WM Options History — November 2013

In November 2013, WM traded between $43.38 and $46.10. ATM implied volatility averaged 13.0%, placing in the 47.3% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded below realized volatility by 2.1% (HV 20d: 15.0%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.75.

Notable Days

  • 2013-11-29: Highest Volume — 30,013 contracts
  • 2013-11-08: Largest IV drop — 15.4% change
  • 2013-11-07: Highest IV Rank — 57.0%
  • 2013-11-07: Largest Expected Move — 5.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.76$43.38$46.10$43.69$45.68
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV13.0%11.9%14.5%13.2%12.6%
Expected Move5.0%4.9%5.2%4.9%5.0%
HV 20d15.0%11.4%16.1%16.0%11.4%
HV 60d14.8%14.0%15.8%15.8%14.0%
IV Rank47.3%40.3%57.0%48.5%44.5%
IV Percentile25.3%9.1%46.4%27.4%19.4%
Term Structure0.3%-0.2%0.9%-0.1%0.5%
VWIV18.6%17.1%27.4%17.8%17.1%
Skew 25d2.9%1.8%4.8%4.8%3.2%
Skew 10d6.2%1.8%10.6%6.6%4.4%
Call IV 25d12.0%10.1%13.3%10.2%11.1%
Put IV 25d14.9%13.5%16.3%14.9%14.3%
Bid-Ask Spread %16.4811.4521.3219.7413.97
Gamma HHI0.230.200.320.250.22
Net GEX5.3M1.3M11.1M9.9M1.6M
Net DEX-117.6M-176.0M-75.5M-131.4M-78.6M
Net VEX-393.3K-424.9K-326.0K-424.9K-399.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.750.003.590.380.00
Total Volume3,280.951830,0131,59730,013
Total OI73,923.2557,59380,54776,37471,330

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-11-01$43.69$40.0013.2%4.9%16.0%48.5%17.8%4.8%-0.1%9.9M-131.4M-424.9K0.3819.74N/AN/A1,15444350,44625,928
2013-11-04$43.62$40.0013.8%4.9%16.1%52.5%20.4%3.6%0.2%10.0M-132.4M-413.5K0.6218.66N/AN/A81550851,35926,200
2013-11-05$43.70$40.0013.8%5.0%15.4%52.7%0.0%4.1%0.6%9.8M-134.8M-416.7K0.5918.24N/AN/A32519351,47026,567
2013-11-06$43.78$40.0012.9%5.0%15.3%46.9%17.5%2.8%0.0%9.6M-136.5M-416.7K0.1717.29N/AN/A81614151,53926,669
2013-11-07$43.38$40.0014.5%5.2%14.7%57.0%17.3%3.3%-0.0%11.1M-125.0M-419.4K0.9217.34N/AN/A46242751,73626,703
2013-11-08$44.16$40.0012.2%5.0%15.3%42.2%27.4%3.5%0.3%7.1M-154.0M-381.9K0.3018.61N/AN/A96628851,96027,052
2013-11-11$44.12$40.0013.7%5.0%15.3%52.2%0.0%3.2%0.4%7.1M-153.0M-389.9K0.1617.11N/AN/A86613752,15727,147
2013-11-12$43.79$40.0013.4%4.9%15.3%49.8%18.6%2.6%0.0%9.1M-142.1M-392.9K0.5217.53N/AN/A92048252,50827,240
2013-11-13$44.18$40.0012.5%5.0%15.0%44.0%0.0%3.5%0.3%6.5M-153.9M-390.4K0.7216.15N/AN/A37927252,94727,600
2013-11-14$44.79$40.0013.3%5.0%15.2%49.4%19.3%1.8%0.4%4.1M-167.5M-366.9K0.2818.15N/AN/A1,49541551,80627,603
2013-11-15$45.21$40.0013.2%5.0%15.3%48.6%17.3%3.0%0.7%4.0M-176.0M-357.4K0.0815.23N/AN/A1,52812951,94027,782
2013-11-18$45.48$40.0013.0%5.0%15.4%47.6%17.1%1.8%0.0%4.3M-91.2M-326.0K3.5914.98N/AN/A2,4558,81532,13825,455
2013-11-19$45.34$40.0013.1%5.0%15.2%47.7%0.0%2.1%0.1%1.5M-75.5M-416.4K1.3811.93N/AN/A50469733,85633,155
2013-11-20$45.41$40.0012.8%5.0%15.1%45.9%17.3%1.8%0.5%1.3M-77.0M-416.1K0.6818.02N/AN/A60340934,24633,749
2013-11-21$45.78$40.0011.9%5.1%15.2%40.3%17.5%2.1%0.6%1.4M-86.7M-385.6K1.3413.23N/AN/A65687734,36434,088
2013-11-22$46.10$40.0012.4%4.9%15.1%43.4%19.2%2.0%-0.2%1.7M-90.7M-377.3K0.2513.73N/AN/A2,37758333,79734,172
2013-11-25$45.67$40.0012.7%5.0%15.7%45.2%17.9%1.9%0.7%1.7M-82.1M-386.0K0.4616.98N/AN/A1,94988934,99734,608
2013-11-26$45.72$40.0012.3%5.0%15.2%42.6%17.5%2.4%0.9%1.7M-83.6M-394.8K2.2311.45N/AN/A21147135,60835,382
2013-11-27$45.64$40.0012.5%4.9%13.5%44.2%19.3%4.1%0.7%1.6M-80.3M-393.5K0.2521.32N/AN/A75918935,46035,701
2013-11-29$45.68$40.0012.6%5.0%11.4%44.5%17.1%3.2%0.5%1.6M-78.6M-399.5K0.0013.97N/AN/A29,90710635,47135,859