WM Options History — February 2016

In February 2016, WM traded between $52.17 and $56.33. ATM implied volatility averaged 23.5%, placing in the 64.7% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 3.8% (HV 20d: 19.6%). Max pain ranged from $52.50 to $52.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 0 of 20 days. Put/call ratio averaged 1.18.

Notable Days

  • 2016-02-17: Highest Volume — 5,811 contracts
  • 2016-02-10: Largest IV drop — 26.0% change
  • 2016-02-04: Highest IV Rank — 100.0%
  • 2016-02-11: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$54.39$52.17$56.33$53.35$55.94
Max Pain$52.50$52.50$52.50$52.50$52.50
ATM IV23.5%16.7%34.1%24.1%18.8%
Expected Move6.3%4.8%7.6%6.9%5.4%
HV 20d19.6%15.8%22.3%21.3%15.8%
HV 60d19.5%18.8%19.7%18.8%19.6%
IV Rank64.7%30.1%100.0%90.5%38.6%
IV Percentile88.6%62.3%100.0%97.6%76.2%
Term Structure-2.0%-3.5%-0.1%-2.8%-1.1%
VWIV23.8%17.6%30.5%24.5%19.2%
Skew 25d5.3%3.8%6.6%6.0%3.8%
Skew 10d12.6%9.4%19.0%12.6%9.4%
Call IV 25d19.7%15.7%23.9%20.3%17.1%
Put IV 25d25.0%20.8%30.3%26.3%20.9%
Bid-Ask Spread %20.2011.9632.4619.5217.84
Gamma HHI0.360.290.510.350.29
Net GEX2.8M1.9M5.0M2.8M3.3M
Net DEX-50.2M-70.5M-27.5M-39.0M-62.5M
Net VEX-340.3K-363.6K-307.5K-316.2K-334.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.180.322.842.840.97
Total Volume3,098.151,1305,8111,5022,189
Total OI33,420.528,36637,68928,36633,653

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-02-01$53.35$52.5024.1%6.9%21.3%90.5%24.5%6.0%-2.8%2.8M-39.0M-316.2K2.8419.52N/AN/A3911,11119,7698,597
2016-02-02$52.17$52.5025.4%7.3%21.5%97.8%28.2%4.5%-3.5%2.3M-27.5M-307.5K1.4921.66N/AN/A1,4982,23319,9438,615
2016-02-03$53.04$52.5025.0%7.2%22.3%96.0%23.9%5.5%-2.7%2.6M-38.5M-335.7K0.6615.93N/AN/A1,22280621,0099,742
2016-02-04$53.18$52.5027.9%6.5%21.9%100.0%22.5%5.5%-2.4%2.6M-39.8M-341.7K1.5619.47N/AN/A1,8752,92421,0259,809
2016-02-05$52.52$52.5028.3%6.6%22.1%100.0%23.3%5.7%-2.3%1.9M-29.9M-351.3K0.7319.39N/AN/A1,6951,23721,73611,636
2016-02-08$52.69$52.5032.7%7.1%21.8%100.0%28.2%6.6%-2.8%1.9M-33.0M-351.1K0.6023.34N/AN/A1,42085222,11911,843
2016-02-09$53.29$52.5034.1%7.3%21.8%100.0%29.8%6.5%-2.9%2.2M-39.5M-354.1K0.6221.54N/AN/A1,40086322,18911,958
2016-02-10$53.52$52.5025.3%7.2%21.8%64.4%23.9%4.8%-2.6%2.4M-42.5M-351.8K0.3218.75N/AN/A85927122,22311,979
2016-02-11$53.03$52.5026.6%7.6%21.2%69.7%28.8%6.5%-3.0%2.1M-36.0M-354.0K2.1616.91N/AN/A1,5283,30222,75012,037
2016-02-12$54.06$52.5024.0%6.9%22.1%59.4%30.5%6.4%-1.8%2.4M-47.4M-363.6K1.6332.46N/AN/A1,1821,92622,89713,495
2016-02-16$54.66$52.5023.5%6.8%20.4%57.5%26.0%5.7%-2.3%2.8M-55.9M-349.9K1.0524.47N/AN/A1,3981,46822,95513,609
2016-02-17$54.86$52.5022.8%6.5%18.9%54.7%24.7%5.0%-2.5%3.0M-58.8M-344.0K0.9227.06N/AN/A3,0222,78922,91913,557
2016-02-18$55.28$52.5018.7%5.4%18.1%38.1%22.4%5.0%-0.3%5.0M-67.3M-338.9K1.7725.02N/AN/A1,4022,48623,21613,914
2016-02-19$55.39$52.5018.6%5.3%18.1%37.7%19.7%3.9%-0.7%2.9M-70.5M-337.5K0.7525.66N/AN/A3,2012,38823,19514,494
2016-02-22$56.15$52.5019.3%5.5%17.8%40.7%17.6%5.1%-1.9%3.0M-61.1M-331.5K1.3713.34N/AN/A1,3611,87020,42610,769
2016-02-23$56.33$52.5016.7%4.8%16.6%30.1%18.7%4.9%-0.1%3.1M-64.9M-326.8K1.5514.40N/AN/A9161,42220,81510,721
2016-02-24$56.11$52.5019.1%5.5%16.8%39.6%18.8%4.8%-1.4%3.1M-61.3M-338.7K0.4620.66N/AN/A1,71079521,14611,136
2016-02-25$56.24$52.5019.7%5.7%16.2%42.2%21.3%5.4%-2.0%3.3M-66.3M-337.1K0.8814.63N/AN/A1,4531,27421,74011,242
2016-02-26$56.04$52.5018.3%5.2%16.4%36.4%23.0%4.8%-0.8%3.2M-62.9M-340.0K1.2411.96N/AN/A9951,22921,92111,611
2016-02-29$55.94$52.5018.8%5.4%15.8%38.6%19.2%3.8%-1.1%3.3M-62.5M-334.3K0.9717.84N/AN/A1,1131,07622,00911,644