WM Options History — January 2015

In January 2015, WM traded between $51.23 and $53.21. ATM implied volatility averaged 14.6%, placing in the 51.1% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 3.5% (HV 20d: 11.1%). Max pain ranged from $50.00 to $50.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 1.01.

Notable Days

  • 2015-01-14: Highest Volume — 7,064 contracts
  • 2015-01-05: Largest IV spike — 41.9% change
  • 2015-01-13: Highest IV Rank — 100.0%
  • 2015-01-30: Largest Expected Move — 5.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$52.11$51.23$53.21$51.76$51.44
Max Pain$50.00$50.00$50.00$50.00$50.00
ATM IV14.6%10.4%22.7%12.6%18.9%
Expected Move4.2%3.0%5.4%4.7%5.4%
HV 20d11.1%8.9%13.1%12.2%12.5%
HV 60d11.0%10.1%11.8%11.8%11.1%
IV Rank51.1%20.8%100.0%40.3%76.0%
IV Percentile61.6%5.6%100.0%47.2%96.8%
Term Structure-0.3%-2.8%7.2%7.0%-1.8%
VWIV15.5%12.6%18.6%14.1%17.3%
Skew 25d3.7%-0.6%8.8%6.5%6.8%
Skew 10d3.9%0.3%10.9%10.9%6.9%
Call IV 25d13.0%9.5%16.6%9.5%12.2%
Put IV 25d16.8%15.6%18.9%16.0%18.9%
Bid-Ask Spread %26.8314.6342.5437.6021.23
Gamma HHI0.480.310.620.570.32
Net GEX3.6M2.3M5.4M4.7M2.6M
Net DEX-92.1M-119.5M-57.4M-111.1M-57.4M
Net VEX-324.5K-360.2K-269.0K-343.1K-360.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.010.106.150.360.94
Total Volume3,284.551367,0646,3332,196
Total OI47,044.9531,91358,59657,13136,270

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-01-02$51.76$50.0012.6%4.7%12.2%40.3%14.1%6.5%7.0%4.7M-111.1M-343.1K0.3637.60N/AN/A4,6481,68531,39425,737
2015-01-05$51.23$50.0017.9%4.8%13.1%79.4%16.8%1.0%-1.1%5.4M-101.6M-349.6K1.0228.64N/AN/A34635430,48125,769
2015-01-06$51.27$50.0014.1%4.9%13.1%51.8%17.2%6.7%-1.2%5.2M-103.3M-345.8K2.4214.63N/AN/A18043630,55525,971
2015-01-07$51.31$50.0016.9%4.7%13.0%72.3%0.0%5.6%-0.7%5.4M-102.4M-344.1K0.7219.11N/AN/A795730,49226,267
2015-01-08$51.84$50.0016.6%4.8%12.9%69.7%15.7%2.7%-0.7%4.4M-111.8M-340.0K0.1428.42N/AN/A4,67564031,37826,238
2015-01-09$51.61$50.0014.3%4.7%12.8%53.3%16.2%2.1%-1.1%4.7M-113.1M-331.8K0.1325.53N/AN/A4,96764731,34426,273
2015-01-12$51.48$50.0016.5%4.9%12.8%68.9%16.9%1.8%-1.2%5.1M-108.6M-336.9K0.1424.46N/AN/A4,77365231,48926,213
2015-01-13$51.45$50.0022.7%5.0%11.9%100.0%17.3%1.5%-1.4%4.9M-110.9M-332.3K0.1431.27N/AN/A4,79464731,49326,332
2015-01-14$51.81$50.0018.7%5.4%11.6%74.2%18.6%8.8%-2.8%3.3M-119.5M-304.1K0.1022.48N/AN/A6,40366131,52026,332
2015-01-15$51.85$50.0016.5%4.7%11.4%60.2%15.7%2.3%0.2%4.5M-113.5M-325.7K0.2323.64N/AN/A5,0711,15232,20926,387
2015-01-16$52.24$50.0014.1%4.0%11.6%44.5%13.7%4.7%7.2%2.4M-119.2M-313.9K0.2021.40N/AN/A1,19624531,33426,494
2015-01-20$52.91$50.0011.4%3.3%8.9%27.4%14.5%3.7%-0.0%2.6M-71.8M-289.8K1.8423.47N/AN/A7091,30820,80911,104
2015-01-21$52.73$50.0010.4%3.0%9.1%20.8%15.6%2.0%-1.0%2.5M-69.9M-300.6K6.1521.70N/AN/A2111,29720,99411,124
2015-01-22$52.78$50.0011.3%3.2%9.0%26.9%14.2%3.5%-1.6%2.3M-68.3M-312.4K1.0628.22N/AN/A1,5421,62921,01512,313
2015-01-23$53.01$50.0010.6%3.0%9.0%22.2%13.2%3.4%-1.0%2.4M-70.3M-305.9K1.4330.53N/AN/A7301,04221,35612,572
2015-01-26$53.21$50.0010.5%3.0%9.0%21.4%12.6%3.0%-0.4%2.4M-75.3M-269.0K0.1833.55N/AN/A2,74549121,35312,573
2015-01-27$53.14$50.0012.9%3.7%9.0%37.0%13.2%3.5%-0.7%2.6M-76.0M-309.1K0.6233.29N/AN/A69743022,99412,524
2015-01-28$52.64$50.0011.7%3.4%9.8%29.3%15.0%-0.6%-1.8%2.7M-71.4M-334.8K0.5142.54N/AN/A3,0561,55423,22712,829
2015-01-29$52.56$50.0014.4%4.1%9.8%46.6%15.8%5.3%-1.5%2.6M-66.6M-341.4K1.8324.89N/AN/A6171,12923,28212,858
2015-01-30$51.44$50.0018.9%5.4%12.5%76.0%17.3%6.8%-1.8%2.6M-57.4M-360.2K0.9421.23N/AN/A1,1341,06223,26913,001