WM Options History — September 2015

In September 2015, WM traded between $49.19 and $50.70. ATM implied volatility averaged 19.1%, placing in the 59.9% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 2.2% (HV 20d: 16.9%). Max pain ranged from $50.00 to $50.00. Net GEX was positive for 13 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 0.90.

Notable Days

  • 2015-09-09: Highest Volume — 10,987 contracts
  • 2015-09-02: Largest IV drop — 12.1% change
  • 2015-09-01: Highest IV Rank — 92.5%
  • 2015-09-01: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.96$49.19$50.70$49.30$49.85
Max Pain$50.00$50.00$50.00$50.00$50.00
ATM IV19.1%16.2%24.5%24.5%19.8%
Expected Move5.5%4.6%7.0%7.0%5.7%
HV 20d16.9%11.8%19.1%18.5%14.5%
HV 60d15.8%15.4%16.2%15.5%16.2%
IV Rank59.9%42.5%92.5%92.5%64.5%
IV Percentile89.1%77.4%98.8%98.8%91.7%
Term Structure1.0%-2.1%2.8%-2.1%2.6%
VWIV21.0%16.7%25.0%25.0%18.7%
Skew 25d4.1%2.3%6.4%3.3%4.8%
Skew 10d10.2%3.4%17.8%6.0%8.7%
Call IV 25d17.7%14.4%23.2%23.2%14.4%
Put IV 25d21.9%18.5%26.5%26.5%19.2%
Bid-Ask Spread %51.8329.2690.8479.2251.81
Gamma HHI0.340.160.750.220.23
Net GEX-1.2M-16.9M3.4M1.5M3.4M
Net DEX-12.0M-34.9M8.5M-8.7M-25.8M
Net VEX-383.0K-418.1K-343.5K-396.3K-355.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.900.253.741.470.49
Total Volume2,878.7537910,9873,2032,303
Total OI57,390.147,52263,61154,53754,078

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-09-01$49.30$50.0024.5%7.0%18.5%92.5%25.0%3.3%-2.1%1.5M-8.7M-396.3K1.4779.22N/AN/A1,2951,90834,38020,157
2015-09-02$49.68$50.0021.5%6.2%18.1%74.5%23.8%2.5%-0.3%1.5M-11.4M-411.7K1.4373.44N/AN/A1,2061,72434,40021,282
2015-09-03$50.30$50.0019.0%5.5%18.3%59.5%21.7%6.4%0.7%2.0M-20.2M-396.8K0.5535.96N/AN/A1,16263634,41721,284
2015-09-04$50.04$50.0020.0%5.7%18.4%65.4%23.9%3.8%0.7%1.5M-15.3M-394.8K0.4730.31N/AN/A1,26759934,49521,320
2015-09-08$50.70$50.0020.2%5.6%18.8%66.5%22.4%5.3%0.6%2.3M-21.9M-395.1K1.5329.96N/AN/A18127734,59521,344
2015-09-09$50.07$50.0020.2%5.8%19.1%66.9%24.8%3.9%0.2%1.4M-16.6M-385.2K3.7430.10N/AN/A2,3178,67034,65121,283
2015-09-10$49.72$50.0019.9%5.7%19.0%65.0%24.6%4.8%0.3%-4.4M7.9M-418.1K0.8129.26N/AN/A1,2621,02734,31129,262
2015-09-11$49.93$50.0019.8%5.7%19.1%64.2%24.2%5.9%-0.4%-4.5M6.1M-414.4K0.7930.84N/AN/A1,21195434,34229,181
2015-09-14$49.90$50.0019.7%5.6%18.9%63.4%23.0%6.1%-0.3%-5.2M4.1M-402.6K0.5965.19N/AN/A1,22371734,32529,212
2015-09-15$50.15$50.0018.4%5.3%18.7%55.8%20.0%5.7%0.8%-6.5M-756.4K-392.6K0.8670.29N/AN/A20417534,22729,167
2015-09-16$50.20$50.0018.5%5.3%18.7%56.3%20.4%4.6%0.6%-6.4M-1.3M-381.1K0.8281.82N/AN/A1,3831,13934,30129,167
2015-09-17$50.04$50.0016.8%4.8%18.7%46.2%19.0%4.3%1.5%-11.3M249.0K-368.1K0.6590.84N/AN/A1,32386434,30429,231
2015-09-18$49.91$50.0016.9%4.9%18.7%46.9%19.1%3.0%1.9%-16.9M8.5M-364.3K0.7058.25N/AN/A1,19883634,32429,287
2015-09-21$50.15$50.0016.2%4.6%17.9%42.5%16.7%3.5%2.2%1.2M-17.4M-343.5K0.2544.44N/AN/A7,5071,88128,54518,977
2015-09-23$50.00$50.0017.0%4.9%11.9%47.0%18.1%3.3%2.8%3.2M-26.6M-369.2K0.6157.10N/AN/A1,48590133,40719,767
2015-09-24$49.81$50.0017.1%4.9%11.8%47.6%17.7%2.7%2.6%3.3M-26.0M-377.0K0.5035.70N/AN/A1,36869033,55519,928
2015-09-25$50.38$50.0017.2%4.9%12.3%48.3%18.0%3.0%2.2%3.4M-34.9M-369.1K0.5643.82N/AN/A1,40078833,59820,057
2015-09-28$49.88$50.0018.9%5.4%12.9%58.5%20.5%3.5%1.8%3.1M-27.2M-367.1K0.7852.30N/AN/A1,16791333,60120,170
2015-09-29$49.19$50.0020.0%5.7%13.6%65.4%19.2%2.3%1.4%2.7M-13.4M-357.2K0.4545.91N/AN/A1,67074433,60420,266
2015-09-30$49.85$50.0019.8%5.7%14.5%64.5%18.7%4.8%2.6%3.4M-25.8M-355.3K0.4951.81N/AN/A1,54276133,74120,337