WM Options History — April 2014

In April 2014, WM traded between $41.06 and $44.45. ATM implied volatility averaged 13.7%, placing in the 52.8% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 0.1% (HV 20d: 13.6%). 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 8 of 21 days. Put/call ratio averaged 0.52.

Notable Days

  • 2014-04-29: Highest Volume — 11,123 contracts
  • 2014-04-10: Largest IV spike — 37.9% change
  • 2014-04-14: Highest IV Rank — 78.3%
  • 2014-04-07: Largest Expected Move — 4.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.20$41.06$44.45$41.93$44.45
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV13.7%11.5%17.4%11.6%12.6%
Expected Move4.8%4.5%4.9%4.8%4.7%
HV 20d13.6%11.8%15.8%12.8%14.4%
HV 60d16.9%16.5%17.2%16.8%16.8%
IV Rank52.8%38.1%78.3%39.0%45.5%
IV Percentile34.7%2.0%84.1%2.8%16.7%
Term Structure-0.1%-2.6%3.0%3.0%1.4%
VWIV17.3%14.6%20.1%16.1%18.5%
Skew 25d2.4%0.6%3.8%0.6%3.8%
Skew 10d6.5%0.5%10.2%4.4%5.4%
Call IV 25d13.4%9.4%15.9%11.8%10.8%
Put IV 25d15.8%12.4%18.4%12.4%14.7%
Bid-Ask Spread %21.1815.4027.4618.9227.46
Gamma HHI0.310.150.820.280.21
Net GEX6.6M1.5M19.7M6.4M7.2M
Net DEX-36.5M-104.3M-13.1M-33.2M-104.3M
Net VEX-328.4K-420.3K-290.3K-322.9K-420.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.520.081.750.100.08
Total Volume2,393.14330511,1238783,802
Total OI54,004.57137,37761,07555,77261,075

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-04-01$41.93$40.0011.6%4.8%12.8%39.0%16.1%0.6%3.0%6.4M-33.2M-322.9K0.1018.92N/AN/A7978136,87618,896
2014-04-02$41.71$40.0012.1%4.8%13.0%41.8%16.2%0.7%2.4%6.1M-30.5M-328.7K0.3619.13N/AN/A60421637,55418,938
2014-04-03$41.84$40.0011.8%4.8%12.9%40.3%0.0%3.1%2.5%6.5M-30.4M-325.6K0.1215.40N/AN/A7609237,80219,066
2014-04-04$41.83$40.0012.0%4.8%12.9%41.5%15.3%2.3%-0.6%6.8M-34.4M-329.2K0.5420.16N/AN/A54229138,36219,092
2014-04-07$41.60$40.0012.7%4.9%13.0%45.8%20.1%1.3%-0.6%6.3M-28.3M-320.1K0.8719.66N/AN/A16414338,48119,102
2014-04-08$42.00$40.0012.8%4.8%13.4%46.9%0.0%3.1%-0.8%7.6M-37.5M-323.3K0.9318.06N/AN/A15814738,59019,134
2014-04-09$41.97$40.0011.7%4.8%11.8%39.0%19.8%2.0%-0.2%7.9M-37.3M-321.0K0.1920.99N/AN/A58911338,70419,223
2014-04-10$41.38$40.0016.1%4.9%12.9%68.9%14.6%2.5%-1.5%6.5M-23.6M-311.9K0.3919.26N/AN/A50219638,81019,265
2014-04-11$41.06$40.0016.7%4.8%12.8%73.2%17.6%2.2%-1.5%5.2M-14.6M-301.0K1.7523.50N/AN/A25043738,86419,329
2014-04-14$41.40$40.0017.4%4.8%13.0%78.3%17.1%3.1%-2.6%6.6M-18.6M-299.4K0.2022.25N/AN/A1,16323738,98119,602
2014-04-15$41.40$40.0016.9%4.8%12.8%74.4%0.0%2.4%-2.2%6.8M-19.7M-297.2K0.9321.33N/AN/A57753439,34619,418
2014-04-16$42.16$40.0015.5%4.8%14.3%65.2%15.7%3.2%-1.2%9.5M-42.7M-306.6K1.5323.56N/AN/A7131,09138,90319,785
2014-04-17$42.03$40.0015.1%4.8%14.3%62.1%0.0%2.3%-0.9%19.7M-38.9M-301.0K1.1319.98N/AN/A66875339,08820,388
2014-04-21$41.86$40.0014.7%4.8%14.0%59.9%20.0%2.9%-0.4%1.5M-13.1M-290.3K0.1025.44N/AN/A4,43142621,23416,143
2014-04-22$41.96$40.0015.0%4.7%13.7%62.1%18.3%3.3%-1.3%2.4M-20.7M-324.6K0.6122.97N/AN/A54033225,49216,464
2014-04-23$41.99$40.0014.2%4.8%13.7%56.6%16.6%2.6%-0.1%2.4M-19.2M-322.2K0.3023.04N/AN/A75822925,92016,622
2014-04-24$42.84$40.0011.5%4.7%15.1%38.3%17.5%2.4%1.0%3.4M-33.6M-334.2K0.1520.73N/AN/A9,0131,30926,43016,808
2014-04-25$43.04$40.0011.5%4.7%14.9%38.1%17.5%1.9%1.2%6.7M-49.1M-364.5K0.1721.94N/AN/A1,21420633,27617,749
2014-04-28$43.81$40.0012.6%4.5%15.8%45.7%17.5%2.5%0.2%6.4M-66.8M-368.2K0.4620.90N/AN/A3,4701,58533,93117,873
2014-04-29$43.91$40.0012.8%4.6%14.2%46.8%15.6%2.5%0.7%6.5M-70.6M-383.7K0.0920.11N/AN/A10,22489935,01618,464
2014-04-30$44.45$40.0012.6%4.7%14.4%45.5%18.5%3.8%1.4%7.2M-104.3M-420.3K0.0827.46N/AN/A3,52228041,99819,077