WM Options History — March 2016

In March 2016, WM traded between $56.89 and $59.76. ATM implied volatility averaged 14.3%, placing in the 19.3% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 3.5% (HV 20d: 10.8%). 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 22 of 22 days. Put/call ratio averaged 1.07.

Notable Days

  • 2016-03-02: Highest Volume — 9,453 contracts
  • 2016-03-22: Largest IV spike — 18.0% change
  • 2016-03-08: Highest IV Rank — 27.1%
  • 2016-03-09: Largest Expected Move — 4.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$58.30$56.89$59.76$56.94$58.99
Max Pain$51.36$50.00$55.00$52.50$55.00
ATM IV14.3%12.1%16.0%15.4%12.6%
Expected Move4.1%3.5%4.5%4.4%3.6%
HV 20d10.8%7.9%16.6%16.6%9.2%
HV 60d17.2%15.7%19.8%19.8%15.7%
IV Rank19.3%9.5%27.1%24.8%11.4%
IV Percentile33.3%7.9%54.8%48.4%9.5%
Term Structure1.3%0.2%2.5%0.6%2.1%
VWIV15.7%12.9%29.1%18.8%12.9%
Skew 25d4.2%2.9%5.7%5.5%2.9%
Skew 10d10.0%3.8%13.8%13.8%3.8%
Call IV 25d12.8%10.7%14.5%14.2%12.2%
Put IV 25d17.1%15.1%19.7%19.7%15.1%
Bid-Ask Spread %18.228.7472.3543.0727.80
Gamma HHI0.340.280.400.290.32
Net GEX2.9M2.5M3.7M3.5M3.1M
Net DEX-67.9M-79.2M-53.8M-73.6M-72.8M
Net VEX-316.3K-341.0K-304.8K-332.5K-310.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.070.142.270.661.24
Total Volume2,593.0451,3019,4534,2921,301
Total OI32,586.54529,89035,48434,14033,624

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-03-01$56.94$52.5015.4%4.4%16.6%24.8%18.8%5.5%0.6%3.5M-73.6M-332.5K0.6643.07N/AN/A2,5851,70722,40711,733
2016-03-02$57.02$52.5015.4%4.4%13.6%24.7%29.1%5.7%1.4%3.7M-76.4M-341.0K0.1421.01N/AN/A8,2561,19723,25412,230
2016-03-03$57.28$50.0014.9%4.3%12.9%22.9%16.1%4.0%0.8%2.6M-56.5M-325.9K0.4817.19N/AN/A3,5541,71818,23612,479
2016-03-04$57.16$50.0014.7%4.4%13.0%22.2%15.8%3.5%1.3%2.8M-57.1M-321.2K0.3212.66N/AN/A3,7601,20018,39812,539
2016-03-07$56.89$50.0015.3%4.4%12.0%24.5%16.7%4.0%0.8%2.7M-53.8M-327.0K0.8513.99N/AN/A1,3371,13118,52012,738
2016-03-08$57.30$50.0016.0%4.5%12.0%27.1%18.0%4.4%0.4%2.9M-58.2M-318.5K1.1314.71N/AN/A1,4301,61218,57912,791
2016-03-09$57.62$50.0015.8%4.5%11.8%26.6%16.2%4.2%0.3%2.7M-60.5M-310.8K0.7411.35N/AN/A1,34298718,53813,465
2016-03-10$57.61$50.0015.7%4.5%11.9%26.2%17.5%3.9%0.3%2.8M-58.9M-324.8K0.7913.25N/AN/A87068618,91913,784
2016-03-11$58.34$50.0015.6%4.5%11.2%25.8%15.2%4.1%0.5%2.8M-66.4M-316.5K0.8410.33N/AN/A92578018,92213,911
2016-03-14$58.36$50.0015.8%4.5%9.9%25.4%16.4%4.3%0.8%2.9M-67.5M-315.5K1.6510.02N/AN/A56492819,28814,020
2016-03-15$58.70$50.0015.8%4.5%9.6%24.7%14.2%4.3%0.2%2.8M-70.2M-310.7K1.5611.88N/AN/A8091,26519,39613,976
2016-03-16$58.80$50.0013.4%3.8%9.6%14.7%14.9%4.3%1.5%2.8M-71.6M-313.8K1.5824.03N/AN/A58892819,59914,395
2016-03-17$58.81$50.0013.0%3.7%9.5%12.9%13.6%4.7%2.0%2.7M-72.1M-313.2K1.888.74N/AN/A46487019,68414,480
2016-03-18$58.73$50.0014.9%4.3%9.7%21.1%13.4%4.0%1.5%2.5M-73.2M-309.6K0.7113.04N/AN/A96268619,72514,399
2016-03-21$58.83$50.0012.6%3.6%8.8%11.5%13.3%3.8%2.2%2.5M-68.3M-306.3K0.9210.58N/AN/A1,1941,09918,79511,095
2016-03-22$58.36$52.5014.9%4.3%9.5%20.9%14.9%3.0%1.9%2.7M-64.9M-313.7K0.7110.90N/AN/A86561119,28511,604
2016-03-23$58.95$52.5012.4%3.6%9.7%10.6%13.1%4.2%2.2%2.9M-69.0M-316.4K0.9313.08N/AN/A83077119,73611,775
2016-03-24$59.07$52.5012.1%3.5%9.7%9.5%14.9%3.8%2.5%3.2M-70.8M-309.7K1.1212.56N/AN/A65072520,04211,969
2016-03-28$59.35$52.5013.0%3.7%9.5%12.9%13.5%4.3%1.8%3.1M-74.9M-310.3K1.4314.62N/AN/A65293020,19712,118
2016-03-29$59.76$55.0012.9%3.7%9.4%12.8%13.1%5.0%2.2%2.9M-78.0M-306.3K1.5313.62N/AN/A9171,39920,36312,543
2016-03-30$59.64$55.0012.7%3.6%7.9%12.0%13.1%4.5%2.0%3.0M-79.2M-304.8K2.2772.35N/AN/A6001,36220,80612,547
2016-03-31$58.99$55.0012.6%3.6%9.2%11.4%12.9%2.9%2.1%3.1M-72.8M-310.6K1.2427.80N/AN/A58072120,99012,634