WM Options History — March 2014

In March 2014, WM traded between $40.41 and $42.07. ATM implied volatility averaged 13.6%, placing in the 52.2% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded below realized volatility by 3.5% (HV 20d: 17.1%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.41.

Notable Days

  • 2014-03-31: Highest Volume — 5,268 contracts
  • 2014-03-13: Largest IV spike — 10.5% change
  • 2014-03-03: Highest IV Rank — 61.8%
  • 2014-03-12: Largest Expected Move — 5.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.05$40.41$42.07$41.28$42.07
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV13.6%11.7%15.0%15.0%11.7%
Expected Move4.9%4.8%5.0%4.9%4.9%
HV 20d17.1%10.1%23.2%23.2%12.7%
HV 60d16.3%16.0%16.8%16.6%16.8%
IV Rank52.2%39.4%61.8%61.8%39.4%
IV Percentile35.2%4.0%59.1%57.9%4.0%
Term Structure1.5%-0.5%3.0%-0.2%3.0%
VWIV18.1%16.1%21.7%17.4%16.5%
Skew 25d2.5%1.4%3.7%2.2%2.1%
Skew 10d6.3%1.9%9.6%6.9%6.7%
Call IV 25d12.9%10.9%14.5%14.5%10.9%
Put IV 25d15.4%13.0%16.8%16.6%13.0%
Bid-Ask Spread %18.2414.7527.7525.4315.69
Gamma HHI0.180.130.230.180.19
Net GEX2.6M1.1M4.6M2.2M3.7M
Net DEX-6.9M-26.6M3.7M-3.6M-26.6M
Net VEX-308.3K-329.8K-284.0K-315.0K-305.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.410.011.580.990.05
Total Volume1,186.0482525,2681,1765,268
Total OI53,442.85749,04457,21151,72851,297

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-03-03$41.28$40.0015.0%4.9%23.2%61.8%17.4%2.2%-0.2%2.2M-3.6M-315.0K0.9925.43N/AN/A59158531,32920,399
2014-03-04$41.37$40.0014.4%4.8%22.2%57.6%0.0%2.7%-0.5%2.4M-3.3M-315.6K0.0827.75N/AN/A1,88714931,57020,692
2014-03-05$41.34$40.0013.4%4.8%22.1%51.1%17.8%3.7%0.7%2.5M-4.0M-318.6K0.0120.22N/AN/A2,4421532,26320,729
2014-03-06$41.20$40.0014.0%4.8%22.0%55.1%21.7%2.4%0.3%2.7M-6.2M-318.8K0.2316.15N/AN/A62314132,21120,734
2014-03-07$41.38$40.0013.9%4.8%21.5%54.3%19.2%2.6%1.8%3.3M-10.4M-329.8K0.1018.39N/AN/A8068232,35720,756
2014-03-10$41.35$40.0014.4%4.8%20.3%58.0%0.0%2.3%1.3%3.4M-10.1M-324.5K0.0818.36N/AN/A8196732,65620,767
2014-03-11$41.26$40.0014.5%4.9%20.3%58.1%0.0%3.0%1.1%3.4M-7.9M-321.0K1.5815.73N/AN/A17828133,09820,722
2014-03-12$40.59$40.0013.6%5.0%20.7%52.0%18.2%3.2%1.1%1.3M3.7M-297.9K0.1020.32N/AN/A1,10310933,19520,742
2014-03-13$40.41$40.0015.0%5.0%20.7%61.6%18.2%2.4%1.1%1.1M2.5M-298.5K0.1018.01N/AN/A1,90419633,85220,381
2014-03-14$40.81$40.0014.5%5.0%20.7%58.6%0.0%2.9%1.0%2.5M-5.5M-314.2K0.6119.07N/AN/A46428335,51620,491
2014-03-17$41.06$40.0014.2%4.8%20.6%56.2%18.8%3.0%1.1%3.5M-10.0M-311.6K0.3518.78N/AN/A1,21042735,59820,586
2014-03-18$41.31$40.0013.6%4.8%13.2%52.5%17.3%2.6%1.9%4.6M-14.7M-318.2K1.0616.41N/AN/A23124536,29020,921
2014-03-19$41.18$40.0013.8%4.8%12.5%53.5%19.6%2.4%1.8%3.9M-12.2M-313.2K0.5117.27N/AN/A29615136,30120,870
2014-03-20$41.07$40.0013.3%4.8%12.4%49.9%0.0%2.2%1.9%2.7M-9.4M-302.5K0.3916.55N/AN/A2038036,01220,777
2014-03-21$40.73$40.0012.9%5.0%12.7%47.2%17.2%2.0%2.4%1.9M-3.3M-295.8K0.5117.62N/AN/A47123836,02420,722
2014-03-24$40.51$40.0012.8%4.9%12.8%46.9%18.4%1.4%2.5%1.4M-231.5K-284.0K0.3314.75N/AN/A87529330,63418,410
2014-03-25$40.61$40.0012.8%5.0%12.6%46.5%17.5%2.5%2.4%1.5M-2.0M-286.4K0.2116.83N/AN/A83517831,37418,665
2014-03-26$40.52$40.0012.7%5.0%12.6%46.2%18.2%2.6%2.4%1.5M-2.0M-296.2K0.6617.46N/AN/A15210032,15118,826
2014-03-27$40.90$40.0012.4%5.0%12.8%44.4%16.1%1.7%2.8%2.0M-6.7M-300.9K0.2716.37N/AN/A3599832,21418,881
2014-03-28$41.15$40.0012.6%4.8%10.1%45.6%0.0%2.3%2.3%2.5M-11.9M-306.5K0.3315.90N/AN/A35411832,38618,901
2014-03-31$42.07$40.0011.7%4.9%12.7%39.4%16.5%2.1%3.0%3.7M-26.6M-305.1K0.0515.69N/AN/A5,01425432,39618,901