WM Options History — August 2015

In August 2015, WM traded between $49.56 and $52.66. ATM implied volatility averaged 16.3%, placing in the 47.5% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 0.2% (HV 20d: 16.1%). Max pain ranged from $47.00 to $50.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 1.11.

Notable Days

  • 2015-08-17: Highest Volume — 5,831 contracts
  • 2015-08-24: Largest IV spike — 47.7% change
  • 2015-08-24: Highest IV Rank — 100.0%
  • 2015-08-24: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$51.22$49.56$52.66$50.80$50.12
Max Pain$49.00$47.00$50.00$47.00$50.00
ATM IV16.3%10.1%25.7%13.3%21.4%
Expected Move4.7%3.4%7.4%3.8%6.1%
HV 20d16.1%11.9%20.0%15.7%17.7%
HV 60d13.4%12.2%15.4%12.3%15.1%
IV Rank47.5%16.2%100.0%33.5%73.7%
IV Percentile68.3%4.8%100.0%53.2%96.4%
Term Structure-0.4%-2.8%1.3%1.3%-1.2%
VWIV17.5%12.0%27.6%13.7%22.3%
Skew 25d3.3%0.2%6.0%0.2%3.5%
Skew 10d7.5%1.6%13.2%1.6%7.0%
Call IV 25d15.1%10.4%24.4%13.5%19.9%
Put IV 25d18.4%13.5%29.6%13.7%23.4%
Bid-Ask Spread %40.3414.3279.6427.2979.64
Gamma HHI0.320.230.410.230.27
Net GEX4.6M2.1M6.7M3.7M2.3M
Net DEX-65.2M-105.9M-16.2M-60.7M-22.1M
Net VEX-378.4K-445.1K-321.1K-321.1K-400.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.110.053.010.050.76
Total Volume2,820.3331,0615,8315,8212,030
Total OI55,234.95247,31662,76347,31654,533

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-08-03$50.80$47.0013.3%3.8%15.7%33.5%13.7%0.2%1.3%3.7M-60.7M-321.1K0.0527.29N/AN/A5,56425730,17217,144
2015-08-04$50.94$47.0013.9%4.0%15.5%36.7%13.6%0.2%-0.2%5.3M-66.6M-355.8K2.7117.66N/AN/A6001,62735,39217,215
2015-08-05$51.61$47.0011.7%3.4%15.6%25.0%12.0%1.7%0.8%5.7M-79.2M-350.9K1.1223.24N/AN/A1,1251,26335,46118,012
2015-08-06$51.01$48.0015.0%4.1%16.5%42.6%13.9%2.3%0.4%5.2M-71.3M-364.2K1.6518.56N/AN/A7191,18635,92417,992
2015-08-07$50.89$48.0015.0%4.2%16.5%43.1%14.5%2.5%-0.5%5.2M-67.2M-350.5K2.2014.32N/AN/A5471,20235,87218,051
2015-08-10$51.35$48.0010.1%3.8%16.6%16.2%15.0%3.5%0.9%5.5M-73.8M-343.8K3.0118.22N/AN/A5691,71235,87818,052
2015-08-11$51.52$48.0012.0%3.7%16.1%26.3%14.2%2.3%-0.0%5.7M-79.7M-325.2K0.1919.20N/AN/A89017135,88518,543
2015-08-12$51.83$48.0014.8%4.2%15.8%41.7%15.2%3.6%-0.5%5.1M-80.6M-354.1K0.9328.05N/AN/A93686936,08618,598
2015-08-13$51.92$48.0013.2%3.8%15.6%32.8%15.4%3.4%0.4%5.8M-87.7M-339.1K1.3028.25N/AN/A1,0811,41036,20618,606
2015-08-14$52.21$50.0013.6%3.9%15.3%34.9%15.3%4.1%0.0%5.7M-91.5M-345.8K1.7027.59N/AN/A51788136,30419,210
2015-08-17$52.66$50.0013.1%3.8%15.1%24.3%14.0%1.9%0.2%6.7M-101.3M-333.4K0.3229.64N/AN/A4,4291,40236,44219,204
2015-08-18$52.63$50.0013.6%3.9%14.8%27.0%14.4%1.4%-0.3%6.6M-105.9M-389.8K0.6633.85N/AN/A2,0581,36039,41219,608
2015-08-19$52.60$50.0013.8%4.0%14.1%28.4%14.0%5.2%-0.2%6.5M-105.2M-405.1K0.6923.54N/AN/A1,02270440,30819,734
2015-08-20$52.65$50.0014.7%4.2%11.9%34.0%16.4%5.8%0.2%6.3M-104.0M-421.1K2.0825.51N/AN/A1,8343,81940,32720,265
2015-08-21$51.69$50.0017.4%5.0%14.0%50.5%18.5%2.3%0.2%4.3M-82.8M-445.1K0.3660.34N/AN/A3,6051,29840,22722,536
2015-08-24$49.79$50.0025.7%7.4%20.0%100.0%27.6%5.2%-2.8%2.2M-17.7M-432.8K0.7975.03N/AN/A1,5731,24434,41319,794
2015-08-25$49.56$50.0024.3%7.0%18.5%91.8%26.5%6.0%-2.0%2.2M-16.2M-419.7K0.6577.15N/AN/A1,8341,19434,54920,059
2015-08-26$49.85$50.0023.6%6.8%18.1%87.2%25.2%5.3%-2.3%2.2M-18.4M-428.6K0.7571.95N/AN/A1,09682634,65420,044
2015-08-27$49.92$50.0021.9%6.3%17.7%76.7%23.4%4.6%-1.6%2.1M-17.1M-410.2K0.7074.64N/AN/A1,6701,17434,65420,065
2015-08-28$50.15$50.0020.8%6.0%17.8%70.3%22.5%3.9%-1.6%2.3M-20.2M-409.9K0.6473.55N/AN/A1,17575434,38520,118
2015-08-31$50.12$50.0021.4%6.1%17.7%73.7%22.3%3.5%-1.2%2.3M-22.1M-400.0K0.7679.64N/AN/A1,15587534,39420,139