WM Options History — June 2015

In June 2015, WM traded between $46.41 and $49.73. ATM implied volatility averaged 13.6%, placing in the 35.2% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded above realized volatility by 4.5% (HV 20d: 9.1%). Max pain ranged from $48.00 to $50.00. Net GEX was positive for 16 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.18.

Notable Days

  • 2015-06-05: Highest Volume — 7,729 contracts
  • 2015-06-29: Largest IV spike — 22.4% change
  • 2015-06-09: Highest IV Rank — 44.0%
  • 2015-06-29: Largest Expected Move — 4.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.02$46.41$49.73$49.73$46.42
Max Pain$48.41$48.00$50.00$50.00$48.00
ATM IV13.6%11.9%15.2%14.2%14.1%
Expected Move3.9%3.4%4.3%4.1%4.0%
HV 20d9.1%7.5%11.2%11.2%9.7%
HV 60d15.3%14.6%16.2%16.2%14.6%
IV Rank35.2%26.0%44.0%38.6%38.0%
IV Percentile62.6%39.3%81.7%71.8%68.7%
Term Structure1.7%0.1%3.3%0.9%2.5%
VWIV13.5%9.5%15.6%15.0%13.6%
Skew 25d1.6%-3.7%2.8%2.7%2.6%
Skew 10d2.2%-22.9%7.0%4.5%6.2%
Call IV 25d13.2%11.6%17.3%12.7%13.2%
Put IV 25d14.7%13.3%16.5%15.4%15.8%
Bid-Ask Spread %21.7312.9940.6230.8319.69
Gamma HHI0.270.120.470.470.12
Net GEX416.5K-2.1M3.5M3.5M-8.2K
Net DEX13.1M-15.2M34.0M-15.2M34.0M
Net VEX-341.4K-379.6K-286.6K-370.1K-286.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.180.153.822.520.64
Total Volume3,7719827,7292,9765,464
Total OI65,455.90958,50869,97863,50163,007

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-06-01$49.73$50.0014.2%4.1%11.2%38.6%15.0%2.7%0.9%3.5M-15.2M-370.1K2.5230.83N/AN/A8462,13042,26021,241
2015-06-02$49.56$50.0012.4%3.6%11.2%28.8%11.6%-3.7%0.5%3.1M-13.8M-370.7K0.1527.11N/AN/A85312942,44922,121
2015-06-03$49.21$50.0013.6%3.9%8.8%35.0%15.6%-0.9%0.1%2.9M-7.1M-379.4K1.0340.62N/AN/A1,1441,18242,38422,155
2015-06-04$48.65$49.0014.2%4.0%9.2%38.4%14.3%2.4%1.3%1.5M4.1M-360.8K1.5819.87N/AN/A7691,21442,35722,178
2015-06-05$48.43$49.0013.9%4.0%8.8%36.6%14.0%1.5%1.6%515.5K10.8M-348.4K0.2121.09N/AN/A6,3681,36142,37222,191
2015-06-08$48.50$49.0015.0%4.1%8.0%42.7%14.2%1.7%1.2%1.1M5.9M-368.3K0.6214.36N/AN/A1,9541,22144,46322,232
2015-06-09$48.32$48.0015.2%4.2%8.0%44.0%13.6%1.8%1.2%234.8K11.3M-362.8K0.3321.86N/AN/A3,5591,18144,52322,318
2015-06-10$48.45$48.0013.9%4.0%8.0%36.6%13.9%2.0%1.0%255.7K7.7M-369.4K0.2218.34N/AN/A5,0131,12345,36422,360
2015-06-11$48.48$48.0014.1%4.0%8.0%38.0%13.7%1.8%1.4%673.5K5.4M-378.5K0.2619.74N/AN/A4,3571,12946,57922,401
2015-06-12$48.45$48.0013.8%3.9%7.5%36.0%13.2%1.3%1.3%728.1K6.1M-379.6K0.2017.84N/AN/A4,29684447,36722,424
2015-06-15$47.69$48.0014.0%4.0%9.0%37.3%14.7%1.4%1.6%-1.3M22.3M-351.4K0.3820.24N/AN/A2,8811,10447,45722,470
2015-06-16$47.83$48.0013.9%4.0%9.1%36.6%13.9%1.4%1.4%-1.8M20.6M-342.0K1.9512.99N/AN/A1,3462,61847,47822,500
2015-06-17$47.90$48.0013.6%3.9%9.1%35.4%14.5%2.1%1.3%-2.1M19.8M-344.1K0.7225.99N/AN/A1,36097647,47022,407
2015-06-18$48.26$48.0013.6%3.9%9.7%35.3%13.3%1.8%1.1%-1.4M9.4M-346.8K0.6419.85N/AN/A1,42691147,47521,748
2015-06-19$47.82$48.0012.7%3.6%9.4%30.2%12.5%2.4%2.2%500.2K23.7M-333.3K1.1620.25N/AN/A1,2631,47147,57421,794
2015-06-22$47.75$48.0012.3%3.5%9.4%28.1%9.5%1.7%3.0%476.4K13.4M-315.4K1.6819.14N/AN/A1,7762,98439,99818,510
2015-06-23$47.33$48.0013.1%3.8%9.3%32.5%12.9%2.2%2.2%89.3K21.5M-313.2K2.2122.16N/AN/A1,0172,25040,91819,613
2015-06-24$47.21$48.0012.6%3.6%8.8%29.7%12.5%1.3%3.3%-22.0K23.8M-304.7K1.9120.44N/AN/A1,1442,18041,43519,930
2015-06-25$46.97$48.0011.9%3.4%8.8%26.0%12.3%1.8%3.3%184.5K25.7M-297.7K2.6314.80N/AN/A8222,16341,84220,000
2015-06-26$47.04$48.0012.2%3.5%8.9%27.5%12.6%2.4%3.0%128.0K26.6M-296.4K1.1215.98N/AN/A1,9872,23441,96420,060
2015-06-29$46.41$48.0014.9%4.3%9.6%42.4%14.7%2.8%2.2%81.3K32.9M-291.8K3.8234.79N/AN/A6042,30842,37320,268
2015-06-30$46.42$48.0014.1%4.0%9.7%38.0%13.6%2.6%2.5%-8.2K34.0M-286.6K0.6419.69N/AN/A3,3302,13442,48920,518