WM Options History — August 2014

In August 2014, WM traded between $44.05 and $46.97. ATM implied volatility averaged 11.4%, placing in the 34.0% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded below realized volatility by 5.4% (HV 20d: 16.8%). Max pain ranged from $42.00 to $46.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.81.

Notable Days

  • 2014-08-13: Highest Volume — 8,288 contracts
  • 2014-08-14: Largest IV spike — 64.1% change
  • 2014-08-05: Highest IV Rank — 57.2%
  • 2014-08-14: Largest Expected Move — 4.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.77$44.05$46.97$44.41$46.97
Max Pain$43.65$42.00$46.00$42.00$45.00
ATM IV11.4%7.1%14.3%14.3%9.2%
Expected Move4.3%3.9%4.8%4.4%3.9%
HV 20d16.8%10.6%19.1%16.8%10.6%
HV 60d12.4%11.7%12.9%11.8%12.3%
IV Rank34.0%8.5%57.2%56.8%15.0%
IV Percentile16.4%0.4%62.7%61.1%0.4%
Term Structure0.3%-0.6%1.8%-0.6%1.8%
VWIV14.9%12.5%16.6%16.3%12.9%
Skew 25d3.0%1.6%4.3%3.5%4.3%
Skew 10d6.9%2.9%9.5%6.3%5.5%
Call IV 25d10.3%7.7%12.8%11.2%7.7%
Put IV 25d13.3%11.3%15.5%14.7%12.0%
Bid-Ask Spread %23.3316.0331.4031.4021.37
Gamma HHI0.310.240.460.330.24
Net GEX6.1M4.1M11.4M5.0M5.1M
Net DEX-71.9M-94.8M-35.8M-45.4M-91.5M
Net VEX-420.9K-466.8K-366.0K-457.3K-376.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.810.054.880.490.13
Total Volume1,795.9523068,2881,639372
Total OI60,027.52454,16465,08161,54359,108

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-08-01$44.41$42.0014.3%4.4%16.8%56.8%16.3%3.5%-0.6%5.0M-45.4M-457.3K0.4931.40N/AN/A1,10253737,93123,612
2014-08-04$44.55$42.0012.9%4.5%16.8%47.3%16.0%3.1%-0.4%5.0M-47.3M-458.1K0.2527.92N/AN/A65116138,28423,626
2014-08-05$44.50$42.0014.3%4.5%16.8%57.2%16.5%3.6%-0.2%5.1M-46.5M-450.6K0.1327.01N/AN/A2,20029438,60323,630
2014-08-06$44.23$42.0013.6%4.5%16.7%52.3%16.4%3.3%-0.5%4.8M-39.5M-466.8K4.8826.43N/AN/A5225439,97523,890
2014-08-07$44.05$42.0013.1%4.5%16.7%48.5%15.9%2.4%0.1%4.1M-35.8M-452.5K0.1728.53N/AN/A81413640,00924,073
2014-08-08$45.18$42.0012.4%4.6%19.0%43.9%15.4%2.9%-0.0%7.0M-67.0M-459.8K0.9026.29N/AN/A44940639,44524,146
2014-08-11$45.28$42.0012.5%4.6%19.0%44.9%16.1%2.8%-0.1%7.6M-72.8M-452.0K0.2125.62N/AN/A1,10423139,51124,470
2014-08-12$45.48$42.0011.2%4.7%19.1%35.9%16.6%3.3%-0.3%8.3M-76.8M-455.7K0.1729.12N/AN/A1,46925240,31924,521
2014-08-13$45.70$42.007.1%4.7%19.1%8.5%16.5%2.0%0.0%9.9M-85.9M-452.0K0.2025.29N/AN/A6,9121,37640,50324,578
2014-08-14$45.85$42.0011.7%4.8%18.3%33.9%16.1%2.5%-0.3%11.4M-86.4M-443.6K3.3128.23N/AN/A20668139,52923,960
2014-08-15$45.82$42.0011.6%4.6%18.2%33.3%16.0%2.9%0.6%8.7M-71.7M-405.5K0.1028.67N/AN/A1,23011834,60124,193
2014-08-18$46.09$0.0011.4%4.3%18.3%31.3%15.1%2.5%0.2%5.3M-70.7M-398.2K0.6021.99N/AN/A1,66599432,14922,015
2014-08-19$46.33$45.0011.2%4.1%18.3%29.8%13.7%2.5%-0.1%5.4M-77.8M-395.2K2.2618.95N/AN/A5531,25232,57022,251
2014-08-20$46.68$45.0010.6%3.9%18.2%25.9%13.2%4.1%1.2%5.0M-82.6M-403.6K0.3617.43N/AN/A1,13341232,64223,336
2014-08-21$46.70$46.0010.6%3.9%18.2%25.6%13.0%3.8%0.9%5.0M-84.0M-401.0K0.2016.03N/AN/A83716732,83123,671
2014-08-22$46.43$46.0010.9%4.0%18.3%27.8%13.8%2.4%0.7%5.0M-79.1M-401.3K0.4917.91N/AN/A39019032,85723,775
2014-08-25$46.49$46.0010.9%4.1%18.1%27.6%13.6%2.9%0.9%5.0M-79.4M-396.1K0.0518.12N/AN/A1,2796532,79423,920
2014-08-26$46.57$46.0010.5%3.9%12.4%25.1%13.1%2.9%1.3%5.1M-84.6M-378.0K0.6419.50N/AN/A83053233,45223,936
2014-08-27$46.96$46.0010.5%3.9%12.5%24.6%12.5%1.6%0.7%5.1M-94.8M-366.0K0.3716.65N/AN/A3,0271,10833,79423,852
2014-08-28$46.82$46.009.7%3.9%11.7%18.7%14.5%3.6%1.0%5.3M-90.5M-369.9K1.0917.39N/AN/A1,0881,18634,10124,115
2014-08-29$46.97$45.009.2%3.9%10.6%15.0%12.9%4.3%1.8%5.1M-91.5M-376.1K0.1321.37N/AN/A3284434,17424,934