WM Options History — December 2015

In December 2015, WM traded between $51.28 and $54.31. ATM implied volatility averaged 16.1%, placing in the 41.5% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded below realized volatility by 3.3% (HV 20d: 19.3%). Max pain ranged from $50.00 to $55.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.39.

Notable Days

  • 2015-12-01: Highest Volume — 8,260 contracts
  • 2015-12-02: Largest IV spike — 31.1% change
  • 2015-12-15: Highest IV Rank — 56.0%
  • 2015-12-15: Largest Expected Move — 5.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$52.99$51.28$54.31$53.92$53.52
Max Pain$51.25$50.00$55.00$55.00$50.00
ATM IV16.1%11.5%18.4%11.5%17.1%
Expected Move4.6%3.3%5.3%3.3%4.9%
HV 20d19.3%13.3%21.6%13.7%21.6%
HV 60d16.6%14.3%17.8%14.3%16.9%
IV Rank41.5%14.2%56.0%14.2%48.1%
IV Percentile66.4%14.7%86.5%14.7%78.2%
Term Structure1.2%-0.5%2.8%0.7%1.6%
VWIV18.8%14.0%24.8%15.3%20.5%
Skew 25d3.9%2.5%5.3%3.3%3.1%
Skew 10d9.2%2.9%14.2%2.9%8.4%
Call IV 25d14.8%12.2%17.6%12.2%15.2%
Put IV 25d18.6%15.5%21.9%15.5%18.4%
Bid-Ask Spread %38.7614.9293.3828.6293.38
Gamma HHI0.350.230.480.350.41
Net GEX3.8M1.6M6.0M4.6M5.4M
Net DEX-39.9M-63.1M-14.8M-63.1M-51.8M
Net VEX-302.5K-327.6K-288.6K-306.0K-288.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.390.030.990.030.35
Total Volume4,552.1822938,2608,2603,993
Total OI42,600.04539,83744,86844,35343,484

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-12-01$53.92$55.0011.5%3.3%13.7%14.2%15.3%3.3%0.7%4.6M-63.1M-306.0K0.0328.62N/AN/A8,04321726,51717,836
2015-12-02$53.47$55.0015.1%4.3%13.3%36.0%16.1%2.5%1.5%3.8M-41.3M-297.6K0.9019.52N/AN/A3,1842,86221,99217,848
2015-12-03$51.82$52.5016.2%4.4%17.1%42.6%19.1%2.9%1.3%2.0M-20.3M-290.9K0.5522.39N/AN/A4,8602,68822,00517,832
2015-12-04$52.64$52.5015.4%4.3%18.0%37.6%14.4%3.5%1.5%3.0M-28.4M-300.6K0.2421.68N/AN/A3,76091323,01017,986
2015-12-07$52.10$52.5016.7%4.4%18.2%45.2%17.0%3.8%1.1%2.6M-24.8M-300.4K0.9920.60N/AN/A14714622,85718,072
2015-12-08$52.56$52.5016.9%4.4%18.1%46.6%14.0%4.3%1.2%3.1M-29.7M-294.6K0.7620.47N/AN/A3,0262,28723,00818,053
2015-12-09$51.83$52.5016.2%4.6%18.7%42.2%19.7%3.8%0.8%2.2M-20.7M-302.5K0.7123.68N/AN/A2,9842,10823,04218,511
2015-12-10$51.98$52.5015.6%4.5%18.6%38.6%16.5%3.4%1.2%2.3M-22.3M-294.8K0.7125.98N/AN/A3,1602,24723,06518,539
2015-12-11$51.28$52.5017.6%5.1%17.9%51.1%24.2%4.2%-0.1%1.6M-14.8M-299.1K0.4421.67N/AN/A3,2381,41523,05718,627
2015-12-14$51.79$50.0018.3%5.3%17.9%55.3%17.3%4.4%-0.1%2.0M-20.0M-294.6K0.1890.20N/AN/A5,15392023,47318,668
2015-12-15$53.40$50.0018.4%5.3%20.9%56.0%18.5%3.6%-0.5%4.0M-43.3M-326.1K0.1760.70N/AN/A4,58577124,94618,848
2015-12-16$53.93$50.0015.4%4.4%21.2%37.5%24.8%5.3%1.1%4.5M-52.8M-327.6K0.3671.37N/AN/A3,7951,38025,12218,955
2015-12-17$53.40$50.0017.2%4.9%20.6%48.5%17.7%3.4%0.3%4.0M-45.4M-309.2K0.2484.95N/AN/A2,98370325,19619,658
2015-12-18$52.86$50.0017.2%4.9%20.9%48.3%16.4%4.7%0.5%3.8M-39.7M-313.9K0.2223.86N/AN/A3,08166625,18919,679
2015-12-21$52.79$50.0017.1%4.9%20.6%48.1%15.6%4.5%1.4%3.7M-38.2M-300.5K0.2928.07N/AN/A3,21692224,32418,311
2015-12-22$53.18$50.0016.8%4.8%20.8%45.9%22.5%4.1%1.4%4.3M-45.4M-309.2K0.2160.39N/AN/A2,76458924,57518,509
2015-12-23$53.65$50.0016.6%4.8%21.1%45.0%18.2%4.2%1.4%4.9M-50.5M-307.0K0.2120.85N/AN/A2,82660024,61718,498
2015-12-24$53.43$50.0016.1%4.6%21.1%42.1%18.5%2.5%2.1%5.0M-51.4M-302.6K0.2248.85N/AN/A2,75559924,73318,509
2015-12-28$53.89$50.0014.4%4.1%21.4%31.5%21.1%4.2%2.1%5.4M-53.7M-300.3K0.2435.07N/AN/A2,72065124,76118,506
2015-12-29$54.31$50.0013.7%3.9%21.5%27.4%22.3%4.9%2.6%6.0M-62.4M-294.4K0.2515.62N/AN/A2,78570424,80418,600
2015-12-30$53.98$50.0013.5%3.9%21.6%26.3%24.4%4.3%2.8%5.9M-57.5M-293.4K0.2414.92N/AN/A2,99271024,87018,509
2015-12-31$53.52$50.0017.1%4.9%21.6%48.1%20.5%3.1%1.6%5.4M-51.8M-288.6K0.3593.38N/AN/A2,9551,03824,94618,538