WM Options History — April 2015

In April 2015, WM traded between $49.50 and $55.00. ATM implied volatility averaged 16.7%, placing in the 60.0% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 2.5% (HV 20d: 14.2%). Max pain ranged from $49.00 to $55.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.77.

Notable Days

  • 2015-04-28: Highest Volume — 9,570 contracts
  • 2015-04-29: Largest IV drop — 33.0% change
  • 2015-04-27: Highest IV Rank — 100.0%
  • 2015-04-28: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$53.30$49.50$55.00$53.63$49.50
Max Pain$54.71$49.00$55.00$49.00$55.00
ATM IV16.7%9.8%24.5%9.8%15.3%
Expected Move4.9%2.8%7.0%2.8%4.4%
HV 20d14.2%11.6%20.8%15.6%20.6%
HV 60d17.3%16.7%19.7%16.9%19.7%
IV Rank60.0%17.3%100.0%17.3%46.9%
IV Percentile81.2%3.2%100.0%3.2%85.3%
Term Structure-1.7%-4.7%4.1%4.1%0.9%
VWIV17.5%10.1%24.3%10.1%15.1%
Skew 25d3.2%-8.6%7.0%-0.3%2.1%
Skew 10d5.2%-17.6%20.1%-17.6%6.5%
Call IV 25d16.7%10.7%24.0%10.7%14.8%
Put IV 25d19.9%10.4%24.0%10.4%16.9%
Bid-Ask Spread %22.7613.0771.2042.5524.66
Gamma HHI0.550.220.810.510.22
Net GEX4.2M-186.8K10.3M2.7M-186.8K
Net DEX-44.5M-81.7M9.7M-53.4M9.7M
Net VEX-370.4K-389.4K-326.5K-368.5K-326.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.770.181.450.321.45
Total Volume3,962.0953899,5703,5872,914
Total OI46,475.14338,99254,37643,77250,251

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-04-01$53.63$49.009.8%2.8%15.6%17.3%10.1%-0.3%4.1%2.7M-53.4M-368.5K0.3242.55N/AN/A2,71787024,91718,855
2015-04-02$53.95$55.0011.4%4.2%15.2%27.5%15.5%5.0%-0.8%2.7M-56.1M-366.1K0.3516.57N/AN/A2,66092225,07118,967
2015-04-06$54.47$55.0012.3%4.3%14.7%33.0%15.5%6.3%-1.0%3.3M-62.6M-349.1K0.4218.79N/AN/A2,8511,19525,22619,047
2015-04-07$54.73$55.0011.5%4.2%14.7%27.8%14.8%6.3%-0.7%3.4M-63.4M-365.7K0.2218.45N/AN/A6,7371,47825,23119,263
2015-04-08$54.61$55.0015.1%4.3%13.7%51.3%15.1%5.7%-1.1%8.3M-70.5M-381.4K0.3722.42N/AN/A28310629,79119,681
2015-04-09$54.99$55.0015.2%4.4%13.6%52.0%15.4%7.0%-1.2%9.5M-79.4M-389.4K1.0716.56N/AN/A1,1531,23230,06319,689
2015-04-10$55.00$55.0016.1%4.6%13.5%58.0%16.3%1.6%-1.3%9.3M-81.7M-389.0K0.7517.46N/AN/A3,2922,46130,12219,778
2015-04-13$54.78$55.0016.7%4.8%13.6%61.6%17.3%6.9%-1.7%10.3M-75.9M-376.8K1.4217.18N/AN/A2,1563,05931,20619,518
2015-04-14$54.19$55.0018.3%5.2%12.3%71.6%18.3%0.9%-2.7%7.6M-62.9M-381.2K0.8716.83N/AN/A3,9343,40831,91920,080
2015-04-15$54.22$55.0018.4%5.3%12.3%72.5%18.4%5.3%-3.1%8.2M-63.4M-387.3K0.6015.89N/AN/A2,4941,50633,49220,538
2015-04-16$54.02$55.0017.8%5.1%11.6%68.8%17.9%6.1%-2.5%6.6M-58.8M-386.0K0.5915.87N/AN/A2,2271,32433,59520,735
2015-04-17$52.83$55.0018.8%5.4%13.8%75.3%20.4%3.6%-3.4%1.8M-43.0M-371.6K0.3713.50N/AN/A3,6591,37033,74920,627
2015-04-20$53.02$55.0017.3%5.0%13.9%65.6%17.5%5.1%-2.0%2.1M-29.8M-373.4K0.6213.07N/AN/A1,7251,07724,21614,776
2015-04-21$52.85$55.0014.8%4.3%13.6%49.7%18.0%4.4%-2.4%2.3M-29.5M-386.3K1.0417.79N/AN/A1,1661,21624,88614,844
2015-04-22$52.58$55.0017.9%5.1%13.5%69.4%17.9%3.2%-2.3%2.0M-24.4M-366.8K0.7223.70N/AN/A1,5751,13824,95515,038
2015-04-23$52.69$55.0019.5%5.6%12.8%79.8%19.6%2.9%-3.2%2.2M-28.5M-372.5K1.4027.67N/AN/A7681,07725,81415,277
2015-04-24$52.67$55.0019.3%5.5%12.6%78.0%20.6%2.3%-3.9%2.3M-26.4M-377.0K1.2425.89N/AN/A9201,14226,00615,413
2015-04-27$52.28$55.0023.7%6.8%12.9%100.0%22.3%1.2%-3.4%1.9M-19.0M-357.5K1.3128.28N/AN/A1,0481,37725,95915,546
2015-04-28$52.45$55.0024.5%7.0%12.1%100.0%24.3%0.5%-4.7%2.0M-20.6M-373.6K0.1813.67N/AN/A8,1041,46625,88615,968
2015-04-29$49.90$55.0016.4%4.7%20.8%53.5%16.5%-8.6%-0.4%224.4K5.3M-331.9K0.8871.20N/AN/A1,8061,59133,45316,530
2015-04-30$49.50$55.0015.3%4.4%20.6%46.9%15.1%2.1%0.9%-186.8K9.7M-326.5K1.4524.66N/AN/A1,1871,72733,31816,933