WM Options History — September 2013

In September 2013, WM traded between $39.85 and $42.27. ATM implied volatility averaged 14.2%, placing in the 55.6% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded below realized volatility by 0.6% (HV 20d: 14.8%). Max pain ranged from $39.00 to $41.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.69.

Notable Days

  • 2013-09-03: Highest Volume — 3,906 contracts
  • 2013-09-10: Largest IV drop — 18.1% change
  • 2013-09-09: Highest IV Rank — 68.3%
  • 2013-09-26: Largest Expected Move — 5.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.10$39.85$42.27$40.15$41.24
Max Pain$39.84$39.00$41.00$41.00$40.00
ATM IV14.2%12.3%16.2%16.0%14.8%
Expected Move4.8%4.0%5.3%4.6%5.1%
HV 20d14.8%12.6%16.5%15.8%13.2%
HV 60d14.4%13.4%15.4%15.3%13.4%
IV Rank55.6%42.8%68.3%67.3%59.4%
IV Percentile39.5%15.5%63.5%61.5%51.6%
Term Structure1.6%0.5%3.0%1.0%1.8%
VWIV17.3%14.3%21.0%16.1%18.8%
Skew 25d2.4%1.7%3.4%2.1%2.9%
Skew 10d5.3%-1.0%9.4%0.3%9.3%
Call IV 25d13.7%12.4%15.7%15.7%13.0%
Put IV 25d16.1%14.2%18.5%17.9%15.9%
Bid-Ask Spread %28.5619.4148.8630.1629.89
Gamma HHI0.190.140.260.140.21
Net GEX5.5M3.2M8.1M3.2M5.4M
Net DEX-47.3M-81.7M-21.5M-22.1M-44.6M
Net VEX-378.2K-395.7K-366.0K-374.2K-366.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.690.103.160.253.16
Total Volume1,118.953543,9063,906574
Total OI67,968.3564,30570,10067,49367,231

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-09-03$40.15$41.0016.0%4.6%15.8%67.3%16.1%2.1%1.0%3.2M-22.1M-374.2K0.2530.16N/AN/A3,12378341,78725,706
2013-09-04$40.04$41.0015.9%4.6%15.8%66.8%15.8%2.1%0.5%3.4M-22.8M-395.7K0.2829.95N/AN/A89425441,69726,130
2013-09-05$39.85$41.0016.0%4.6%15.6%67.4%16.4%2.4%0.7%3.2M-21.5M-389.8K0.7334.79N/AN/A27720242,09425,855
2013-09-06$39.92$39.0015.4%4.6%15.2%63.4%16.4%2.9%1.0%3.3M-22.3M-389.1K0.3735.61N/AN/A49718642,16825,949
2013-09-09$40.34$39.0016.2%4.7%15.9%68.3%16.3%2.1%0.6%3.9M-28.8M-390.9K0.1724.47N/AN/A72512242,23126,053
2013-09-10$40.70$39.0013.2%4.3%16.5%48.8%15.2%2.1%1.2%4.8M-39.4M-388.0K0.3421.28N/AN/A63721842,47526,113
2013-09-11$40.91$39.0012.3%4.1%16.3%42.8%14.3%2.5%1.9%5.3M-42.9M-394.2K0.1027.82N/AN/A4744742,61626,061
2013-09-12$40.87$39.0014.4%4.1%16.2%56.5%14.7%3.0%1.4%5.2M-40.3M-371.1K0.6723.03N/AN/A48132442,76126,073
2013-09-13$40.89$39.0014.1%4.0%12.6%54.5%15.4%3.4%2.0%5.4M-40.9M-375.0K0.4329.76N/AN/A41917942,97326,302
2013-09-16$41.40$0.0014.8%5.0%13.4%59.3%17.9%2.4%1.8%6.4M-54.9M-379.4K0.5148.86N/AN/A90646443,06026,435
2013-09-17$41.19$40.0014.3%5.0%13.4%56.2%21.0%2.2%1.8%6.4M-50.4M-373.3K0.5529.92N/AN/A31317243,45526,541
2013-09-18$42.22$40.0013.9%5.0%15.9%53.5%18.5%2.6%1.7%7.6M-78.8M-379.2K0.9435.40N/AN/A91885943,54326,557
2013-09-19$42.27$40.0013.3%5.0%15.1%49.0%0.0%1.7%2.0%7.6M-81.7M-371.8K0.7324.72N/AN/A76855743,14726,460
2013-09-20$42.09$40.0013.2%5.1%15.0%48.5%19.0%2.4%2.0%8.1M-75.6M-372.6K0.1619.41N/AN/A1,66527143,19826,669
2013-09-23$41.85$40.0012.8%5.1%15.0%46.1%19.1%1.7%3.0%6.6M-62.9M-368.8K0.4421.13N/AN/A1,09548539,18525,120
2013-09-24$41.69$40.0013.5%5.2%15.0%50.4%18.7%2.2%2.0%6.5M-58.2M-370.5K0.8528.12N/AN/A19116339,58525,531
2013-09-25$41.37$40.0013.7%5.2%13.5%51.9%18.1%2.4%2.0%6.0M-50.4M-366.0K0.3626.06N/AN/A72126039,71425,630
2013-09-26$41.69$40.0012.8%5.3%13.7%45.8%19.2%2.2%2.4%6.5M-58.4M-371.9K2.2124.03N/AN/A4851,07040,19725,837
2013-09-27$41.39$40.0014.3%5.1%13.9%56.3%18.8%2.4%1.9%5.7M-49.1M-376.2K0.4826.81N/AN/A40619440,48126,747
2013-09-30$41.24$40.0014.8%5.1%13.2%59.4%0.0%2.9%1.8%5.4M-44.6M-366.5K3.1629.89N/AN/A13843640,48326,748