WM Options History — June 2013

In June 2013, WM traded between $39.04 and $41.77. ATM implied volatility averaged 17.5%, placing in the 42.8% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 3.5% (HV 20d: 14.1%). Max pain ranged from $35.00 to $42.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 0.89.

Notable Days

  • 2013-06-04: Highest Volume — 119,481 contracts
  • 2013-06-24: Largest IV spike — 17.5% change
  • 2013-06-11: Highest IV Rank — 59.5%
  • 2013-06-24: Largest Expected Move — 5.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.27$39.04$41.77$41.62$40.33
Max Pain$36.40$35.00$42.00$42.00$35.00
ATM IV17.5%15.4%20.3%15.6%15.5%
Expected Move5.0%4.4%5.5%4.5%4.4%
HV 20d14.1%10.9%18.8%10.9%18.8%
HV 60d14.8%13.5%16.2%13.5%16.2%
IV Rank42.8%30.5%59.5%31.6%30.7%
IV Percentile72.8%51.2%93.7%54.0%51.2%
Term Structure0.5%-0.9%2.1%0.7%2.0%
VWIV18.6%15.8%30.5%16.7%15.8%
Skew 25d3.8%2.2%5.7%2.2%3.7%
Skew 10d9.5%5.7%15.3%5.7%10.3%
Call IV 25d16.1%13.9%19.1%15.1%13.9%
Put IV 25d20.0%17.3%22.7%17.3%17.6%
Bid-Ask Spread %21.9217.9926.9726.9721.26
Gamma HHI0.180.130.270.200.21
Net GEX4.7M581.9K9.0M6.0M8.0M
Net DEX-140.1M-224.8M-74.0M-222.5M-224.8M
Net VEX-594.3K-632.9K-535.3K-572.1K-596.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.890.014.560.140.19
Total Volume11,913.05411119,4813,744967
Total OI127,847.95107,093138,083123,390138,083

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-06-03$41.62$42.0015.6%4.5%10.9%31.6%16.7%2.2%0.7%6.0M-222.5M-572.1K0.1426.97N/AN/A3,27247286,61036,780
2013-06-04$41.77$42.0015.6%4.5%11.0%31.4%30.5%2.9%-0.0%6.2M-224.3M-600.9K0.0118.18N/AN/A118,0211,46087,48937,189
2013-06-05$40.98$42.0018.1%5.2%12.7%45.9%18.1%3.3%-0.5%3.8M-138.3M-567.2K4.5619.73N/AN/A9934,52568,86938,224
2013-06-06$40.59$42.0019.1%5.5%13.0%51.9%17.8%2.3%-0.9%3.5M-120.6M-598.5K0.3123.16N/AN/A13,3484,12869,29841,280
2013-06-07$40.47$35.0019.1%5.3%13.0%52.4%20.5%4.4%-0.1%4.3M-125.4M-590.5K1.3322.78N/AN/A4,6306,16174,10244,410
2013-06-10$40.45$35.0018.8%5.3%13.0%50.1%17.8%4.1%-0.0%4.3M-126.3M-592.4K0.7417.99N/AN/A1,9231,43076,25347,609
2013-06-11$40.26$35.0020.3%5.2%13.0%59.5%18.1%3.7%0.0%4.1M-114.0M-632.9K2.5721.28N/AN/A1,3383,43676,98448,645
2013-06-12$40.14$35.0019.7%5.4%12.1%55.9%18.5%3.9%-0.6%2.9M-100.7M-627.5K0.4518.03N/AN/A49322477,82751,334
2013-06-13$39.84$35.0018.2%5.2%11.2%46.7%18.5%4.1%-0.6%2.6M-88.8M-610.4K0.6124.60N/AN/A1,10867178,08551,415
2013-06-14$39.68$35.0017.6%5.0%11.2%43.1%18.3%3.3%0.4%2.2M-84.0M-594.5K1.5222.79N/AN/A40561578,67951,559
2013-06-17$40.45$35.0017.4%5.0%13.0%42.4%17.1%4.3%0.5%3.3M-110.8M-615.3K0.9924.62N/AN/A43443178,82451,806
2013-06-18$40.85$35.0015.4%4.4%13.5%30.5%16.8%4.4%0.9%3.9M-131.5M-583.5K0.1623.44N/AN/A2,77245478,83752,091
2013-06-19$40.17$35.0016.8%4.8%14.3%38.5%15.8%2.7%0.6%2.3M-97.5M-545.4K0.5324.37N/AN/A67336077,87952,238
2013-06-20$39.54$35.0017.7%5.1%14.8%43.6%19.7%4.0%0.2%1.4M-74.0M-543.9K1.0923.75N/AN/A77484076,92551,197
2013-06-21$39.86$35.0016.4%4.7%15.3%36.0%20.6%4.4%1.1%581.9K-83.2M-535.3K0.0219.99N/AN/A54,7571,07376,95451,578
2013-06-24$39.04$35.0019.2%5.5%16.4%52.9%19.7%5.7%0.4%8.8M-158.2M-623.2K1.3520.27N/AN/A8651,17192,85342,834
2013-06-25$39.11$35.0018.0%5.2%16.4%45.8%17.4%5.1%1.2%9.0M-161.4M-606.4K0.5322.99N/AN/A1,04055193,19543,388
2013-06-26$40.06$35.0016.1%4.6%18.8%34.6%17.1%4.4%2.0%8.3M-205.1M-618.8K0.3320.75N/AN/A1,52850793,87743,815
2013-06-27$40.21$35.0015.7%4.5%18.7%32.0%17.5%4.1%2.1%8.2M-210.5M-631.6K0.3821.38N/AN/A29711493,89944,045
2013-06-28$40.33$35.0015.5%4.4%18.8%30.7%15.8%3.7%2.0%8.0M-224.8M-596.4K0.1921.26N/AN/A81015794,07844,005