WM Options History — May 2013

In May 2013, WM traded between $40.55 and $42.75. ATM implied volatility averaged 13.4%, placing in the 18.4% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded below realized volatility by 0.6% (HV 20d: 14.0%). Max pain ranged from $39.00 to $42.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.50.

Notable Days

  • 2013-05-15: Highest Volume — 11,873 contracts
  • 2013-05-20: Largest IV drop — 13.8% change
  • 2013-05-28: Highest IV Rank — 29.1%
  • 2013-05-28: Largest Expected Move — 4.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.76$40.55$42.75$40.55$41.93
Max Pain$40.64$39.00$42.00$40.00$42.00
ATM IV13.4%11.9%15.2%13.0%14.7%
Expected Move3.9%3.5%4.4%3.7%4.2%
HV 20d14.0%10.6%17.8%17.8%10.8%
HV 60d13.9%13.5%14.2%14.2%13.7%
IV Rank18.4%9.3%29.1%15.8%26.1%
IV Percentile23.5%6.0%48.0%16.3%39.7%
Term Structure0.7%0.0%1.4%0.7%1.0%
VWIV14.1%11.9%15.8%13.8%15.2%
Skew 25d2.6%1.3%3.3%1.5%3.3%
Skew 10d5.6%1.4%10.1%2.3%1.4%
Call IV 25d12.6%10.9%13.9%13.3%13.8%
Put IV 25d15.2%12.4%17.0%14.8%17.0%
Bid-Ask Spread %29.4320.1551.5539.9322.42
Gamma HHI0.210.150.300.160.23
Net GEX5.6M3.1M7.1M3.1M6.2M
Net DEX-242.0M-281.8M-199.6M-199.6M-234.7M
Net VEX-560.2K-604.9K-491.8K-604.9K-586.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.500.043.480.290.42
Total Volume2,366.54543711,8731,708623
Total OI124,982.091112,999134,962123,913123,283

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-05-01$40.55$40.0013.0%3.7%17.8%15.8%13.8%1.5%0.7%3.1M-199.6M-604.9K0.2939.93N/AN/A1,32738176,27747,636
2013-05-02$40.80$40.0013.3%3.8%17.8%17.9%13.3%1.3%0.7%3.5M-209.4M-599.9K0.2128.71N/AN/A64613777,22547,865
2013-05-03$41.12$40.0012.3%3.5%17.4%12.1%12.4%1.5%0.9%4.4M-225.2M-569.5K0.2840.56N/AN/A1,93854577,66247,904
2013-05-06$41.09$39.0012.5%3.9%17.4%13.4%13.6%3.1%0.4%4.6M-224.7M-571.8K0.2023.88N/AN/A91618178,63348,116
2013-05-07$41.42$39.0012.5%3.9%17.5%13.2%13.3%2.7%0.2%5.1M-236.3M-551.2K0.3026.74N/AN/A1,04631978,57348,158
2013-05-08$41.53$40.0012.5%3.6%17.2%13.1%14.0%3.0%1.2%4.9M-243.8M-512.0K1.0527.83N/AN/A65068478,61848,373
2013-05-09$41.30$40.0013.3%3.9%17.3%18.0%14.6%2.7%0.5%4.7M-234.7M-527.8K0.1427.77N/AN/A1,04714778,70048,894
2013-05-10$41.21$40.0011.9%4.0%17.3%9.3%13.6%2.1%0.4%5.1M-232.9M-545.4K0.8925.92N/AN/A28925679,42148,971
2013-05-13$41.03$40.0013.0%4.0%15.4%15.8%14.9%2.5%0.5%5.3M-226.5M-555.9K0.4651.55N/AN/A42119479,41149,130
2013-05-14$41.50$40.0013.2%4.1%15.0%17.4%13.3%2.6%0.4%6.2M-242.9M-526.6K0.3233.20N/AN/A33210579,37949,186
2013-05-15$41.98$40.0013.0%4.2%13.3%16.1%15.0%2.5%0.0%5.3M-259.9M-491.8K0.0626.75N/AN/A11,20267179,43249,209
2013-05-16$41.99$40.0014.3%4.1%12.7%23.8%15.2%2.3%0.7%6.8M-268.5M-594.0K0.3235.77N/AN/A57918386,43948,424
2013-05-17$42.39$40.0014.1%4.0%12.3%22.6%14.2%2.4%0.7%5.9M-281.8M-559.7K0.0435.76N/AN/A2,76711986,49148,471
2013-05-20$42.59$40.0012.2%3.5%11.9%11.1%11.9%2.6%1.4%5.6M-257.0M-547.0K0.2523.13N/AN/A7,3241,84479,83433,165
2013-05-21$42.75$42.0013.3%3.8%11.9%18.1%13.9%2.6%0.6%7.1M-265.3M-574.9K0.3223.87N/AN/A3,9291,26384,64934,831
2013-05-22$42.32$42.0014.0%4.0%11.3%21.9%14.0%2.9%0.2%6.7M-248.8M-584.2K0.2431.13N/AN/A1,43635084,46335,551
2013-05-23$42.30$42.0013.4%3.8%10.9%18.6%14.1%2.5%0.7%6.9M-249.4M-588.9K0.4727.73N/AN/A62029085,32035,795
2013-05-24$42.38$42.0013.7%3.9%10.9%20.0%14.7%3.3%1.2%6.6M-251.3M-547.8K3.4824.84N/AN/A24183884,24535,967
2013-05-28$42.45$42.0015.2%4.4%10.8%29.1%15.7%2.9%0.2%6.1M-256.6M-525.6K0.3724.17N/AN/A2,9111,07184,29636,641
2013-05-29$41.90$42.0014.6%4.2%11.4%25.7%14.8%3.0%0.8%6.2M-231.2M-593.2K0.7325.69N/AN/A73453585,70936,554
2013-05-30$42.15$42.0014.7%4.2%10.6%26.2%15.8%2.9%0.8%6.2M-243.1M-565.9K0.1120.15N/AN/A8769786,01036,695
2013-05-31$41.93$42.0014.7%4.2%10.8%26.1%15.2%3.3%1.0%6.2M-234.7M-586.6K0.4222.42N/AN/A43918486,58136,702