WM Options History — December 2014

In December 2014, WM traded between $48.46 and $51.58. ATM implied volatility averaged 13.3%, placing in the 45.4% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 3.5% (HV 20d: 9.8%). Max pain ranged from $46.00 to $50.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.35.

Notable Days

  • 2014-12-02: Highest Volume — 20,058 contracts
  • 2014-12-31: Largest IV drop — 19.8% change
  • 2014-12-16: Highest IV Rank — 61.0%
  • 2014-12-29: Largest Expected Move — 4.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.91$48.46$51.58$48.51$51.32
Max Pain$47.71$46.00$50.00$46.00$50.00
ATM IV13.3%11.1%15.4%11.2%11.6%
Expected Move4.2%3.8%4.6%3.9%4.6%
HV 20d9.8%6.9%12.4%8.2%12.1%
HV 60d11.9%11.3%12.7%11.4%12.3%
IV Rank45.4%29.3%61.0%29.7%33.1%
IV Percentile55.9%14.3%85.3%14.7%27.8%
Term Structure1.3%0.0%6.6%0.9%6.6%
VWIV15.3%12.9%17.3%14.7%15.9%
Skew 25d1.9%-12.6%4.5%4.0%4.2%
Skew 10d2.0%-17.0%9.0%2.8%1.9%
Call IV 25d12.5%9.1%26.5%10.4%9.6%
Put IV 25d14.3%11.7%17.0%14.4%13.8%
Bid-Ask Spread %36.1726.8453.3542.8927.62
Gamma HHI0.510.350.610.350.61
Net GEX5.3M4.0M7.2M4.2M5.1M
Net DEX-78.2M-112.8M-48.1M-56.8M-105.5M
Net VEX-375.3K-414.4K-340.7K-367.4K-348.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.350.0719.491.270.33
Total Volume6,726.54539520,0583,519395
Total OI55,418.36449,62758,95853,20756,269

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-12-01$48.51$46.0011.2%3.9%8.2%29.7%14.7%4.0%0.9%4.2M-56.8M-367.4K1.2742.89N/AN/A1,5491,97029,37323,834
2014-12-02$48.85$47.0011.5%3.9%8.4%32.2%14.3%4.4%1.0%4.2M-58.8M-375.2K0.1636.30N/AN/A17,2952,76329,46824,694
2014-12-03$49.09$46.0011.2%3.9%8.2%30.1%14.8%1.8%0.2%4.0M-51.7M-377.8K0.1232.73N/AN/A5,90472025,77424,564
2014-12-04$49.25$46.0011.6%3.8%7.4%33.2%14.3%1.0%0.8%4.2M-53.3M-363.5K5.4028.02N/AN/A2191,18324,98424,643
2014-12-05$49.35$47.0011.1%3.9%7.0%29.3%13.7%2.5%1.2%4.0M-57.2M-378.8K0.1331.83N/AN/A5,56170225,87325,536
2014-12-08$49.23$47.0012.0%3.9%6.9%36.1%14.8%2.8%1.0%4.0M-55.3M-366.5K0.0726.84N/AN/A11,30078325,87825,579
2014-12-09$48.92$47.0012.8%4.0%7.2%41.7%14.7%2.7%1.5%6.0M-55.6M-400.9K0.0927.91N/AN/A6,99761631,15025,800
2014-12-10$48.64$47.0013.8%4.0%7.3%49.0%14.9%2.5%1.3%5.6M-52.1M-394.9K0.0932.42N/AN/A6,88260830,92025,744
2014-12-11$48.99$47.0013.2%4.0%7.8%45.0%12.9%2.7%0.5%6.2M-60.2M-394.3K0.1136.87N/AN/A7,14380930,91925,622
2014-12-12$48.46$47.0014.9%4.3%8.7%57.6%15.6%1.9%0.0%4.9M-48.1M-400.9K0.0936.29N/AN/A6,56560731,15025,684
2014-12-15$49.02$47.0015.1%4.5%9.6%58.7%17.0%1.4%0.3%5.7M-57.2M-408.5K0.1438.16N/AN/A7,9351,08231,12725,676
2014-12-16$49.38$47.0015.4%4.5%9.9%61.0%16.5%4.1%0.4%6.2M-72.4M-414.4K0.2236.82N/AN/A6,1351,37732,58425,805
2014-12-17$49.51$47.0014.6%4.4%10.0%55.2%17.3%4.0%0.6%7.2M-72.8M-407.2K0.1853.35N/AN/A6,0251,05832,64126,250
2014-12-18$50.77$47.0014.7%4.5%12.4%56.1%16.4%4.3%0.8%5.8M-102.8M-386.3K0.3335.97N/AN/A6,6752,23032,86026,098
2014-12-19$50.78$47.0013.7%4.3%12.1%48.6%15.9%3.7%1.1%6.2M-104.6M-365.7K0.1135.84N/AN/A2,00322232,09325,776
2014-12-22$51.07$0.0013.9%4.4%12.2%50.1%15.5%-12.6%1.6%6.1M-107.3M-357.3K0.3452.40N/AN/A5,2161,75831,47823,653
2014-12-23$51.26$50.0013.3%4.4%12.2%45.4%15.5%2.5%2.3%5.5M-107.6M-364.1K0.3545.18N/AN/A5,0281,73931,55824,601
2014-12-24$51.16$50.0013.5%4.4%12.1%46.9%15.5%2.8%2.2%5.5M-109.3M-351.9K0.1537.19N/AN/A4,66868731,52724,575
2014-12-26$51.35$50.0013.6%4.4%12.1%48.0%15.3%-3.2%1.7%5.3M-111.1M-347.7K0.1437.04N/AN/A4,67567531,43924,612
2014-12-29$51.57$50.0014.9%4.6%12.1%57.5%15.2%-1.2%1.5%5.0M-112.8M-342.5K0.4035.76N/AN/A5,0282,02931,50924,636
2014-12-30$51.58$50.0014.5%4.6%11.8%54.4%0.0%4.5%1.6%5.0M-108.4M-340.7K19.4928.23N/AN/A571,11130,57124,677
2014-12-31$51.32$50.0011.6%4.6%12.1%33.1%15.9%4.2%6.6%5.1M-105.5M-348.8K0.3327.62N/AN/A2969930,55525,714