WM Options History — October 2015

In October 2015, WM traded between $49.86 and $54.60. ATM implied volatility averaged 15.8%, placing in the 40.0% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 0.8% (HV 20d: 15.0%). Max pain ranged from $49.00 to $52.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 1.35.

Notable Days

  • 2015-10-16: Highest Volume — 7,134 contracts
  • 2015-10-27: Largest IV drop — 19.0% change
  • 2015-10-26: Highest IV Rank — 61.2%
  • 2015-10-26: Largest Expected Move — 5.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$52.76$49.86$54.60$49.86$53.81
Max Pain$50.66$49.00$52.50$50.00$52.50
ATM IV15.8%12.0%19.3%18.1%13.2%
Expected Move4.9%3.8%5.5%5.2%3.8%
HV 20d15.0%13.2%16.0%13.2%15.8%
HV 60d16.3%15.4%16.9%16.1%16.0%
IV Rank40.0%17.3%61.2%54.0%24.1%
IV Percentile65.7%24.6%90.5%84.5%36.9%
Term Structure-0.9%-1.9%3.2%1.4%0.7%
VWIV18.1%12.1%24.0%18.6%13.4%
Skew 25d3.7%1.2%5.3%5.3%3.0%
Skew 10d10.2%3.3%15.2%11.2%3.3%
Call IV 25d15.2%11.6%17.9%14.9%12.7%
Put IV 25d18.9%15.7%21.0%20.2%15.7%
Bid-Ask Spread %30.8514.0673.2358.5214.06
Gamma HHI0.310.240.550.250.34
Net GEX4.7M2.7M9.1M3.6M5.0M
Net DEX-71.0M-102.9M-27.5M-27.5M-69.6M
Net VEX-322.5K-363.1K-300.2K-358.4K-317.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.350.142.720.302.35
Total Volume3,601.51,4337,1343,1352,512
Total OI50,155.59139,27758,74854,40745,210

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-10-01$49.86$50.0018.1%5.2%13.2%54.0%18.6%5.3%1.4%3.6M-27.5M-358.4K0.3058.52N/AN/A2,40872734,00720,400
2015-10-02$50.46$50.0016.6%4.7%13.6%44.6%12.1%1.2%3.2%4.3M-41.9M-363.1K0.4762.30N/AN/A1,86288134,81820,500
2015-10-05$51.46$49.0013.8%5.1%14.6%28.0%18.6%3.6%-1.2%4.7M-65.2M-342.3K0.1427.42N/AN/A1,25517834,92920,513
2015-10-06$51.47$49.0012.0%5.0%14.4%17.3%22.6%3.9%-1.6%4.8M-67.3M-343.4K0.5226.30N/AN/A2,5491,31435,41020,505
2015-10-07$51.76$49.0013.1%5.1%13.9%23.7%21.2%4.8%-1.5%4.9M-78.4M-321.7K0.8429.94N/AN/A1,6081,35335,25220,434
2015-10-08$52.94$50.0014.6%5.0%14.9%32.8%22.4%3.7%-1.2%4.8M-95.9M-314.4K1.1225.69N/AN/A1,6941,89535,39520,558
2015-10-09$53.01$50.0014.0%5.0%14.4%28.8%23.4%3.1%-1.2%4.8M-97.6M-317.0K0.9628.11N/AN/A1,4401,37835,37520,618
2015-10-12$53.39$50.0013.4%5.0%14.5%25.7%24.0%4.2%-1.7%4.5M-102.9M-312.8K1.0328.42N/AN/A1,6871,74035,37420,691
2015-10-13$53.05$50.0015.3%5.0%14.9%37.3%21.1%3.9%-1.5%4.4M-98.3M-310.7K1.5724.58N/AN/A1,3222,08035,61121,160
2015-10-14$52.47$50.0017.4%5.0%15.6%49.7%16.5%3.4%-1.6%5.0M-89.2M-311.4K1.5218.83N/AN/A1,4052,14235,65021,473
2015-10-15$52.55$50.0016.9%4.8%15.6%46.6%15.9%4.8%-1.4%6.5M-89.0M-311.0K2.1922.23N/AN/A1,4783,23335,70621,579
2015-10-16$52.50$50.0017.0%4.9%15.6%47.0%16.1%3.3%-1.5%9.1M-85.7M-311.5K0.8635.22N/AN/A3,8313,30335,55923,189
2015-10-19$52.62$50.0017.1%4.9%15.4%47.6%17.0%3.3%-0.9%2.7M-39.9M-318.7K0.9234.33N/AN/A3,3373,06122,68316,594
2015-10-20$52.60$50.0017.1%4.9%15.5%48.1%16.7%3.3%-1.2%3.7M-47.2M-324.3K2.0823.41N/AN/A1,4903,10124,61716,709
2015-10-21$53.43$50.0017.8%5.1%16.0%51.9%17.8%4.0%-1.1%4.0M-59.5M-307.3K1.7723.66N/AN/A1,7853,15224,73916,942
2015-10-22$53.56$52.5018.2%5.2%15.8%54.5%17.8%4.4%-1.9%3.9M-59.6M-323.8K1.7024.40N/AN/A1,5372,61424,98517,083
2015-10-23$53.25$52.5018.5%5.3%15.8%56.3%18.3%3.7%-1.9%4.0M-58.5M-316.1K1.6525.24N/AN/A8091,33425,29117,167
2015-10-26$53.18$52.5019.3%5.5%15.2%61.2%18.5%2.7%-1.7%3.8M-54.5M-328.6K0.8428.45N/AN/A2,0461,71425,47817,574
2015-10-27$54.37$52.5015.6%4.5%15.2%39.0%15.3%4.3%-1.3%4.7M-76.0M-309.1K1.4973.23N/AN/A1,1011,63926,64617,770
2015-10-28$54.60$52.5014.6%4.2%14.9%32.8%14.9%4.3%-0.4%4.9M-77.2M-331.4K2.6928.88N/AN/A6021,62027,02217,538
2015-10-29$54.47$52.5014.1%4.0%15.0%29.5%15.0%4.1%-0.3%5.1M-80.8M-300.2K2.7215.52N/AN/A8102,20627,05017,619
2015-10-30$53.81$52.5013.2%3.8%15.8%24.1%13.4%3.0%0.7%5.0M-69.6M-317.0K2.3514.06N/AN/A7491,76326,97718,233