WM Options History — January 2014

In January 2014, WM traded between $41.07 and $44.20. ATM implied volatility averaged 15.0%, placing in the 60.6% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 3.5% (HV 20d: 11.5%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.61.

Notable Days

  • 2014-01-21: Highest Volume — 6,457 contracts
  • 2014-01-16: Largest IV spike — 34.1% change
  • 2014-01-29: Highest IV Rank — 87.4%
  • 2014-01-14: Largest Expected Move — 5.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.87$41.07$44.20$44.20$41.78
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV15.0%11.6%19.0%13.7%17.5%
Expected Move5.1%4.8%5.2%4.9%5.1%
HV 20d11.5%10.0%13.0%12.3%12.4%
HV 60d13.3%12.2%14.0%14.0%12.7%
IV Rank60.6%38.0%87.4%51.9%77.2%
IV Percentile52.2%4.0%91.7%39.3%80.2%
Term Structure-0.2%-1.6%2.5%2.5%-1.1%
VWIV19.3%15.9%29.7%18.6%20.1%
Skew 25d2.8%1.8%3.9%2.4%2.8%
Skew 10d5.9%2.1%12.3%8.7%6.7%
Call IV 25d15.0%12.2%17.9%12.5%16.9%
Put IV 25d17.8%14.9%20.1%14.9%19.6%
Bid-Ask Spread %21.3811.6150.7620.4925.66
Gamma HHI0.260.150.470.390.23
Net GEX2.6M-1.5M6.4M6.4M2.6M
Net DEX-8.3M-37.7M10.3M-37.7M2.6M
Net VEX-325.8K-367.5K-285.1K-329.6K-321.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.610.091.971.971.10
Total Volume1,745.0952416,4575,930241
Total OI57,137.52438,57466,28357,55151,917

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-01-02$44.20$40.0013.7%4.9%12.3%51.9%18.6%2.4%2.5%6.4M-37.7M-329.6K1.9720.49N/AN/A2,0003,93030,38827,163
2014-01-03$44.19$40.0013.8%5.1%12.3%52.8%18.2%3.0%2.0%5.7M-32.5M-367.5K1.3615.75N/AN/A25134232,17830,826
2014-01-06$43.76$40.0013.9%5.0%12.6%53.2%17.8%1.9%-0.4%4.3M-20.1M-353.2K0.3217.46N/AN/A1,49048232,40931,035
2014-01-07$44.08$40.0013.0%5.0%12.2%47.5%18.8%3.5%0.1%5.7M-27.3M-361.1K0.1911.61N/AN/A83615832,39831,354
2014-01-08$43.99$40.0012.9%4.8%12.2%46.6%18.6%2.7%0.2%5.5M-24.8M-355.8K0.3018.40N/AN/A35910933,03631,442
2014-01-09$43.73$40.0012.5%4.9%12.3%44.2%18.8%3.4%0.4%4.0M-16.5M-344.9K0.1615.49N/AN/A1,34021733,17231,490
2014-01-10$43.61$40.0012.4%5.0%10.6%43.6%18.2%2.6%-0.1%3.5M-13.7M-349.8K0.3016.06N/AN/A3069134,32731,588
2014-01-13$43.03$40.0014.3%5.2%11.6%55.8%20.0%2.7%-0.3%888.9K-2.4M-323.7K0.6317.26N/AN/A40725534,46431,623
2014-01-14$43.30$40.0013.9%5.2%11.7%53.2%19.9%3.0%-0.5%1.5M-5.7M-330.7K0.3720.47N/AN/A27610134,57331,710
2014-01-15$43.19$40.0011.6%5.2%11.7%38.0%15.9%3.1%-0.4%465.0K-4.9M-320.5K1.2518.44N/AN/A19724634,03731,673
2014-01-16$42.86$40.0015.5%5.1%11.8%64.2%18.6%2.5%-0.5%-491.1K2.4M-311.6K0.1420.67N/AN/A84212234,13031,755
2014-01-17$43.12$40.0015.5%5.2%11.1%63.7%19.8%3.0%-0.7%-1.5M-3.0M-315.6K0.4319.06N/AN/A49421133,82931,737
2014-01-21$42.91$40.0015.2%5.1%11.2%62.2%17.9%2.1%-0.1%874.0K-5.4M-305.4K0.1120.75N/AN/A5,80964821,84816,726
2014-01-22$42.75$40.0014.9%5.1%10.3%60.0%17.2%2.4%0.3%2.1M-8.1M-329.2K0.0921.58N/AN/A3,16929527,21017,249
2014-01-23$42.31$40.0016.1%5.0%10.0%68.2%20.3%2.8%-0.2%2.7M-4.3M-327.4K0.3222.98N/AN/A1,26740930,12117,416
2014-01-24$41.64$40.0017.0%5.1%10.7%74.2%19.3%3.3%-1.0%2.2M2.5M-304.9K0.9622.16N/AN/A31229830,11517,702
2014-01-27$41.54$40.0016.7%5.0%10.5%72.0%29.7%3.9%-0.9%2.0M6.2M-291.7K0.1625.21N/AN/A1,34821230,14317,885
2014-01-28$41.44$40.0018.3%5.1%10.5%82.5%18.4%2.7%-1.3%2.1M6.2M-297.2K1.8824.14N/AN/A18735231,34817,998
2014-01-29$41.07$40.0019.0%5.1%10.6%87.4%20.1%1.8%-1.6%1.7M10.3M-285.1K0.1150.76N/AN/A4,72750131,41718,233
2014-01-30$41.79$40.0017.2%5.1%13.0%75.0%0.0%3.8%-0.7%2.4M2.6M-315.0K0.6424.68N/AN/A1,10370731,66218,561
2014-01-31$41.78$40.0017.5%5.1%12.4%77.2%0.0%2.8%-1.1%2.6M2.6M-321.8K1.1025.66N/AN/A11512632,69719,220