WM Options History — April 2013

In April 2013, WM traded between $38.14 and $40.98. ATM implied volatility averaged 14.5%, placing in the 25.0% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded below realized volatility by 0.2% (HV 20d: 14.7%). Max pain ranged from $37.00 to $40.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 1.53.

Notable Days

  • 2013-04-25: Highest Volume — 18,994 contracts
  • 2013-04-11: Largest IV spike — 47.7% change
  • 2013-04-23: Highest IV Rank — 59.6%
  • 2013-04-23: Largest Expected Move — 5.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.10$38.14$40.98$38.64$40.98
Max Pain$38.18$37.00$40.00$37.00$40.00
ATM IV14.5%10.8%20.4%11.6%12.7%
Expected Move4.3%3.3%5.8%3.3%3.6%
HV 20d14.7%11.6%18.5%12.8%17.3%
HV 60d13.2%12.2%14.2%12.3%14.2%
IV Rank25.0%2.8%59.6%8.0%14.4%
IV Percentile34.8%1.6%92.1%4.0%14.7%
Term Structure-0.6%-3.4%3.4%2.7%1.1%
VWIV15.5%11.8%20.5%12.9%13.0%
Skew 25d3.2%0.8%5.5%3.8%0.8%
Skew 10d5.1%-1.4%10.8%3.0%1.3%
Call IV 25d13.2%6.2%17.9%7.2%12.7%
Put IV 25d16.4%10.5%21.1%10.9%13.5%
Bid-Ask Spread %35.6120.7086.5630.3234.78
Gamma HHI0.200.160.240.200.16
Net GEX7.1M2.6M9.3M9.3M3.5M
Net DEX-191.3M-228.9M-136.4M-191.9M-218.5M
Net VEX-639.1K-712.6K-568.6K-629.3K-568.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.530.149.001.080.33
Total Volume4,232.5911,05318,9941,0932,987
Total OI118,498.593,250125,455116,063122,626

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-04-01$38.64$37.0011.6%3.3%12.8%8.0%12.9%3.8%2.7%9.3M-191.9M-629.3K1.0830.32N/AN/A52656776,98839,075
2013-04-02$38.78$37.0012.1%3.5%12.7%10.6%12.8%4.6%2.3%8.3M-192.0M-638.1K0.1428.14N/AN/A4,66766577,13539,527
2013-04-03$38.64$37.0012.0%3.4%12.6%10.1%12.2%3.0%2.9%8.7M-190.2M-662.1K0.5329.22N/AN/A1,33170779,77939,660
2013-04-04$38.85$37.0011.8%3.4%12.2%8.9%11.8%5.3%3.4%8.7M-194.3M-683.8K2.0431.05N/AN/A6881,40680,30340,163
2013-04-05$38.51$38.0011.9%4.3%11.6%9.4%15.7%2.5%-1.5%9.2M-182.8M-712.6K0.5522.73N/AN/A1,13862280,66340,918
2013-04-08$38.75$38.0012.3%4.3%11.7%11.9%16.0%3.0%-1.1%9.2M-199.2M-677.6K0.7029.24N/AN/A62043380,67840,981
2013-04-09$38.89$38.0011.9%4.3%11.7%9.8%14.8%2.7%-1.6%8.8M-209.3M-652.0K0.2520.70N/AN/A1,24630781,00441,152
2013-04-10$39.36$38.0010.8%4.5%12.1%2.8%15.7%2.7%-1.9%8.0M-228.9M-604.1K0.4325.17N/AN/A2,05987981,48941,318
2013-04-11$39.30$38.0015.9%4.6%12.0%33.2%15.8%2.7%-1.8%8.0M-225.8M-612.3K4.3242.02N/AN/A8373,61781,58941,641
2013-04-12$39.21$38.0016.0%4.6%12.1%33.7%15.9%2.8%-1.8%7.4M-221.1M-627.6K0.2049.78N/AN/A88818181,82042,964
2013-04-15$38.43$38.0017.9%5.1%14.4%44.9%17.9%2.5%-2.8%9.3M-186.9M-667.3K1.0435.60N/AN/A87891382,03243,012
2013-04-16$39.05$38.0016.3%4.7%15.3%35.3%15.9%3.0%-2.0%7.7M-213.4M-644.5K0.3130.29N/AN/A89827681,81743,520
2013-04-17$38.40$38.0017.9%5.1%16.6%45.0%17.5%3.6%-2.4%8.8M-184.1M-668.3K1.0136.22N/AN/A68268881,87643,579
2013-04-18$38.14$38.0018.6%5.3%16.2%49.2%19.9%3.6%-3.1%9.3M-171.2M-668.2K0.1742.48N/AN/A1,30822581,14143,602
2013-04-19$38.70$38.0016.6%4.8%17.0%37.5%17.7%4.1%-1.9%7.6M-197.8M-622.9K0.6538.10N/AN/A94761481,46743,642
2013-04-22$38.53$38.0018.1%5.2%16.5%46.4%18.3%2.4%-2.1%6.3M-141.8M-616.7K9.0033.99N/AN/A7897,10265,78727,463
2013-04-23$38.70$39.0020.4%5.8%16.5%59.6%20.5%3.3%-3.4%4.7M-136.4M-642.3K5.7186.56N/AN/A1,94611,11866,33833,349
2013-04-24$39.55$39.0013.7%3.9%18.1%20.0%15.4%5.5%0.1%2.6M-161.6M-628.8K1.0043.43N/AN/A3,1523,15767,67241,009
2013-04-25$40.02$39.0015.3%4.4%18.5%29.5%16.4%2.3%-0.3%3.0M-182.7M-590.6K1.2327.21N/AN/A8,53510,45969,61941,311
2013-04-26$40.19$39.0012.2%3.5%17.8%11.2%12.7%1.2%1.6%3.7M-185.1M-627.0K2.1830.80N/AN/A3,1296,83372,88742,721
2013-04-29$40.47$40.0013.3%3.8%16.9%17.7%13.2%3.9%0.9%3.1M-194.4M-614.3K0.7935.63N/AN/A1,7281,36975,10646,544
2013-04-30$40.98$40.0012.7%3.6%17.3%14.4%13.0%0.8%1.1%3.5M-218.5M-568.6K0.3334.78N/AN/A2,24574275,35847,268