WM Options History — May 2015

In May 2015, WM traded between $48.43 and $50.14. ATM implied volatility averaged 15.5%, placing in the 46.5% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded below realized volatility by 4.8% (HV 20d: 20.3%). Max pain ranged from $50.00 to $55.00. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.97.

Notable Days

  • 2015-05-11: Highest Volume — 21,702 contracts
  • 2015-05-11: Largest IV spike — 80.1% change
  • 2015-05-11: Highest IV Rank — 100.0%
  • 2015-05-11: Largest Expected Move — 4.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.59$48.43$50.14$50.05$49.69
Max Pain$50.25$50.00$55.00$55.00$50.00
ATM IV15.5%12.7%25.5%14.7%14.2%
Expected Move4.2%3.6%4.9%4.2%4.1%
HV 20d20.3%11.9%22.1%21.0%11.9%
HV 60d18.0%16.3%20.2%19.6%16.4%
IV Rank46.5%30.2%100.0%43.3%38.4%
IV Percentile75.9%57.5%100.0%80.2%71.8%
Term Structure0.2%-1.1%1.2%0.1%0.9%
VWIV15.0%12.2%17.9%14.7%15.4%
Skew 25d1.5%-2.0%4.3%1.9%2.1%
Skew 10d3.0%-3.4%7.5%3.5%4.1%
Call IV 25d14.2%10.9%18.7%14.4%12.7%
Put IV 25d15.7%13.3%18.1%16.3%14.9%
Bid-Ask Spread %20.6210.0938.6227.0338.62
Gamma HHI0.380.190.700.250.42
Net GEX2.8M-402.0K11.0M48.4K3.4M
Net DEX-6.3M-29.7M19.1M5.6M-15.5M
Net VEX-380.8K-413.4K-325.3K-325.3K-385.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.970.033.241.321.06
Total Volume3,927.4533421,7023,6402,153
Total OI60,862.7550,72669,09150,72663,424

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-05-01$50.05$55.0014.7%4.2%21.0%43.3%14.7%1.9%0.1%48.4K5.6M-325.3K1.3227.03N/AN/A1,5662,07433,68617,040
2015-05-04$49.85$50.0015.4%4.2%20.4%47.8%16.1%4.3%0.3%97.8K6.5M-337.2K0.9318.33N/AN/A3,6253,37334,55217,686
2015-05-05$48.85$50.0016.9%4.3%20.8%56.2%15.9%2.6%-0.0%-204.8K14.5M-353.3K0.9219.50N/AN/A1,3271,22036,99520,144
2015-05-06$48.43$50.0017.9%4.6%20.8%61.8%16.1%2.4%-0.7%-379.6K19.1M-342.8K2.2318.94N/AN/A8901,98737,17920,249
2015-05-07$48.85$50.0015.0%4.4%20.9%45.3%16.1%3.5%-0.4%-402.0K17.3M-378.9K0.4919.85N/AN/A2,5861,26337,44521,261
2015-05-08$49.33$50.0014.1%4.2%21.6%40.4%14.6%2.7%-0.3%-202.2K7.6M-388.0K0.4519.71N/AN/A23010437,63321,392
2015-05-11$49.43$50.0025.5%4.9%21.7%100.0%17.2%-0.6%-0.4%-19.8K5.1M-396.4K0.0526.54N/AN/A20,6981,00437,75921,432
2015-05-12$49.53$50.0024.4%4.8%21.8%94.3%17.2%-0.4%-0.7%7.0M-10.9M-413.4K0.3422.30N/AN/A4,0931,37447,64121,450
2015-05-13$49.37$50.0017.0%4.9%21.7%53.9%17.9%-0.9%-1.1%7.6M-4.4M-400.3K0.6621.34N/AN/A2,0501,35247,56321,490
2015-05-14$49.70$50.0015.8%4.5%22.1%47.3%15.8%-2.0%-0.3%11.0M-8.7M-395.7K0.5221.70N/AN/A1,9771,01946,92121,518
2015-05-15$49.80$50.0014.8%4.2%21.1%41.7%14.9%-2.0%0.5%561.9K977.1K-381.0K0.7315.38N/AN/A1,5611,13546,42521,613
2015-05-18$49.85$50.0013.4%3.8%21.0%34.1%13.1%2.3%0.9%620.0K-9.7M-373.6K0.0319.87N/AN/A6,96319035,69619,175
2015-05-19$49.86$50.0013.6%3.9%21.0%35.2%13.2%2.6%0.2%3.4M-19.1M-404.5K0.1210.09N/AN/A1,34916841,16119,307
2015-05-20$49.75$50.0012.9%3.7%21.0%31.6%14.5%1.9%0.7%3.5M-18.6M-394.6K1.1019.38N/AN/A83291241,91219,416
2015-05-21$50.14$50.0012.8%3.7%21.3%31.0%12.2%3.0%1.0%4.3M-29.7M-400.5K1.3318.92N/AN/A72095841,90919,488
2015-05-22$50.08$50.0012.7%3.6%21.3%30.2%13.2%1.6%1.2%4.1M-29.3M-397.1K1.2918.77N/AN/A67887542,07419,548
2015-05-26$49.58$50.0013.4%3.8%21.4%34.0%13.1%0.9%0.2%3.6M-17.1M-384.0K1.0924.96N/AN/A77984642,11419,587
2015-05-27$49.88$50.0013.0%3.7%21.5%31.7%14.2%2.2%0.8%4.3M-20.4M-389.5K1.5616.46N/AN/A54384642,05819,622
2015-05-28$49.80$50.0013.1%3.7%12.3%32.4%14.5%1.7%1.0%4.0M-18.8M-374.9K3.2414.69N/AN/A7612,46842,06819,622
2015-05-29$49.69$50.0014.2%4.1%11.9%38.4%15.4%2.1%0.9%3.4M-15.5M-385.4K1.0638.62N/AN/A1,0451,10842,22521,199