WM Options History — January 2016

In January 2016, WM traded between $51.48 and $53.25. ATM implied volatility averaged 22.0%, placing in the 77.7% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 2.6% (HV 20d: 19.5%). Max pain ranged from $52.50 to $52.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 0 of 19 days. Put/call ratio averaged 0.54.

Notable Days

  • 2016-01-07: Highest Volume — 6,070 contracts
  • 2016-01-11: Largest IV spike — 15.3% change
  • 2016-01-25: Highest IV Rank — 86.4%
  • 2016-01-25: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$52.46$51.48$53.25$52.41$52.95
Max Pain$52.50$52.50$52.50$52.50$52.50
ATM IV22.0%20.0%23.5%21.3%22.4%
Expected Move6.2%5.6%6.7%5.6%6.4%
HV 20d19.5%16.0%21.3%19.9%21.3%
HV 60d18.1%17.0%19.3%17.5%18.9%
IV Rank77.7%65.5%86.4%73.1%79.8%
IV Percentile94.8%91.7%96.8%95.2%93.3%
Term Structure-1.7%-2.4%-1.0%-1.2%-1.8%
VWIV22.4%20.1%28.4%20.7%23.4%
Skew 25d4.9%3.6%7.0%4.7%4.2%
Skew 10d11.7%7.9%16.9%7.9%8.9%
Call IV 25d19.8%17.2%22.0%17.8%20.3%
Put IV 25d24.7%21.9%28.3%22.5%24.5%
Bid-Ask Spread %37.7418.3274.3919.9321.58
Gamma HHI0.370.250.640.360.34
Net GEX3.2M1.4M5.7M3.7M2.7M
Net DEX-33.4M-45.2M-20.2M-34.4M-34.7M
Net VEX-296.5K-320.5K-272.9K-285.2K-317.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.540.151.670.401.27
Total Volume3,192.4212616,0703,846261
Total OI36,332.63223,39045,96443,77128,247

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-01-04$52.41$52.5021.3%5.6%19.9%73.1%20.7%4.7%-1.2%3.7M-34.4M-285.2K0.4019.93N/AN/A2,7491,09725,03818,733
2016-01-05$52.62$52.5020.1%5.6%19.1%66.0%20.1%4.7%-1.7%3.8M-36.2M-282.1K0.4023.47N/AN/A2,6841,08125,06718,932
2016-01-06$53.25$52.5021.2%5.7%19.2%72.6%20.2%5.3%-1.8%4.3M-43.4M-281.3K0.3328.56N/AN/A2,64386625,07018,992
2016-01-07$52.80$52.5022.6%6.0%19.2%81.1%21.0%4.7%-1.4%4.6M-41.7M-282.2K0.1767.25N/AN/A5,20686425,18219,051
2016-01-08$52.25$52.5020.0%5.9%18.9%65.5%20.8%4.0%-1.6%4.0M-35.7M-282.9K0.1767.74N/AN/A5,16889525,58619,200
2016-01-11$52.91$52.5023.1%5.9%19.4%84.0%20.4%4.2%-1.6%4.7M-42.5M-281.4K0.3069.69N/AN/A2,91887125,44719,285
2016-01-12$53.12$52.5021.6%5.7%18.6%75.3%20.4%4.0%-1.0%4.8M-45.2M-280.5K0.3067.63N/AN/A2,81083325,42119,360
2016-01-13$52.29$52.5020.4%5.9%19.4%68.0%20.4%3.6%-1.8%4.2M-32.4M-272.9K0.2867.68N/AN/A4,3071,20625,47419,353
2016-01-14$52.69$52.5020.6%5.9%16.0%69.0%21.0%4.4%-1.6%5.7M-42.0M-289.9K0.2974.39N/AN/A2,65276726,11419,763
2016-01-15$51.48$52.5021.5%6.2%17.4%74.5%21.9%6.0%-1.9%1.4M-20.2M-280.6K0.1530.64N/AN/A4,73472526,10119,863
2016-01-19$52.68$52.5021.8%6.2%19.3%76.3%20.5%5.0%-1.4%1.9M-28.8M-295.7K0.2825.86N/AN/A2,45968316,4216,969
2016-01-20$51.95$52.5023.4%6.7%19.6%85.7%24.3%5.9%-1.6%2.0M-26.3M-308.1K0.4920.25N/AN/A1,49773318,3337,412
2016-01-21$52.07$52.5023.2%6.6%19.7%84.8%23.5%7.0%-1.9%2.1M-27.4M-311.3K0.7818.69N/AN/A1,3401,04318,5667,620
2016-01-22$52.96$52.5022.9%6.6%20.5%82.9%22.9%5.7%-1.4%2.4M-34.4M-320.5K0.5820.92N/AN/A1,42483118,9688,191
2016-01-25$52.22$52.5023.5%6.7%20.7%86.4%24.3%4.7%-2.4%2.3M-29.2M-319.1K0.4118.32N/AN/A1,24650519,5328,349
2016-01-26$52.26$52.5023.3%6.7%20.7%85.1%24.1%4.9%-2.1%2.3M-28.6M-316.5K0.9120.46N/AN/A65959819,5848,486
2016-01-27$51.84$52.5023.2%6.6%20.5%84.7%27.3%5.5%-1.8%2.2M-25.3M-312.9K1.6730.45N/AN/A39766219,8148,418
2016-01-28$52.08$52.5022.7%6.5%20.4%81.8%28.4%5.0%-1.7%2.3M-26.6M-313.1K1.1423.61N/AN/A58066219,8478,531
2016-01-29$52.95$52.5022.4%6.4%21.3%79.8%23.4%4.2%-1.8%2.7M-34.7M-317.2K1.2721.58N/AN/A11514619,6818,566