1M-711.8K1.9027.04N/AN/A8291,57872,87635,195
2013-03-19$37.42$37.0013.1%3.8%11.3%15.8%14.6%2.1%2.5%8.4M-132.9M-733.2K2.0121.89N/AN/A8421,69673,22336,681
2013-03-20$37.93$37.0011.8%3.4%12.0%8.3%12.4%1.5%2.7%8.5M-155.5M-713.4K0.2227.76N/AN/A1,21626673,77637,920
2013-03-21$37.88$37.0012.3%3.5%12.0%11.2%12.4%1.2%2.3%8.6M-157.7M-685.0K0.3931.06N/AN/A1,46756774,58537,969
2013-03-22$38.37$37.0012.6%3.6%12.5%13.0%12.8%1.3%2.4%8.3M-178.0M-698.9K0.2627.26N/AN/A1,38236075,10738,202
2013-03-25$38.38$37.0013.0%3.7%12.0%14.9%12.9%3.3%2.0%8.4M-182.2M-651.5K1.4528.62N/AN/A49271575,45938,421
2013-03-26$38.64$37.0010.5%3.0%12.0%0.3%11.1%3.6%3.3%8.4M-191.9M-654.8K0.2723.69N/AN/A84422575,34638,490
2013-03-27$38.62$37.0010.3%3.0%11.5%0.0%10.3%3.7%3.6%8.5M-191.9M-665.7K0.5326.00N/AN/A52428075,80838,569
2013-03-28$39.21$37.0010.3%2.9%12.3%0.0%10.4%5.3%3.7%7.8M-216.6M-562.8K0.2829.81N/AN/A2,17961975,98138,782