WM Options History — March 2015

In March 2015, WM traded between $52.69 and $55.26. ATM implied volatility averaged 11.0%, placing in the 25.0% IV rank vs the trailing year. The 30-day expected move averaged 3.2%. IV traded below realized volatility by 7.9% (HV 20d: 18.9%). Max pain ranged from $49.00 to $55.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.60.

Notable Days

  • 2015-03-04: Highest Volume — 40,208 contracts
  • 2015-03-12: Largest IV spike — 23.1% change
  • 2015-03-17: Highest IV Rank — 34.8%
  • 2015-03-17: Largest Expected Move — 3.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$54.13$52.69$55.26$54.77$54.30
Max Pain$49.82$49.00$55.00$55.00$49.00
ATM IV11.0%9.2%12.6%10.5%11.3%
Expected Move3.2%2.7%3.6%3.0%3.3%
HV 20d18.9%13.5%24.3%23.0%15.0%
HV 60d16.4%15.8%16.8%15.8%16.7%
IV Rank25.0%13.2%34.8%21.9%27.1%
IV Percentile23.7%0.8%55.2%8.7%28.2%
Term Structure1.6%0.5%3.4%0.9%3.4%
VWIV12.4%9.8%19.9%10.6%11.3%
Skew 25d5.4%-0.8%32.9%6.4%32.9%
Skew 10d8.1%-1.0%43.1%8.4%43.1%
Call IV 25d11.5%10.2%13.3%11.2%11.7%
Put IV 25d16.9%10.3%44.6%17.6%44.6%
Bid-Ask Spread %17.6810.3843.6713.9429.76
Gamma HHI0.640.430.900.630.56
Net GEX5.3M1.7M16.2M7.9M2.9M
Net DEX-62.5M-115.6M-37.0M-106.0M-59.4M
Net VEX-344.8K-366.6K-275.8K-302.9K-356.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.600.021.931.200.36
Total Volume3,264.40919140,2081,7463,734
Total OI42,68439,01245,88745,85742,056

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-03-02$54.77$55.0010.5%3.0%23.0%21.9%10.6%6.4%0.9%7.9M-106.0M-302.9K1.2013.94N/AN/A79595129,99815,859
2015-03-03$55.26$55.0010.9%3.1%21.4%24.2%10.9%5.6%1.1%7.4M-108.1M-340.5K1.2714.13N/AN/A9611,21930,09515,792
2015-03-04$55.16$55.009.8%2.8%21.5%17.0%9.8%5.6%1.6%11.4M-115.6M-275.8K0.0616.05N/AN/A38,0152,19330,17215,594
2015-03-05$54.48$49.0011.3%3.5%21.9%26.9%18.4%6.5%1.2%6.6M-63.9M-366.6K0.3016.55N/AN/A5,0511,50325,26916,545
2015-03-06$53.70$49.009.2%3.4%22.6%13.5%13.2%4.5%1.2%4.6M-53.5M-357.0K0.4814.97N/AN/A1,63878925,40317,224
2015-03-09$53.67$49.0010.3%3.4%22.5%20.3%12.7%4.5%1.2%4.4M-48.5M-365.2K1.5414.92N/AN/A19930625,18717,344
2015-03-10$52.91$49.009.2%2.9%23.1%13.2%11.3%3.0%0.7%2.1M-40.7M-357.3K0.6021.02N/AN/A22413525,24917,531
2015-03-11$52.69$49.009.5%2.7%23.2%15.3%14.1%1.9%1.5%1.7M-37.0M-358.9K0.1420.37N/AN/A2593625,22017,549
2015-03-12$53.09$49.0011.7%3.4%23.3%29.5%11.8%4.4%1.6%1.9M-43.9M-327.3K0.0221.47N/AN/A187425,31717,538
2015-03-13$53.32$49.0012.3%3.5%23.3%33.4%19.9%3.9%0.5%3.0M-44.0M-350.0K0.1918.96N/AN/A2334425,36717,539
2015-03-16$54.40$49.0012.3%3.5%24.3%33.0%12.3%4.8%1.1%6.9M-60.4M-338.9K0.1410.38N/AN/A1,45520225,37917,550
2015-03-17$54.47$49.0012.6%3.6%22.0%34.8%12.5%-0.2%0.8%8.1M-61.9M-351.1K0.6812.43N/AN/A61442025,72117,567
2015-03-18$55.07$49.0011.9%3.4%14.0%30.6%11.9%15.6%1.6%12.8M-76.8M-332.6K0.6614.45N/AN/A76950826,15017,471
2015-03-19$54.73$49.0012.2%3.5%13.6%32.8%12.2%0.8%1.4%16.2M-67.4M-334.9K1.2713.47N/AN/A52766826,52717,287
2015-03-20$54.55$49.0011.4%3.3%13.5%27.7%11.4%-0.4%1.9%2.8M-58.6M-350.5K0.1711.45N/AN/A3516026,60617,929
2015-03-23$54.92$49.0011.5%3.3%13.7%28.1%11.5%0.4%2.1%2.9M-63.5M-333.6K0.3114.37N/AN/A53616521,56417,448
2015-03-24$54.61$49.0011.3%3.2%13.9%26.7%11.3%0.7%3.0%2.9M-60.3M-348.7K1.9315.10N/AN/A5731,10521,71717,563
2015-03-25$53.86$49.0011.8%3.4%14.7%30.0%11.8%-0.8%1.8%2.5M-52.9M-351.9K0.4314.86N/AN/A1737422,13618,606
2015-03-26$53.46$49.009.9%2.8%14.9%18.0%11.8%4.5%2.5%2.1M-48.5M-363.9K0.6217.62N/AN/A1,43288522,43018,677
2015-03-27$53.40$49.0010.1%2.9%14.8%19.2%10.4%5.5%2.5%2.3M-46.5M-363.0K0.0318.91N/AN/A7792422,27118,689
2015-03-30$54.01$49.0011.2%3.2%15.3%26.2%11.3%8.5%2.6%2.8M-56.8M-360.1K0.7943.67N/AN/A1,12989223,22118,691
2015-03-31$54.30$49.0011.3%3.3%15.0%27.1%11.3%32.9%3.4%2.9M-59.4M-356.0K0.3629.76N/AN/A2,74598923,31218,744