WM Options History — June 2014

In June 2014, WM traded between $43.89 and $44.84. ATM implied volatility averaged 12.0%, placing in the 41.1% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 2.7% (HV 20d: 9.3%). Max pain ranged from $42.00 to $42.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.10.

Notable Days

  • 2014-06-03: Highest Volume — 43,443 contracts
  • 2014-06-11: Largest IV spike — 12.9% change
  • 2014-06-17: Highest IV Rank — 49.3%
  • 2014-06-24: Largest Expected Move — 4.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.38$43.89$44.84$44.81$44.73
Max Pain$42.00$42.00$42.00$42.00$42.00
ATM IV12.0%11.1%13.2%11.4%11.3%
Expected Move4.4%4.4%4.5%4.5%4.5%
HV 20d9.3%7.9%10.2%9.8%8.1%
HV 60d12.0%11.1%12.7%12.4%11.1%
IV Rank41.1%35.5%49.3%37.6%36.9%
IV Percentile13.1%2.8%35.3%3.2%4.0%
Term Structure1.3%0.4%2.8%1.1%2.2%
VWIV17.4%15.0%19.6%18.1%16.1%
Skew 25d2.5%0.8%5.4%5.4%0.8%
Skew 10d6.7%3.9%10.2%6.5%4.4%
Call IV 25d11.6%9.0%13.0%9.0%11.6%
Put IV 25d14.0%12.3%15.1%14.3%12.3%
Bid-Ask Spread %28.1120.8243.5026.5232.34
Gamma HHI0.330.260.410.260.41
Net GEX10.1M8.0M13.3M10.6M12.6M
Net DEX-113.5M-128.0M-97.2M-124.8M-126.6M
Net VEX-499.7K-541.7K-442.2K-442.2K-452.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.100.019.300.461.48
Total Volume4,15322043,4432,6041,429
Total OI84,564.76272,22891,59472,22884,429

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-06-02$44.81$42.0011.4%4.5%9.8%37.6%18.1%5.4%1.1%10.6M-124.8M-442.2K0.4626.52N/AN/A1,78182349,78122,447
2014-06-03$44.67$42.0011.2%4.4%9.9%35.7%17.5%4.8%1.0%10.9M-118.9M-444.3K0.0323.61N/AN/A42,1191,32450,29822,805
2014-06-04$44.20$42.0012.3%4.4%9.6%43.8%17.1%2.3%0.5%9.3M-103.3M-484.7K0.5820.82N/AN/A7,5184,33050,29023,557
2014-06-05$44.13$42.0011.4%4.4%9.2%37.4%15.4%2.7%0.8%8.3M-102.4M-538.3K1.0726.01N/AN/A1,3061,40255,62927,587
2014-06-06$44.26$42.0011.6%4.4%9.2%38.5%17.4%3.3%1.2%8.8M-108.3M-539.2K0.1423.23N/AN/A6369255,45827,395
2014-06-09$44.53$42.0011.1%4.4%9.3%35.5%16.5%2.7%0.4%8.5M-117.2M-536.6K0.2425.97N/AN/A6,3551,53155,44127,385
2014-06-10$44.55$42.0011.6%4.4%9.3%38.8%15.8%2.1%0.8%10.2M-128.0M-541.7K0.0823.83N/AN/A4343459,86228,612
2014-06-11$44.09$42.0013.1%4.4%9.9%48.9%17.2%2.6%0.5%9.3M-106.3M-540.6K0.3823.63N/AN/A66025459,88428,611
2014-06-12$43.89$42.0012.5%4.4%10.0%44.8%0.0%2.0%1.4%8.4M-97.2M-527.3K1.4326.91N/AN/A53075959,74828,653
2014-06-13$44.00$42.0012.4%4.4%10.0%44.4%18.1%2.6%1.1%8.5M-98.8M-525.2K0.1527.36N/AN/A3335159,52729,273
2014-06-16$43.99$42.0012.8%4.4%10.0%46.5%0.0%2.7%0.6%8.0M-99.5M-506.5K0.5723.94N/AN/A21912559,57429,278
2014-06-17$44.26$42.0013.2%4.4%10.2%49.3%18.2%2.0%1.0%8.8M-111.1M-514.3K0.1023.16N/AN/A7067159,71929,368
2014-06-18$44.30$42.0012.7%4.4%9.3%46.2%0.0%1.8%1.5%9.0M-114.3M-503.9K0.0129.58N/AN/A265259,81829,343
2014-06-19$44.37$42.0012.5%4.4%9.1%44.7%18.4%2.4%1.0%9.6M-118.7M-494.0K9.3027.19N/AN/A3263,03259,80829,066
2014-06-20$44.63$42.0011.5%4.4%9.1%38.3%19.6%2.0%1.6%10.8M-124.3M-511.6K0.0527.96N/AN/A4,22420359,83031,764
2014-06-23$44.39$42.0012.3%4.5%9.3%43.5%18.4%2.5%0.9%11.9M-109.9M-483.2K0.3733.41N/AN/A71926357,53426,415
2014-06-24$44.37$42.0011.3%4.5%9.0%36.7%19.3%1.9%2.8%12.1M-114.3M-489.9K0.6037.86N/AN/A43025957,49626,594
2014-06-25$44.46$42.0011.7%4.4%8.0%39.4%15.0%1.8%2.0%11.4M-117.1M-471.6K0.3543.50N/AN/A1635757,78126,814
2014-06-26$44.44$42.0011.7%4.4%7.9%39.1%0.0%2.0%2.4%12.3M-115.2M-483.6K3.5936.39N/AN/A23183057,74226,824
2014-06-27$44.84$42.0011.4%4.4%8.2%37.2%17.8%1.7%1.7%13.3M-126.9M-461.7K2.1826.98N/AN/A43695157,63626,784
2014-06-30$44.73$42.0011.3%4.5%8.1%36.9%16.1%0.8%2.2%12.6M-126.6M-452.8K1.4832.34N/AN/A57785257,64526,784