WM Options History — July 2013

In July 2013, WM traded between $40.18 and $42.43. ATM implied volatility averaged 16.4%, placing in the 37.1% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 0.5% (HV 20d: 15.9%). Max pain ranged from $35.00 to $41.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 0.51.

Notable Days

  • 2013-07-09: Highest Volume — 9,694 contracts
  • 2013-07-30: Largest IV drop — 23.2% change
  • 2013-07-15: Highest IV Rank — 47.4%
  • 2013-07-09: Largest Expected Move — 5.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.68$40.18$42.43$40.68$42.03
Max Pain$39.77$35.00$41.00$35.00$41.00
ATM IV16.4%12.8%18.3%14.0%12.8%
Expected Move4.9%3.7%5.9%4.0%3.7%
HV 20d15.9%10.1%19.3%19.0%10.6%
HV 60d15.2%14.0%16.5%16.1%14.0%
IV Rank37.1%22.2%47.4%22.2%23.2%
IV Percentile61.6%17.9%82.9%29.4%17.9%
Term Structure-1.1%-3.0%3.1%3.1%0.3%
VWIV16.8%12.5%19.7%15.7%12.5%
Skew 25d2.9%1.5%5.3%3.2%1.8%
Skew 10d7.6%0.1%13.7%8.8%0.1%
Call IV 25d15.8%12.3%19.6%13.5%12.3%
Put IV 25d18.8%14.1%21.9%16.7%14.1%
Bid-Ask Spread %31.9715.9568.7823.0551.03
Gamma HHI0.260.190.320.200.32
Net GEX7.7M6.1M8.5M7.5M8.1M
Net DEX-208.4M-326.2M-65.6M-242.4M-71.7M
Net VEX-508.0K-565.8K-458.0K-553.9K-458.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.510.051.800.510.82
Total Volume2,491.9093199,6941,3951,120
Total OI118,616.81868,977150,506138,59173,378

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-07-01$40.68$35.0014.0%4.0%19.0%22.2%15.7%3.2%3.1%7.5M-242.4M-553.9K0.5123.05N/AN/A92547094,54744,044
2013-07-02$40.40$35.0016.2%4.7%19.0%35.2%16.3%5.3%1.8%8.1M-229.3M-557.1K0.4321.79N/AN/A56624594,98244,298
2013-07-03$40.18$35.0015.7%4.5%18.0%32.1%17.7%3.3%3.0%8.4M-218.0M-565.8K1.8021.77N/AN/A11420595,28244,423
2013-07-05$40.75$40.0014.1%4.9%18.4%22.3%17.1%3.5%-0.7%7.6M-246.0M-534.9K1.3845.50N/AN/A14119495,34444,475
2013-07-08$40.68$40.0014.1%5.0%18.4%22.3%17.2%4.1%-1.0%6.6M-251.4M-499.6K0.1139.80N/AN/A1,55417595,39344,417
2013-07-09$41.24$40.0016.2%5.9%19.0%35.2%19.7%2.3%-3.0%6.1M-275.9M-515.7K0.0915.95N/AN/A8,89979596,30044,467
2013-07-10$41.40$40.0016.8%5.4%18.9%38.6%17.8%3.2%-2.6%7.7M-289.2M-537.9K0.0536.22N/AN/A5,151281102,99844,772
2013-07-11$41.98$40.0017.3%5.0%19.3%41.7%16.9%2.5%-1.6%8.4M-309.7M-533.5K0.3222.29N/AN/A1,384443103,79244,857
2013-07-12$42.07$40.0017.3%5.0%19.0%41.5%16.8%2.3%-1.6%7.9M-314.3M-527.3K0.1724.51N/AN/A1,793296103,29345,103
2013-07-15$42.07$40.0018.3%5.2%18.9%47.4%17.3%3.0%-2.1%8.5M-315.3M-508.9K0.0619.45N/AN/A6,278400103,84645,299
2013-07-16$41.86$40.0017.6%5.0%18.0%43.3%17.3%2.6%-2.4%8.3M-307.6M-510.0K0.1728.83N/AN/A2,901490104,12245,559
2013-07-17$41.88$40.0018.1%5.2%17.8%46.5%18.9%3.5%-2.5%8.2M-308.7M-498.0K1.3628.85N/AN/A9741,326103,84345,810
2013-07-18$42.32$41.0017.9%5.1%16.7%45.1%16.8%3.3%-2.5%8.4M-324.2M-496.5K0.2731.77N/AN/A996273103,71746,720
2013-07-19$42.39$41.0017.1%4.9%15.2%40.2%15.8%3.7%-1.4%8.1M-326.2M-490.9K0.1424.43N/AN/A1,247176103,64846,858
2013-07-22$42.36$41.0017.0%4.9%15.2%39.5%16.3%3.2%-1.0%7.1M-84.2M-482.0K0.0829.82N/AN/A3,36326144,29324,684
2013-07-23$42.43$41.0016.6%4.7%12.3%37.1%16.0%2.5%-0.7%7.9M-89.2M-498.2K0.3529.98N/AN/A73025546,76424,760
2013-07-24$42.31$41.0017.1%4.9%12.6%40.6%17.3%1.9%-2.0%7.5M-84.4M-486.3K0.6229.84N/AN/A2,4691,52645,64824,911
2013-07-25$42.35$41.0017.7%5.1%10.1%44.1%17.4%2.6%-2.4%7.5M-85.1M-491.3K0.8430.46N/AN/A43536446,35526,224
2013-07-26$42.05$41.0017.6%5.0%10.7%43.2%17.4%2.8%-2.5%7.1M-76.4M-485.8K1.0932.03N/AN/A20522446,49726,535
2013-07-29$41.85$41.0017.6%5.0%11.0%43.3%17.7%2.8%-2.3%6.9M-70.1M-478.2K0.4068.78N/AN/A1,09643546,56326,643
2013-07-30$41.72$41.0013.5%3.9%10.8%30.4%14.0%1.5%-0.1%7.2M-65.6M-465.8K0.1047.17N/AN/A3,32432347,12326,983
2013-07-31$42.03$41.0012.8%3.7%10.6%23.2%12.5%1.8%0.3%8.1M-71.7M-458.0K0.8251.03N/AN/A61450646,36027,018