WM Options History — August 2013

In August 2013, WM traded between $40.44 and $43.50. ATM implied volatility averaged 12.8%, placing in the 36.8% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 0.6% (HV 20d: 12.2%). Max pain ranged from $41.00 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 0.43.

Notable Days

  • 2013-08-12: Highest Volume — 4,317 contracts
  • 2013-08-14: Largest IV spike — 66.0% change
  • 2013-08-30: Highest IV Rank — 68.4%
  • 2013-08-30: Largest Expected Move — 4.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.19$40.44$43.50$42.54$40.44
Max Pain$41.59$41.00$42.00$41.00$42.00
ATM IV12.8%5.9%16.2%11.7%16.2%
Expected Move4.0%3.3%4.6%3.3%4.6%
HV 20d12.2%8.0%16.5%10.7%15.8%
HV 60d14.7%13.8%15.6%14.2%15.2%
IV Rank36.8%0.0%68.4%12.9%68.4%
IV Percentile25.1%0.0%63.9%4.8%63.9%
Term Structure0.6%0.1%1.1%0.5%0.8%
VWIV14.0%11.9%15.8%11.9%15.4%
Skew 25d2.6%1.9%4.1%2.9%3.2%
Skew 10d5.4%-1.1%10.3%6.2%2.7%
Call IV 25d13.0%10.6%14.8%10.6%14.6%
Put IV 25d15.6%13.4%17.8%13.5%17.8%
Bid-Ask Spread %40.4222.7782.6035.7644.35
Gamma HHI0.290.150.510.360.15
Net GEX8.3M3.3M15.4M9.8M3.3M
Net DEX-76.0M-125.5M-27.0M-88.8M-27.0M
Net VEX-426.4K-463.1K-383.3K-459.9K-383.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.430.071.480.280.31
Total Volume1,485.6363024,3171,3982,384
Total OI70,460.40963,68376,02973,60966,069

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-08-01$42.54$41.0011.7%3.3%10.7%12.9%11.9%2.9%0.5%9.8M-88.8M-459.9K0.2835.76N/AN/A1,09530346,55827,051
2013-08-02$42.60$41.0012.1%3.5%9.9%16.7%12.2%2.8%0.9%10.0M-91.3M-463.1K0.0731.52N/AN/A2,68720046,72027,144
2013-08-05$42.74$41.0012.1%3.8%9.8%16.8%13.2%2.6%0.2%10.8M-95.8M-452.1K0.5227.27N/AN/A64233746,52427,170
2013-08-06$42.64$41.0011.7%3.9%9.0%13.0%13.4%2.2%0.2%11.0M-93.1M-447.8K0.2428.66N/AN/A3708746,85727,276
2013-08-07$42.80$41.0012.0%3.7%9.0%16.0%13.8%2.3%1.1%12.0M-97.1M-448.8K0.2831.84N/AN/A38310847,07327,301
2013-08-08$43.09$41.0011.0%3.8%8.0%6.8%12.5%3.3%0.9%12.9M-111.1M-433.1K0.0730.67N/AN/A2,86820847,24627,332
2013-08-09$43.20$41.0010.3%3.9%8.0%0.3%12.9%2.5%0.5%13.5M-114.6M-442.8K0.1322.77N/AN/A1,49620048,05427,444
2013-08-12$43.17$41.0010.7%3.8%8.0%3.8%13.1%4.1%0.1%14.9M-114.5M-426.2K1.4846.54N/AN/A1,7392,57848,11927,553
2013-08-13$43.50$42.005.9%3.8%8.0%0.0%15.2%2.9%0.5%11.5M-125.5M-416.3K0.4643.79N/AN/A1,11951947,52128,183
2013-08-14$43.12$41.009.8%3.8%8.8%25.8%13.6%3.3%0.2%15.4M-109.8M-427.0K0.5633.76N/AN/A83146547,45728,572
2013-08-15$41.85$42.0014.3%4.1%13.7%56.2%14.8%2.9%0.5%5.4M-59.8M-423.3K0.3045.23N/AN/A2,78182345,13628,604
2013-08-16$41.93$42.0013.9%4.0%13.7%53.3%14.3%2.8%0.8%7.3M-61.0M-427.9K0.3048.93N/AN/A59618145,53628,895
2013-08-19$41.73$42.0014.1%4.1%13.7%54.9%14.5%2.8%0.6%4.9M-54.4M-418.8K0.4144.11N/AN/A1,03642839,01124,672
2013-08-20$42.12$42.0014.2%4.1%14.2%55.3%13.8%2.0%0.7%5.5M-63.9M-425.0K0.4042.48N/AN/A1,26050739,89324,793
2013-08-21$41.58$42.0014.7%4.2%14.8%58.8%15.1%1.9%0.7%4.9M-52.5M-421.3K0.6548.61N/AN/A49431940,33924,835
2013-08-22$41.89$42.0014.4%4.1%15.1%56.7%14.5%2.2%1.0%5.4M-60.4M-422.4K0.2382.60N/AN/A2716240,52524,912
2013-08-23$42.12$42.0013.9%4.0%15.1%53.1%13.8%2.5%1.0%5.7M-65.1M-417.4K0.0751.23N/AN/A6944940,74324,902
2013-08-26$41.98$42.0014.5%4.1%15.0%57.1%14.0%2.1%0.2%5.6M-61.8M-414.6K0.5633.54N/AN/A19310940,92824,917
2013-08-27$41.17$42.0015.4%4.4%16.5%63.0%15.8%2.3%0.8%4.6M-44.3M-408.2K0.8050.38N/AN/A51641141,04224,923
2013-08-28$41.10$42.0015.0%4.3%16.3%60.7%15.2%2.0%0.7%4.4M-41.6M-404.6K0.5533.89N/AN/A20211241,03325,094
2013-08-29$40.92$42.0015.0%4.3%15.5%60.8%14.3%2.4%0.8%4.1M-38.1M-396.2K0.7031.32N/AN/A59942240,99325,179
2013-08-30$40.44$42.0016.2%4.6%15.8%68.4%15.4%3.2%0.8%3.3M-27.0M-383.3K0.3144.35N/AN/A1,82156340,78125,288