WM Options History — February 2014

In February 2014, WM traded between $40.58 and $43.67. ATM implied volatility averaged 16.9%, placing in the 74.0% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded below realized volatility by 2.1% (HV 20d: 18.9%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 0.37.

Notable Days

  • 2014-02-18: Highest Volume — 11,105 contracts
  • 2014-02-13: Largest IV drop — 15.2% change
  • 2014-02-05: Highest IV Rank — 98.3%
  • 2014-02-03: Largest Expected Move — 5.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.77$40.58$43.67$41.00$41.50
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV16.9%14.3%20.7%20.4%14.8%
Expected Move5.1%4.9%5.3%5.3%4.9%
HV 20d18.9%13.5%23.3%13.5%23.2%
HV 60d14.7%13.1%16.6%13.3%16.6%
IV Rank74.0%56.9%98.3%96.7%60.1%
IV Percentile72.9%46.0%99.6%98.8%55.2%
Term Structure-0.6%-2.4%0.5%-2.2%-0.1%
VWIV18.0%16.3%22.2%17.2%17.0%
Skew 25d2.9%1.1%3.9%1.6%3.1%
Skew 10d8.3%-4.7%12.6%-4.7%9.4%
Call IV 25d15.2%12.0%20.2%20.2%12.2%
Put IV 25d18.2%15.3%21.8%21.8%15.3%
Bid-Ask Spread %23.8418.6229.4425.5529.44
Gamma HHI0.180.110.250.190.20
Net GEX2.5M543.6K4.8M1.7M2.5M
Net DEX-883.0K-38.7M22.5M10.4M-4.8M
Net VEX-310.9K-353.0K-280.1K-298.0K-315.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.370.021.090.480.25
Total Volume2,371.36813211,1051,6731,196
Total OI54,036.78947,83064,27352,09051,130

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-02-03$41.00$40.0020.4%5.3%13.5%96.7%17.2%1.6%-2.2%1.7M10.4M-298.0K0.4825.55N/AN/A1,13254132,76919,321
2014-02-04$41.29$40.0019.3%5.2%13.9%89.2%22.2%3.1%-0.8%1.8M9.0M-301.8K0.1321.76N/AN/A6228132,25719,555
2014-02-05$41.50$40.0020.7%5.0%13.7%98.3%16.5%1.1%-2.4%2.2M6.1M-310.0K0.3227.37N/AN/A2277232,81119,821
2014-02-06$42.07$40.0018.1%5.2%14.9%81.4%0.0%3.6%-1.2%3.0M-1.5M-324.3K0.0424.31N/AN/A8433732,92919,826
2014-02-07$42.84$40.0017.2%5.2%16.5%76.5%19.4%3.5%-0.4%4.1M-16.9M-347.4K0.3521.34N/AN/A60220833,36719,840
2014-02-10$42.64$40.0018.5%5.3%16.5%85.5%19.1%3.1%-0.8%3.9M-11.5M-337.1K1.0920.29N/AN/A14816133,48519,951
2014-02-11$42.85$40.0019.2%5.1%16.0%90.3%19.0%3.1%-0.8%4.2M-18.5M-344.2K0.6820.92N/AN/A30720833,57220,002
2014-02-12$42.88$40.0019.3%5.2%15.8%90.9%17.3%3.5%-0.6%4.3M-18.7M-342.9K0.5018.62N/AN/A884433,71520,132
2014-02-13$43.33$40.0016.4%5.1%16.2%70.9%16.9%3.5%-1.3%4.8M-28.4M-336.1K0.1422.10N/AN/A4356333,71920,171
2014-02-14$43.67$40.0016.1%4.9%16.2%69.2%16.6%2.4%-1.4%4.8M-38.7M-353.0K0.1521.47N/AN/A5,42382333,80920,191
2014-02-18$41.72$40.0015.7%4.9%23.0%66.3%18.2%2.4%-0.4%2.4M9.7M-280.1K0.4028.01N/AN/A7,9173,18837,96120,301
2014-02-19$41.19$40.0016.1%5.0%23.3%69.4%18.8%2.4%-0.6%1.1M19.6M-283.4K0.7228.40N/AN/A2,6111,88741,60622,667
2014-02-20$40.98$40.0015.4%5.1%23.3%64.7%17.7%3.8%-0.1%543.6K22.5M-281.9K0.3724.15N/AN/A1,17743338,01523,577
2014-02-21$40.99$40.0015.2%5.1%23.1%62.9%20.5%3.6%0.1%580.0K22.0M-290.9K0.0225.74N/AN/A7,92717738,73024,160
2014-02-24$41.06$40.0014.6%4.9%22.5%59.3%0.0%3.5%0.3%1.5M3.4M-288.7K0.2524.02N/AN/A1,34933428,50919,321
2014-02-25$40.76$40.0014.5%4.9%22.6%58.4%16.5%2.2%0.5%1.2M5.9M-290.3K0.6224.90N/AN/A85253129,51019,545
2014-02-26$40.85$40.0014.5%5.1%22.7%58.4%16.3%2.4%0.1%1.3M5.5M-289.1K0.1924.19N/AN/A1,53429429,81319,934
2014-02-27$40.58$40.0014.3%5.1%22.6%56.9%17.4%3.9%0.4%951.6K8.2M-291.9K0.2720.44N/AN/A1,25033430,54720,130
2014-02-28$41.50$40.0014.8%4.9%23.2%60.1%17.0%3.1%-0.1%2.5M-4.8M-315.3K0.2529.44N/AN/A95624030,78520,345