WM Options History — May 2014

In May 2014, WM traded between $43.37 and $44.68. ATM implied volatility averaged 12.3%, placing in the 43.5% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded below realized volatility by 0.5% (HV 20d: 12.8%). Max pain ranged from $40.00 to $42.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.46.

Notable Days

  • 2014-05-19: Highest Volume — 7,115 contracts
  • 2014-05-15: Largest IV spike — 25.9% change
  • 2014-05-20: Highest IV Rank — 55.4%
  • 2014-05-20: Largest Expected Move — 4.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.94$43.37$44.68$44.33$44.68
Max Pain$40.76$40.00$42.00$40.00$42.00
ATM IV12.3%10.1%14.1%13.0%10.8%
Expected Move4.6%4.4%4.8%4.7%4.5%
HV 20d12.8%9.7%15.2%14.3%10.0%
HV 60d14.4%12.3%16.8%16.8%12.5%
IV Rank43.5%28.3%55.4%47.8%33.0%
IV Percentile15.6%0.8%44.8%24.6%2.0%
Term Structure0.4%-0.5%1.4%0.8%1.4%
VWIV17.3%14.0%19.9%14.0%15.3%
Skew 25d3.2%2.5%5.2%2.5%4.7%
Skew 10d7.4%3.2%11.1%5.4%11.1%
Call IV 25d11.6%9.3%13.4%11.1%9.3%
Put IV 25d14.8%13.6%16.1%13.6%14.0%
Bid-Ask Spread %23.1518.7725.8524.4524.89
Gamma HHI0.240.200.280.210.27
Net GEX8.8M6.9M10.7M7.6M10.5M
Net DEX-100.7M-120.0M-73.7M-109.7M-120.0M
Net VEX-454.2K-480.9K-430.4K-430.4K-434.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.460.121.890.550.16
Total Volume1,449.6192967,1151,042713
Total OI68,732.09562,75571,99463,21871,994

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-05-01$44.33$40.0013.0%4.7%14.3%47.8%14.0%2.5%0.8%7.6M-109.7M-430.4K0.5524.45N/AN/A67137143,98019,238
2014-05-02$44.14$40.0012.2%4.6%14.5%42.4%19.9%3.5%0.5%8.2M-104.8M-435.4K0.1223.66N/AN/A1,05712244,33919,468
2014-05-05$44.11$40.0013.3%4.7%14.5%49.9%19.3%2.7%-0.2%8.4M-104.6M-439.5K1.1322.19N/AN/A1,2761,44544,84319,484
2014-05-06$43.57$40.0012.8%4.7%15.2%47.0%19.5%3.3%0.4%9.1M-91.8M-463.5K0.6825.85N/AN/A1,9831,35645,81720,720
2014-05-07$43.96$40.0013.2%4.6%15.2%49.7%18.4%3.3%-0.1%8.9M-106.7M-459.9K0.3622.54N/AN/A68424947,48421,213
2014-05-08$44.07$40.0012.2%4.7%15.1%42.4%18.1%2.5%0.4%8.9M-112.3M-469.8K0.2425.01N/AN/A57413947,96021,452
2014-05-09$43.92$40.0011.4%4.7%14.0%37.5%0.0%2.7%0.3%9.2M-108.9M-459.2K0.2623.42N/AN/A2356148,28521,524
2014-05-12$43.88$40.0012.2%4.6%13.5%42.8%16.4%3.5%0.4%10.1M-111.1M-445.9K0.4021.51N/AN/A84834348,43321,560
2014-05-13$44.11$40.0012.0%4.6%13.4%41.3%0.0%2.8%0.2%7.7M-115.4M-456.7K0.2224.25N/AN/A72715848,58921,819
2014-05-14$44.01$40.0010.1%4.6%13.5%28.3%0.0%2.6%0.4%7.0M-116.4M-454.1K0.1424.90N/AN/A5708148,96421,924
2014-05-15$43.95$40.0012.7%4.6%12.3%46.0%16.7%3.4%0.3%7.1M-114.7M-444.0K0.8224.91N/AN/A1,3571,10848,84721,507
2014-05-16$43.80$40.0012.7%4.6%12.4%46.2%18.6%3.2%0.2%7.1M-108.3M-455.2K0.2122.44N/AN/A85018149,63022,087
2014-05-19$43.89$40.0012.6%4.6%12.1%45.5%16.7%3.4%0.9%6.9M-81.5M-447.0K0.1725.03N/AN/A6,0771,03842,09320,662
2014-05-20$43.42$42.0014.1%4.8%13.0%55.4%17.6%2.7%-0.5%8.7M-76.7M-480.9K0.1422.12N/AN/A5026947,37621,379
2014-05-21$43.65$42.0012.0%4.6%13.1%41.6%14.0%4.1%1.4%9.1M-81.6M-476.4K0.5221.26N/AN/A60631347,56621,428
2014-05-22$43.48$42.0013.0%4.7%11.3%48.3%0.0%2.6%-0.5%9.3M-77.8M-463.4K0.4222.48N/AN/A2229347,99121,676
2014-05-23$43.37$42.0012.6%4.7%11.3%45.1%0.0%2.9%-0.1%9.3M-73.7M-476.0K0.4520.62N/AN/A45220348,10021,752
2014-05-27$43.73$42.0011.9%4.4%9.7%41.1%17.6%5.2%0.7%10.0M-83.8M-461.1K0.6118.77N/AN/A32219848,20921,913
2014-05-28$44.25$42.0011.8%4.5%10.6%40.4%15.8%3.2%0.3%10.4M-107.2M-434.7K0.2622.86N/AN/A2,10354248,36022,071
2014-05-29$44.36$42.0012.2%4.5%9.7%42.4%18.9%2.6%0.2%10.7M-108.4M-451.0K1.8922.90N/AN/A18835549,37622,261
2014-05-30$44.68$42.0010.8%4.5%10.0%33.0%15.3%4.7%1.4%10.5M-120.0M-434.3K0.1624.89N/AN/A6169749,53722,457