WM Options History — September 2014

In September 2014, WM traded between $46.80 and $47.53. ATM implied volatility averaged 10.7%, placing in the 26.0% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded above realized volatility by 2.3% (HV 20d: 8.4%). Max pain ranged from $45.00 to $46.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.83.

Notable Days

  • 2014-09-02: Highest Volume — 33,021 contracts
  • 2014-09-08: Largest IV spike — 10.2% change
  • 2014-09-29: Highest IV Rank — 34.0%
  • 2014-09-17: Largest Expected Move — 3.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.17$46.80$47.53$47.26$47.53
Max Pain$45.67$45.00$46.00$45.00$46.00
ATM IV10.7%9.4%11.7%9.8%11.6%
Expected Move3.8%3.7%3.9%3.8%3.7%
HV 20d8.4%6.6%11.2%10.7%8.9%
HV 60d12.4%12.2%12.7%12.4%12.6%
IV Rank26.0%17.0%34.0%20.0%32.9%
IV Percentile7.5%0.8%23.8%1.2%19.4%
Term Structure1.8%0.7%2.9%1.7%1.8%
VWIV13.3%11.9%16.2%12.7%13.3%
Skew 25d2.5%1.4%4.2%2.3%3.3%
Skew 10d5.2%0.4%8.7%5.8%5.9%
Call IV 25d9.4%7.6%10.5%9.3%9.3%
Put IV 25d12.0%10.6%13.2%11.5%12.6%
Bid-Ask Spread %25.8618.7634.9221.2829.14
Gamma HHI0.280.190.320.230.29
Net GEX5.7M3.4M7.1M4.9M6.8M
Net DEX-60.0M-96.8M-43.6M-96.8M-68.9M
Net VEX-369.4K-395.6K-350.9K-368.5K-350.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.830.014.980.010.52
Total Volume2,722.14328733,02133,0211,482
Total OI55,250.57148,29759,37359,37356,938

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-09-02$47.26$45.009.8%3.8%10.7%20.0%12.7%2.3%1.7%4.9M-96.8M-368.5K0.0121.28N/AN/A32,77025134,42524,948
2014-09-03$46.92$45.0010.2%3.8%11.2%22.3%13.4%1.4%0.7%3.4M-43.6M-362.6K0.1023.40N/AN/A1,44314223,34124,956
2014-09-04$46.86$45.0010.1%3.8%10.8%21.6%14.5%3.1%0.9%3.4M-44.4M-377.4K1.8319.22N/AN/A7071,29524,22125,074
2014-09-05$47.03$45.009.4%3.8%10.5%17.0%12.6%1.9%2.1%3.9M-50.0M-360.7K0.5118.76N/AN/A4,3812,24224,28724,738
2014-09-08$47.17$45.0010.4%3.8%6.6%24.1%15.0%2.1%1.5%5.3M-60.1M-387.8K2.4523.27N/AN/A4611,13028,33726,646
2014-09-09$47.01$45.0010.3%3.7%6.9%23.7%15.4%2.0%1.6%5.4M-56.9M-395.6K0.1423.87N/AN/A1,17016928,54727,617
2014-09-10$47.30$45.0010.7%3.7%7.0%26.3%13.3%2.1%1.7%5.5M-62.2M-379.2K0.4522.90N/AN/A75833928,17227,720
2014-09-11$47.20$46.0011.0%3.8%7.0%28.5%12.5%1.9%1.6%5.5M-59.1M-382.4K0.7425.09N/AN/A46934928,28827,641
2014-09-12$46.80$46.0010.7%3.8%7.8%26.3%13.5%2.4%1.4%5.3M-48.2M-386.6K0.2025.31N/AN/A1,08821528,37027,977
2014-09-15$47.12$46.0011.0%3.8%8.1%28.4%11.9%2.5%1.6%5.7M-57.9M-376.0K0.5424.75N/AN/A42422928,18728,145
2014-09-16$47.25$46.0011.3%3.8%7.9%30.4%12.8%3.9%1.3%5.7M-60.1M-378.7K0.2025.41N/AN/A2444928,40528,235
2014-09-17$47.36$46.0011.5%3.9%7.8%32.1%12.0%3.7%0.8%5.8M-64.3M-369.1K0.4734.42N/AN/A23010828,51428,245
2014-09-18$47.40$46.0010.5%3.8%7.4%24.6%14.3%3.4%1.7%6.0M-63.4M-365.2K1.3834.92N/AN/A19827328,28328,001
2014-09-19$47.35$46.0010.2%3.7%7.5%22.2%12.4%2.3%2.6%6.6M-65.8M-359.8K0.5327.49N/AN/A35118528,35728,178
2014-09-22$47.11$46.0010.2%3.7%7.4%22.2%16.2%1.7%2.9%6.3M-58.3M-361.3K0.2826.88N/AN/A89924827,91726,816
2014-09-23$46.92$46.0010.4%3.7%7.6%24.0%0.0%2.1%2.6%6.8M-55.7M-361.0K0.1726.79N/AN/A63110728,72326,966
2014-09-24$47.41$46.0010.9%3.7%8.3%27.7%12.3%3.2%2.3%6.8M-64.1M-355.7K1.2724.41N/AN/A19224328,98227,009
2014-09-25$46.90$46.0011.3%3.8%8.8%31.1%13.9%2.2%1.9%6.7M-55.1M-364.2K4.9829.56N/AN/A4823929,01627,143
2014-09-26$47.18$46.0010.7%3.7%9.0%26.2%12.9%1.7%2.8%7.1M-59.7M-359.6K0.2724.90N/AN/A38810329,03427,333
2014-09-29$47.40$46.0011.7%3.8%9.1%34.0%11.9%4.2%2.0%6.8M-64.7M-355.8K0.3231.20N/AN/A69222329,15427,376
2014-09-30$47.53$46.0011.6%3.7%8.9%32.9%13.3%3.3%1.8%6.8M-68.9M-350.9K0.5229.14N/AN/A97850429,50727,431