WM Options History — November 2014

In November 2014, WM traded between $48.32 and $49.49. ATM implied volatility averaged 11.7%, placing in the 33.9% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded below realized volatility by 0.3% (HV 20d: 12.0%). Max pain ranged from $46.00 to $47.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 0.83.

Notable Days

  • 2014-11-03: Highest Volume — 7,143 contracts
  • 2014-11-04: Largest IV spike — 13.1% change
  • 2014-11-04: Highest IV Rank — 48.3%
  • 2014-11-20: Largest Expected Move — 4.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.91$48.32$49.49$48.62$48.73
Max Pain$46.47$46.00$47.00$46.00$47.00
ATM IV11.7%10.3%13.7%12.1%10.4%
Expected Move3.9%3.7%4.1%3.8%3.9%
HV 20d12.0%8.5%15.7%15.7%8.5%
HV 60d11.4%11.1%11.6%11.1%11.4%
IV Rank33.9%23.5%48.3%36.6%23.9%
IV Percentile26.4%4.0%63.5%30.6%5.2%
Term Structure0.5%-0.6%1.7%0.3%1.2%
VWIV14.9%12.6%16.7%15.3%15.9%
Skew 25d3.0%1.9%4.2%1.9%4.2%
Skew 10d3.1%-8.3%8.2%-4.4%3.2%
Call IV 25d10.5%8.3%12.4%11.7%8.7%
Put IV 25d13.4%12.0%14.8%13.6%12.8%
Bid-Ask Spread %37.8427.3643.0939.1335.10
Gamma HHI0.340.290.490.340.36
Net GEX6.6M3.8M11.9M6.7M4.4M
Net DEX-82.8M-103.4M-51.1M-77.8M-61.3M
Net VEX-384.9K-423.1K-347.6K-406.5K-377.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.830.151.391.020.31
Total Volume3,508.7374957,1437,143595
Total OI61,043.10550,81164,81160,22653,057

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-11-03$48.62$46.0012.1%3.8%15.7%36.6%15.3%1.9%0.3%6.7M-77.8M-406.5K1.0239.13N/AN/A3,5343,60933,70626,520
2014-11-04$48.35$46.0013.7%4.0%14.5%48.3%14.5%2.1%-0.6%6.2M-69.4M-423.1K1.1339.54N/AN/A2,6803,03933,70127,553
2014-11-05$48.89$46.0012.3%3.8%13.6%38.5%15.5%4.1%0.2%6.0M-79.8M-419.2K0.9736.15N/AN/A3,0222,94033,72228,170
2014-11-06$49.21$46.0012.3%4.0%12.5%38.2%14.7%3.1%-0.1%5.8M-90.5M-413.4K0.7427.36N/AN/A3,6882,73034,20227,958
2014-11-07$49.45$46.0012.1%4.0%12.4%36.5%12.6%2.7%0.2%6.3M-101.7M-395.0K1.1340.09N/AN/A2,4352,75235,22528,240
2014-11-10$49.49$46.0012.8%4.0%12.2%41.9%15.5%2.5%0.6%6.3M-103.4M-388.6K1.2743.06N/AN/A2,2912,91535,47228,455
2014-11-11$49.32$47.0011.2%3.9%12.4%29.7%16.7%2.1%0.3%6.9M-101.9M-378.8K1.3938.78N/AN/A2,0162,80035,18227,648
2014-11-12$49.39$47.0011.2%4.0%11.6%30.2%15.7%2.8%0.3%6.5M-100.6M-391.2K1.1841.69N/AN/A1,9072,24835,45129,179
2014-11-13$49.31$47.0012.5%3.9%11.7%39.5%16.3%3.0%0.2%6.3M-102.1M-384.4K1.2239.60N/AN/A1,8712,28035,44029,202
2014-11-14$49.09$47.0011.9%3.9%11.7%34.9%14.5%2.0%0.7%7.1M-96.9M-380.2K0.7438.31N/AN/A28521035,42629,104
2014-11-17$49.09$47.0011.8%3.9%11.7%34.1%15.6%2.9%0.5%6.7M-96.1M-376.4K0.8634.13N/AN/A2,1161,82035,47029,090
2014-11-18$49.11$47.0011.9%3.9%11.2%35.5%15.5%3.1%0.3%6.3M-97.9M-372.7K0.7238.79N/AN/A2,5551,85235,48129,189
2014-11-19$48.56$47.0011.4%3.8%12.2%31.4%13.4%3.1%1.2%9.4M-80.3M-381.6K1.3543.09N/AN/A40654935,60629,205
2014-11-20$48.32$46.0012.4%4.1%11.5%39.1%14.6%3.4%-0.4%11.9M-70.7M-374.7K0.6039.17N/AN/A82449335,20228,721
2014-11-21$48.50$46.0011.3%4.0%11.5%30.8%14.4%3.2%0.6%10.9M-78.9M-361.9K0.3740.07N/AN/A1,38650935,21728,816
2014-11-24$48.67$46.0010.3%3.7%11.5%23.5%14.2%3.6%1.6%3.9M-53.6M-347.6K0.1534.43N/AN/A1,15717027,27423,537
2014-11-25$48.51$46.0010.4%3.9%11.4%23.8%14.1%2.7%1.5%3.8M-51.1M-362.8K0.2131.92N/AN/A2,05443127,88823,659
2014-11-26$48.70$47.0010.9%3.8%10.2%27.7%13.7%3.8%1.7%4.2M-59.5M-378.1K0.4138.52N/AN/A35314429,12723,724
2014-11-28$48.73$47.0010.4%3.9%8.5%23.9%15.9%4.2%1.2%4.4M-61.3M-377.4K0.3135.10N/AN/A45314229,32823,729