WM Options History — July 2015

In July 2015, WM traded between $46.38 and $51.21. ATM implied volatility averaged 14.6%, placing in the 40.6% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 2.3% (HV 20d: 12.3%). Max pain ranged from $47.00 to $48.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 1.21.

Notable Days

  • 2015-07-23: Highest Volume — 8,785 contracts
  • 2015-07-15: Largest IV spike — 41.3% change
  • 2015-07-06: Highest IV Rank — 48.4%
  • 2015-07-06: Largest Expected Move — 4.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.44$46.38$51.21$46.50$51.09
Max Pain$47.32$47.00$48.00$48.00$47.00
ATM IV14.6%11.2%16.0%14.7%13.5%
Expected Move4.3%3.7%4.9%4.2%3.9%
HV 20d12.3%9.2%15.3%9.7%15.3%
HV 60d14.3%12.3%16.0%14.5%12.3%
IV Rank40.6%22.3%48.4%41.4%34.9%
IV Percentile69.5%21.8%84.5%76.2%55.2%
Term Structure-0.4%-2.2%1.7%1.7%0.8%
VWIV15.0%13.7%16.9%14.1%14.3%
Skew 25d2.3%0.8%3.3%1.8%1.2%
Skew 10d6.3%-2.6%9.9%3.9%4.3%
Call IV 25d13.9%12.1%15.9%13.7%12.4%
Put IV 25d16.2%13.3%18.6%15.6%13.6%
Bid-Ask Spread %25.5318.9352.2325.2724.98
Gamma HHI0.180.120.240.150.22
Net GEX2.2M209.2K5.6M209.2K3.7M
Net DEX-12.6M-74.3M33.4M33.4M-64.4M
Net VEX-307.2K-346.4K-279.4K-280.3K-324.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.210.212.421.020.80
Total Volume3,460.3641,7678,7854,0901,767
Total OI55,120.63637,51266,06464,30747,204

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-07-01$46.50$48.0014.7%4.2%9.7%41.4%14.1%1.8%1.7%209.2K33.4M-280.3K1.0225.27N/AN/A2,0212,06943,67720,630
2015-07-02$46.38$48.0015.8%4.5%9.2%47.1%15.3%2.7%1.0%343.1K33.1M-279.6K1.9226.38N/AN/A6091,16843,56720,344
2015-07-06$46.50$47.0016.0%4.9%9.3%48.4%14.6%2.8%-0.6%275.0K33.3M-279.4K1.9427.27N/AN/A6581,27943,61820,372
2015-07-07$47.01$47.0016.0%4.9%10.3%48.0%16.5%2.5%-0.7%482.5K25.6M-292.6K1.3422.56N/AN/A8991,20843,86620,076
2015-07-08$46.85$47.0016.0%4.7%10.3%48.4%15.5%2.6%0.1%649.1K22.2M-302.8K0.9829.46N/AN/A96394444,33320,130
2015-07-09$47.27$47.0014.8%4.7%10.9%41.8%16.2%3.3%-0.8%695.2K17.9M-300.4K1.9925.95N/AN/A7121,42044,32320,234
2015-07-10$47.78$47.0014.2%4.4%11.7%38.6%16.3%2.7%-0.8%929.3K6.4M-312.9K2.0220.34N/AN/A8401,69344,51320,267
2015-07-13$47.95$47.0014.7%4.4%11.8%41.3%16.1%2.6%-1.1%695.3K3.1M-299.5K1.7624.47N/AN/A9501,66844,76520,535
2015-07-14$48.65$47.0011.2%4.2%11.5%22.3%15.1%2.1%-0.5%1.7M-16.4M-304.8K1.9019.49N/AN/A1,6553,14444,88220,560
2015-07-15$48.40$47.0015.9%4.5%11.6%47.6%15.9%2.1%-2.2%874.6K-13.6M-307.1K1.7421.93N/AN/A1,3532,35745,06220,783
2015-07-16$48.95$48.0014.6%4.2%12.3%40.9%14.8%3.0%-0.6%3.4M-27.9M-308.1K1.8925.24N/AN/A1,3912,62945,02320,820
2015-07-17$48.70$48.0014.3%4.1%12.2%39.2%14.4%2.8%-0.7%1.7M-23.9M-310.9K0.5120.84N/AN/A2,1181,07345,05921,005
2015-07-20$48.52$48.0014.6%4.2%11.8%40.8%14.2%3.0%-0.7%1.7M-10.1M-293.5K0.4322.58N/AN/A1,80077623,31814,194
2015-07-21$48.22$48.0015.8%4.5%12.0%47.0%14.4%2.6%-0.7%1.8M-8.1M-296.1K0.7925.20N/AN/A1,10987723,93914,222
2015-07-22$47.82$48.0015.9%4.6%12.0%47.8%16.9%2.5%-1.1%1.4M-3.4M-292.4K0.4318.93N/AN/A3,3841,45523,99814,511
2015-07-23$49.04$47.0013.8%4.0%14.7%36.2%13.7%1.7%-0.5%2.8M-24.6M-307.8K0.2152.23N/AN/A7,2391,54626,22214,791
2015-07-24$48.85$47.0013.6%3.9%14.7%35.2%14.5%2.1%-0.0%4.9M-32.4M-346.4K0.8720.29N/AN/A1,6551,43830,54515,243
2015-07-27$49.07$47.0014.4%4.1%14.7%39.4%14.7%2.4%-0.2%4.8M-34.3M-320.4K0.5430.77N/AN/A1,9151,03530,06015,122
2015-07-28$50.14$47.0012.9%3.7%15.0%31.3%13.8%0.8%1.2%5.2M-56.8M-331.0K0.2230.50N/AN/A6,6361,47330,17215,294
2015-07-29$50.73$47.0014.1%4.0%15.2%37.7%14.1%2.0%-0.1%5.6M-74.3M-334.6K2.4226.00N/AN/A1,1832,86033,19915,368
2015-07-30$51.21$47.0014.1%4.1%15.3%38.2%15.2%1.1%-1.4%3.7M-63.0M-333.5K0.9921.03N/AN/A1,5861,57329,69317,115
2015-07-31$51.09$47.0013.5%3.9%15.3%34.9%14.3%1.2%0.8%3.7M-64.4M-324.5K0.8024.98N/AN/A98078730,06517,139