WM Options History — October 2014 In October 2014, WM traded between $46.29 and $48.87. ATM implied volatility averaged 14.6%, placing in the 55.1% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 1.5% (HV 20d: 13.1%). Max pain ranged from $46.00 to $47.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 6 of 23 days. Put/call ratio averaged 1.68.
Notable Days 2014-10-21 : Highest Volume — 9,856 contracts2014-10-13 : Largest IV spike — 18.4% change2014-10-14 : Highest IV Rank — 94.1%2014-10-16 : Largest Expected Move — 4.8%Monthly Statistics Metric Avg Min Max Open Close Price $47.33 $46.29 $48.87 $47.15 $48.87 Max Pain $46.70 $46.00 $47.00 $46.00 $46.00 ATM IV 14.6% 11.1% 19.9% 12.5% 11.4% Expected Move 4.1% 3.7% 4.8% 3.9% 3.7% HV 20d 13.1% 9.0% 15.7% 9.0% 15.6% HV 60d 12.9% 11.4% 14.0% 12.7% 12.1% IV Rank 55.1% 29.0% 94.1% 39.7% 31.7% IV Percentile 62.2% 12.3% 99.2% 37.3% 17.9% Term Structure -0.5% -2.4% 2.3% 1.7% -0.1% VWIV 14.4% 13.0% 16.2% 13.3% 13.0% Skew 25d 3.3% 2.0% 4.3% 2.5% 3.2% Skew 10d 6.7% -1.1% 14.5% 1.7% -1.1% Call IV 25d 13.8% 9.6% 17.7% 11.6% 10.5% Put IV 25d 17.1% 13.4% 22.0% 14.1% 13.7% Bid-Ask Spread % 37.08 26.80 45.19 29.95 37.06 Gamma HHI 0.34 0.21 0.60 0.29 0.32 Net GEX 6.2M 2.0M 11.2M 7.1M 5.9M Net DEX -53.0M -80.6M -24.1M -61.0M -80.6M Net VEX -382.9K -420.1K -356.6K -362.2K -406.9K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.68 0.07 8.85 0.84 0.47 Total Volume 3,886.217 394 9,856 461 7,347 Total OI 58,694.957 44,898 66,894 57,686 58,909
Daily Data (23 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 2014-10-01 $47.15 $46.00 12.5% 3.9% 9.0% 39.7% 0.0% 2.5% 1.7% 7.1M -61.0M -362.2K 0.84 29.95 N/A N/A 251 210 30,095 27,591 2014-10-02 $47.12 $46.00 12.6% 3.9% 9.0% 40.3% 13.3% 2.9% 1.6% 7.2M -60.2M -361.3K 0.35 27.95 N/A N/A 1,736 616 30,148 27,725 2014-10-03 $47.60 $46.00 11.1% 3.8% 9.6% 29.0% 0.0% 3.8% 2.3% 7.1M -69.3M -367.1K 0.18 30.98 N/A N/A 460 81 30,873 28,483 2014-10-06 $47.51 $46.00 11.3% 3.8% 9.6% 30.7% 13.3% 2.6% -0.6% 7.7M -71.4M -356.6K 5.39 26.80 N/A N/A 118 636 31,249 28,260 2014-10-07 $46.73 $46.00 12.3% 4.0% 11.2% 38.3% 13.9% 2.0% -0.5% 7.8M -51.2M -360.7K 3.33 29.24 N/A N/A 234 779 31,300 28,301 2014-10-08 $47.58 $46.00 12.2% 3.9% 12.8% 37.2% 14.1% 3.6% -1.2% 7.5M -73.6M -362.7K 0.81 40.65 N/A N/A 4,013 3,236 32,039 28,842 2014-10-09 $46.92 $47.00 13.9% 4.0% 13.8% 50.2% 13.3% 3.5% -1.9% 7.9M -55.7M -375.2K 2.25 35.34 N/A N/A 377 850 32,407 30,816 2014-10-10 $46.82 $47.00 15.0% 4.2% 13.4% 58.4% 15.3% 4.2% -1.9% 7.6M -53.2M -379.6K 8.85 41.22 N/A N/A 151 1,337 32,512 31,628 2014-10-13 $46.64 $47.00 17.8% 4.4% 13.3% 78.8% 15.2% 3.2% -1.8% 7.1M -45.5M -371.2K 1.53 41.70 N/A N/A 429 658 32,508 32,632 2014-10-14 $46.74 $47.00 19.9% 4.3% 13.2% 94.1% 15.5% 2.9% -2.4% 6.9M -48.5M -383.4K 0.95 39.56 N/A N/A 3,066 2,906 33,450 33,209 2014-10-15 $46.33 $47.00 18.2% 4.6% 13.5% 82.0% 16.1% 4.0% -0.9% 5.5M -27.5M -379.4K 0.87 45.15 N/A N/A 3,741 3,246 33,419 33,475 2014-10-16 $46.29 $47.00 19.7% 4.8% 13.5% 93.2% 16.2% 4.3% -2.4% 6.3M -24.1M -370.9K 0.61 45.19 N/A N/A 777 474 32,061 33,391 2014-10-17 $46.72 $47.00 17.1% 4.6% 14.0% 73.8% 14.4% 3.8% -1.8% 11.2M -39.7M -370.1K 0.07 40.81 N/A N/A 1,752 126 32,403 33,623 2014-10-20 $46.66 $47.00 16.6% 4.5% 13.9% 70.2% 15.8% 3.1% -0.6% 2.0M -24.7M -363.3K 0.90 33.87 N/A N/A 2,399 2,151 23,411 21,487 2014-10-21 $47.20 $47.00 15.9% 4.3% 14.5% 64.6% 15.3% 3.7% -0.6% 2.5M -32.0M -368.5K 0.46 38.53 N/A N/A 6,773 3,083 23,932 21,697 2014-10-22 $47.21 $47.00 16.5% 4.2% 14.0% 69.2% 14.0% 3.8% -0.8% 4.1M -42.4M -395.5K 0.83 32.12 N/A N/A 3,372 2,787 28,590 22,792 2014-10-23 $47.84 $47.00 14.8% 4.1% 14.1% 56.4% 14.8% 3.2% -0.0% 4.6M -55.3M -411.4K 2.12 37.39 N/A N/A 2,147 4,555 30,231 23,751 2014-10-24 $47.96 $47.00 15.0% 4.1% 14.0% 58.4% 14.1% 3.7% -0.6% 4.5M -55.3M -415.6K 1.19 34.52 N/A N/A 2,762 3,284 30,349 24,693 2014-10-27 $48.12 $47.00 14.8% 4.0% 14.0% 57.0% 13.1% 3.8% -0.5% 4.9M -60.0M -420.1K 0.55 38.91 N/A N/A 255 139 31,486 24,857 2014-10-28 $48.42 $47.00 14.0% 4.0% 14.1% 50.8% 14.4% 2.5% 0.1% 5.2M -66.2M -413.4K 3.35 39.49 N/A N/A 620 2,077 31,604 24,916 2014-10-29 $47.74 $47.00 11.5% 3.9% 14.8% 32.5% 14.2% 2.8% 0.5% 5.8M -49.9M -403.0K 1.35 44.95 N/A N/A 2,959 4,002 31,740 24,884 2014-10-30 $48.51 $47.00 11.3% 3.7% 15.7% 31.0% 14.1% 3.4% 1.1% 6.0M -72.1M -407.9K 1.39 41.39 N/A N/A 2,677 3,734 32,297 25,918 2014-10-31 $48.87 $46.00 11.4% 3.7% 15.6% 31.7% 13.0% 3.2% -0.1% 5.9M -80.6M -406.9K 0.47 37.06 N/A N/A 4,987 2,360 32,628 26,281
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