WM Options History — July 2014 In July 2014, WM traded between $43.89 and $45.59. ATM implied volatility averaged 13.0%, placing in the 48.0% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 3.8% (HV 20d: 9.2%). Max pain ranged from $42.00 to $42.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 0.74.
Notable Days 2014-07-29 : Highest Volume — 7,655 contracts2014-07-29 : Largest IV drop — 30.4% change2014-07-28 : Highest IV Rank — 67.6%2014-07-07 : Largest Expected Move — 4.6%Monthly Statistics Metric Avg Min Max Open Close Price $44.52 $43.89 $45.59 $44.83 $44.89 Max Pain $42.00 $42.00 $42.00 $42.00 $42.00 ATM IV 13.0% 10.5% 15.9% 10.5% 12.6% Expected Move 4.5% 4.3% 4.6% 4.5% 4.5% HV 20d 9.2% 7.0% 16.5% 8.1% 16.5% HV 60d 10.3% 8.7% 11.7% 11.1% 11.7% IV Rank 48.0% 31.5% 67.6% 31.5% 45.2% IV Percentile 37.0% 1.6% 82.5% 1.6% 28.6% Term Structure -0.2% -2.0% 2.4% 2.4% -0.0% VWIV 16.4% 14.5% 19.9% 16.1% 17.0% Skew 25d 2.4% 1.2% 4.0% 1.2% 1.6% Skew 10d 5.5% -0.0% 10.1% 4.1% 1.0% Call IV 25d 12.4% 9.1% 14.8% 11.0% 11.5% Put IV 25d 14.8% 11.8% 17.5% 12.2% 13.0% Bid-Ask Spread % 28.16 22.90 33.28 30.63 27.65 Gamma HHI 0.46 0.33 0.67 0.45 0.33 Net GEX 8.4M 3.8M 14.1M 12.7M 6.3M Net DEX -81.4M -128.8M -30.8M -128.8M -61.5M Net VEX -458.3K -501.6K -428.1K -464.0K -456.2K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.74 0.01 5.22 0.25 5.22 Total Volume 2,298.818 199 7,655 4,341 1,548 Total OI 74,025.227 51,024 88,890 85,076 60,596
Daily Data (22 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2014-07-01 $44.83 $42.00 10.5% 4.5% 8.1% 31.5% 16.1% 1.2% 2.4% 12.7M -128.8M -464.0K 0.25 30.63 N/A N/A 3,483 858 57,600 27,476 2014-07-02 $44.47 $42.00 10.8% 4.5% 7.7% 33.4% 17.6% 2.0% 2.1% 11.4M -115.1M -501.6K 0.43 32.41 N/A N/A 581 248 59,666 28,171 2014-07-03 $44.71 $42.00 10.9% 4.6% 7.9% 33.8% 0.0% 2.4% 1.9% 12.0M -121.3M -493.5K 0.08 32.59 N/A N/A 184 15 59,472 28,226 2014-07-07 $44.54 $42.00 11.9% 4.6% 8.0% 40.9% 16.0% 2.7% -0.5% 11.4M -115.9M -486.1K 0.07 29.73 N/A N/A 947 69 59,445 28,241 2014-07-08 $44.60 $42.00 11.7% 4.6% 7.7% 39.4% 17.2% 3.1% -0.5% 12.2M -120.4M -488.0K 0.14 29.76 N/A N/A 1,000 141 60,052 28,295 2014-07-09 $44.24 $42.00 11.6% 4.5% 8.2% 38.7% 16.4% 2.7% -0.5% 9.8M -104.9M -483.0K 0.01 33.28 N/A N/A 6,100 65 60,556 28,334 2014-07-10 $44.18 $42.00 14.0% 4.6% 7.3% 55.0% 0.0% 3.1% -0.8% 9.7M -93.4M -474.7K 0.05 27.93 N/A N/A 1,795 88 58,762 28,369 2014-07-11 $44.34 $42.00 14.0% 4.5% 7.2% 55.2% 17.4% 2.8% -0.5% 10.3M -94.3M -467.6K 0.04 28.15 N/A N/A 1,590 69 58,186 28,428 2014-07-14 $44.40 $42.00 14.3% 4.5% 7.2% 56.9% 19.9% 2.4% -1.3% 11.7M -101.0M -451.7K 1.05 28.82 N/A N/A 2,325 2,441 57,817 28,490 2014-07-15 $44.51 $42.00 13.4% 4.5% 7.2% 51.1% 15.2% 2.4% -0.7% 12.5M -99.2M -450.0K 0.06 24.16 N/A N/A 2,467 142 57,166 29,108 2014-07-16 $44.65 $42.00 13.2% 4.5% 7.0% 49.7% 16.9% 2.3% -0.4% 14.1M -97.0M -456.0K 0.13 24.80 N/A N/A 534 69 55,998 29,242 2014-07-17 $44.07 $42.00 14.7% 4.5% 8.5% 59.6% 15.5% 1.6% -1.0% 7.2M -70.5M -434.2K 0.08 26.25 N/A N/A 1,517 114 54,384 28,952 2014-07-18 $44.44 $42.00 13.9% 4.4% 9.0% 54.1% 15.9% 2.3% -0.6% 5.8M -78.1M -437.2K 0.08 28.33 N/A N/A 1,086 88 54,150 28,990 2014-07-21 $44.48 $42.00 14.5% 4.4% 8.7% 58.4% 17.6% 4.0% -1.0% 4.0M -42.1M -432.4K 0.11 27.09 N/A N/A 2,325 262 30,775 20,249 2014-07-22 $44.51 $42.00 12.6% 4.4% 8.5% 45.7% 0.0% 2.4% 0.4% 4.3M -43.1M -428.1K 0.09 26.54 N/A N/A 2,761 246 31,532 20,467 2014-07-23 $44.28 $42.00 13.5% 4.3% 8.7% 51.6% 16.7% 1.6% 0.2% 4.6M -45.4M -444.7K 0.33 28.63 N/A N/A 426 140 34,187 20,693 2014-07-24 $44.31 $42.00 13.6% 4.4% 8.7% 52.1% 14.5% 2.1% -0.3% 4.7M -44.0M -445.5K 0.82 26.01 N/A N/A 521 428 34,534 20,813 2014-07-25 $44.10 $42.00 14.4% 4.3% 8.8% 57.8% 14.9% 1.7% -1.0% 4.4M -40.1M -442.6K 3.93 22.90 N/A N/A 231 908 34,682 21,081 2014-07-28 $43.89 $42.00 15.9% 4.4% 8.2% 67.6% 15.1% 2.7% -2.0% 3.8M -30.8M -439.3K 1.20 25.37 N/A N/A 1,818 2,189 34,846 21,425 2014-07-29 $45.59 $42.00 11.1% 4.4% 16.1% 35.0% 16.1% 4.0% -0.4% 5.4M -72.8M -446.7K 1.05 27.46 N/A N/A 3,738 3,917 35,402 23,331 2014-07-30 $45.40 $42.00 12.2% 4.4% 16.2% 42.6% 16.4% 2.5% -0.0% 6.8M -71.6M -459.5K 1.05 31.07 N/A N/A 536 564 37,715 22,651 2014-07-31 $44.89 $42.00 12.6% 4.5% 16.5% 45.2% 17.0% 1.6% -0.0% 6.3M -61.5M -456.2K 5.22 27.65 N/A N/A 249 1,299 37,996 22,600
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