WM Options History — November 2015

In November 2015, WM traded between $52.20 and $54.45. ATM implied volatility averaged 14.1%, placing in the 29.6% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded below realized volatility by 1.2% (HV 20d: 15.3%). Max pain ranged from $52.50 to $55.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 3.31.

Notable Days

  • 2015-11-17: Highest Volume — 5,715 contracts
  • 2015-11-09: Largest IV spike — 23.4% change
  • 2015-11-13: Highest IV Rank — 44.3%
  • 2015-11-13: Largest Expected Move — 4.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$53.69$52.20$54.45$54.45$53.77
Max Pain$54.74$52.50$55.00$52.50$55.00
ATM IV14.1%10.7%16.5%14.5%10.9%
Expected Move4.0%3.1%4.7%4.2%3.1%
HV 20d15.3%13.4%17.2%15.0%14.3%
HV 60d15.8%14.4%16.9%16.0%14.4%
IV Rank29.6%9.1%44.3%32.2%10.4%
IV Percentile47.2%6.7%74.6%57.1%7.5%
Term Structure-0.1%-0.9%1.2%-0.7%0.7%
VWIV15.0%12.1%18.3%14.6%14.5%
Skew 25d3.5%1.3%5.5%4.0%4.5%
Skew 10d8.5%3.0%14.8%14.8%3.7%
Call IV 25d12.9%11.3%15.1%11.9%12.2%
Put IV 25d16.4%13.5%18.6%15.9%16.6%
Bid-Ask Spread %24.2514.0667.6159.9725.07
Gamma HHI0.350.300.390.360.36
Net GEX4.8M3.9M5.6M5.0M4.4M
Net DEX-64.7M-79.3M-35.8M-78.7M-63.2M
Net VEX-308.7K-329.0K-282.4K-306.3K-295.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.310.1112.751.460.16
Total Volume2,799.1051655,7152,774997
Total OI46,063.26342,93348,81645,50043,559

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-11-02$54.45$52.5014.5%4.2%15.0%32.2%14.6%4.0%-0.7%5.0M-78.7M-306.3K1.4659.97N/AN/A1,1271,64727,08218,418
2015-11-04$54.12$52.5013.5%3.9%15.3%25.9%14.2%3.2%0.1%5.3M-75.2M-307.6K2.5467.61N/AN/A7801,98427,34218,533
2015-11-05$54.45$55.0013.6%4.0%15.3%26.5%14.4%3.6%-0.2%4.9M-76.6M-329.0K3.1014.06N/AN/A6331,96427,45018,930
2015-11-06$54.43$55.0012.8%4.0%13.4%21.9%16.6%5.5%-0.4%5.1M-76.8M-321.4K12.7515.82N/AN/A1215327,47319,059
2015-11-09$53.69$55.0015.8%4.4%14.4%40.0%16.2%3.4%-0.8%5.1M-68.1M-303.5K0.4218.36N/AN/A78733227,47919,056
2015-11-10$53.61$55.0016.1%4.5%14.2%42.0%18.3%3.8%-0.6%4.9M-64.3M-325.6K3.3914.63N/AN/A9053,06427,47219,291
2015-11-11$53.87$55.0014.4%4.1%14.1%31.4%17.1%4.2%-0.2%5.0M-65.6M-324.7K3.3917.67N/AN/A9053,06627,45519,958
2015-11-12$52.81$55.0015.7%4.5%15.4%39.5%16.1%2.8%-0.4%4.5M-51.7M-310.7K3.3314.62N/AN/A9763,24827,45019,987
2015-11-13$52.20$55.0016.5%4.7%15.9%44.3%16.6%3.5%-0.9%4.1M-35.8M-322.8K3.6021.79N/AN/A8413,02427,43719,176
2015-11-16$52.56$55.0016.0%4.6%16.1%41.0%15.7%3.8%-0.2%4.8M-40.6M-312.7K0.3017.33N/AN/A2377127,46619,271
2015-11-17$52.72$55.0015.4%4.4%16.1%37.8%15.3%2.9%-0.7%5.6M-49.9M-284.5K1.0222.55N/AN/A2,8282,88727,48019,282
2015-11-18$53.62$55.0015.6%4.5%17.2%39.0%14.4%4.3%-0.5%4.9M-66.6M-328.8K1.0519.12N/AN/A2,7062,84329,40019,263
2015-11-19$53.61$55.0015.7%4.5%16.3%39.1%16.0%4.2%-0.7%4.6M-71.6M-317.3K6.5716.43N/AN/A4462,93229,44019,277
2015-11-20$54.10$55.0013.1%3.8%16.6%23.6%13.2%1.3%0.2%3.9M-79.3M-300.0K1.5521.81N/AN/A1,8232,82429,44319,373
2015-11-23$54.14$55.0012.9%3.7%16.4%22.7%12.8%3.3%0.6%4.6M-67.6M-296.4K0.1122.33N/AN/A1521625,51717,416
2015-11-24$53.98$55.0011.8%3.4%16.5%15.6%12.5%1.3%0.5%4.8M-66.5M-286.4K0.6923.64N/AN/A48533425,54317,432
2015-11-25$54.02$55.0012.5%3.6%14.4%20.2%14.5%3.8%0.7%4.3M-63.8M-310.9K8.9423.44N/AN/A3082,75525,71117,693
2015-11-27$53.92$55.0010.7%3.1%14.3%9.1%12.1%3.3%1.2%4.9M-66.5M-282.4K8.4824.55N/AN/A3262,76525,84217,746
2015-11-30$53.77$55.0010.9%3.1%14.3%10.4%14.5%4.5%0.7%4.4M-63.2M-295.1K0.1625.07N/AN/A86213525,77617,783