WM Options History — December 2013

In December 2013, WM traded between $43.46 and $44.98. ATM implied volatility averaged 13.6%, placing in the 51.5% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 0.9% (HV 20d: 12.7%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.02.

Notable Days

  • 2013-12-11: Highest Volume — 5,179 contracts
  • 2013-12-11: Largest IV spike — 20.2% change
  • 2013-12-17: Highest IV Rank — 67.3%
  • 2013-12-17: Largest Expected Move — 5.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.40$43.46$44.98$44.95$44.87
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV13.6%11.8%16.0%13.4%11.8%
Expected Move5.0%4.9%5.2%5.0%5.0%
HV 20d12.7%11.3%13.7%13.1%11.3%
HV 60d14.2%13.6%14.9%14.5%13.6%
IV Rank51.5%39.6%67.3%50.1%39.6%
IV Percentile34.7%5.6%67.5%34.1%5.6%
Term Structure1.4%-0.1%3.0%0.5%2.8%
VWIV19.3%17.0%25.4%18.1%18.9%
Skew 25d2.6%1.7%4.3%2.0%1.7%
Skew 10d7.0%3.2%10.0%7.3%6.8%
Call IV 25d12.7%10.9%14.3%12.4%11.4%
Put IV 25d15.3%13.2%17.3%14.5%13.2%
Bid-Ask Spread %18.8314.9636.2519.3818.21
Gamma HHI0.310.130.600.260.32
Net GEX-79.4K-5.5M5.9M-281.3K5.9M
Net DEX-21.2M-52.6M17.6M-31.9M-50.4M
Net VEX-365.5K-404.5K-324.8K-395.2K-331.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.020.0212.210.200.02
Total Volume1,142.4761215,1792,1332,974
Total OI62,599.28652,46069,82162,86055,175

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-12-02$44.95$40.0013.4%5.0%13.1%50.1%18.1%2.0%0.5%-281.3K-31.9M-395.2K0.2019.38N/AN/A1,78035326,94735,913
2013-12-03$44.63$40.0012.7%5.0%13.4%45.4%21.0%2.1%0.8%-939.8K-24.2M-401.0K0.7716.37N/AN/A40331226,94236,082
2013-12-04$44.56$40.0013.6%5.0%13.5%51.1%0.0%4.3%0.0%-1.0M-22.1M-404.5K0.3922.65N/AN/A59723127,19136,226
2013-12-05$44.34$40.0014.0%4.9%13.6%54.2%19.5%3.3%0.5%-979.4K-16.7M-397.4K0.8618.14N/AN/A14012127,50336,358
2013-12-06$44.83$40.0012.9%4.9%13.6%46.6%0.0%2.4%1.2%-852.0K-29.2M-397.9K0.5427.23N/AN/A46725027,52436,411
2013-12-09$44.65$40.0013.6%5.1%12.3%51.6%17.8%2.4%1.6%-1.0M-25.7M-390.8K0.8116.77N/AN/A14411627,90036,620
2013-12-10$44.55$40.0013.0%5.0%12.3%47.4%25.4%2.2%1.6%-1.5M-24.0M-387.5K0.9817.13N/AN/A616027,98536,631
2013-12-11$43.76$40.0015.6%5.0%13.7%64.9%18.4%2.5%1.0%-1.2M-3.5M-370.2K12.2119.80N/AN/A3924,78728,00136,658
2013-12-12$43.81$40.0015.2%5.0%13.3%61.8%21.3%2.6%0.6%-3.5M4.6M-379.3K1.6018.58N/AN/A13721927,98039,416
2013-12-13$43.62$40.0014.8%5.1%12.2%59.3%19.8%2.3%1.1%-3.3M10.5M-376.1K0.2514.96N/AN/A1423628,04939,564
2013-12-16$43.73$40.0014.7%5.0%11.7%58.8%0.0%3.0%1.2%-3.8M10.7M-363.2K0.6915.11N/AN/A1218428,03439,580
2013-12-17$43.46$40.0016.0%5.2%11.4%67.3%18.8%2.7%-0.1%-3.1M17.6M-355.0K0.5016.60N/AN/A1396928,11439,609
2013-12-18$43.99$40.0014.7%5.1%12.5%58.3%18.8%3.1%1.2%-5.5M4.5M-356.7K0.0636.25N/AN/A3,56321128,10739,632
2013-12-19$43.89$40.0014.3%5.1%12.4%56.3%19.3%2.8%1.4%-4.2M7.0M-344.5K0.3316.93N/AN/A1685630,23739,584
2013-12-20$44.37$40.0014.4%5.1%12.8%56.9%17.7%2.6%1.1%-1.8M-22.9M-346.8K0.0315.27N/AN/A1,3783530,27638,583
2013-12-23$44.73$40.0012.3%5.2%12.9%43.0%19.1%2.8%2.0%3.8M-42.8M-338.3K0.0318.53N/AN/A3,0279225,47526,985
2013-12-24$44.92$40.0012.2%5.0%12.7%42.1%17.0%2.9%2.4%5.1M-51.3M-342.6K0.1317.14N/AN/A3835127,63326,969
2013-12-26$44.98$40.0012.2%5.0%12.7%41.9%0.0%1.9%2.6%5.4M-52.6M-337.8K0.0517.40N/AN/A2421227,80626,994
2013-12-27$44.91$40.0012.4%5.0%12.7%43.6%18.3%2.7%2.0%5.4M-51.8M-334.1K0.5616.36N/AN/A24213627,84027,000
2013-12-30$44.88$40.0012.2%5.0%12.7%41.8%18.0%2.4%3.0%5.7M-50.5M-324.8K0.3516.55N/AN/A1936827,94027,111
2013-12-31$44.87$40.0011.8%5.0%11.3%39.6%18.9%1.7%2.8%5.9M-50.4M-331.9K0.0218.21N/AN/A2,9235128,02027,155