WM Options History — April 2016

In April 2016, WM traded between $56.34 and $59.18. ATM implied volatility averaged 15.4%, placing in the 22.0% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 6.0% (HV 20d: 9.4%). Max pain ranged from $55.00 to $60.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.65.

Notable Days

  • 2016-04-27: Highest Volume — 4,074 contracts
  • 2016-04-04: Largest IV spike — 41.4% change
  • 2016-04-27: Highest IV Rank — 29.7%
  • 2016-04-27: Largest Expected Move — 4.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$57.37$56.34$59.18$59.18$58.82
Max Pain$58.33$55.00$60.00$55.00$57.50
ATM IV15.4%12.0%17.3%12.0%13.9%
Expected Move4.5%3.4%4.9%3.4%4.0%
HV 20d9.4%7.0%14.0%9.1%14.0%
HV 60d13.8%11.9%15.7%15.7%12.3%
IV Rank22.0%9.0%29.7%9.0%15.6%
IV Percentile45.0%5.6%70.6%5.6%25.4%
Term Structure-0.8%-2.4%2.6%2.6%-0.2%
VWIV15.9%12.6%17.5%12.6%15.1%
Skew 25d3.2%2.3%4.3%2.8%2.8%
Skew 10d7.4%2.8%12.3%2.8%9.0%
Call IV 25d14.8%11.8%17.2%11.8%12.7%
Put IV 25d18.0%14.6%20.1%14.6%15.5%
Bid-Ask Spread %21.1711.3329.6011.3322.96
Gamma HHI0.310.260.390.340.36
Net GEX2.9M2.0M4.6M3.2M4.6M
Net DEX-50.8M-73.5M-33.6M-73.5M-67.5M
Net VEX-322.0K-335.0K-308.4K-313.4K-335.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.650.181.661.430.80
Total Volume2,350.9521,2854,0741,2851,964
Total OI33,088.47627,59436,47833,65533,830

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-04-01$59.18$55.0012.0%3.4%9.1%9.0%12.6%2.8%2.6%3.2M-73.5M-313.4K1.4311.33N/AN/A52875721,00512,650
2016-04-04$58.65$60.0017.0%4.9%9.8%29.4%16.5%4.2%-1.5%3.2M-67.8M-314.7K1.6625.22N/AN/A7291,21221,20512,654
2016-04-05$58.25$60.0015.7%4.8%10.0%24.3%16.2%4.3%-0.8%2.9M-63.4M-317.6K1.0124.24N/AN/A66567221,36512,903
2016-04-06$57.73$60.0015.7%4.7%10.4%23.1%16.7%3.9%-0.9%2.8M-58.8M-317.1K0.9629.60N/AN/A90987021,38312,907
2016-04-07$57.52$60.0015.1%4.7%10.3%20.6%15.3%3.9%-0.9%2.6M-55.9M-314.9K0.3817.44N/AN/A1,85270121,41113,040
2016-04-08$57.59$60.0013.6%4.6%10.3%14.6%15.1%3.2%-0.6%2.8M-60.7M-314.6K0.4421.75N/AN/A1,56068922,13113,075
2016-04-11$57.33$60.0015.4%4.6%9.2%22.0%15.4%3.9%-0.8%2.6M-55.9M-324.3K0.3919.93N/AN/A1,76869222,14613,124
2016-04-12$57.23$60.0014.0%4.6%9.2%16.4%15.3%3.5%-0.5%2.8M-55.2M-308.4K0.4420.08N/AN/A1,81079822,53713,182
2016-04-13$57.00$60.0016.4%4.7%8.9%26.4%17.1%3.7%-1.0%2.5M-50.7M-320.6K0.5125.44N/AN/A1,51778022,55913,200
2016-04-14$56.94$57.5015.9%4.6%8.9%24.3%17.4%3.4%-0.9%2.6M-50.5M-320.8K0.7418.81N/AN/A1,33798422,91113,490
2016-04-15$56.92$57.5015.6%4.5%8.8%22.7%16.5%3.0%-0.9%2.0M-48.2M-316.8K0.2119.48N/AN/A2,78057822,97913,499
2016-04-18$57.20$57.5014.8%4.3%9.1%19.7%15.0%2.6%-0.1%2.1M-38.4M-317.1K0.1815.61N/AN/A2,96653417,6659,929
2016-04-19$57.15$57.5015.2%4.4%9.1%21.3%14.3%2.8%-0.5%2.8M-42.7M-328.1K0.3820.10N/AN/A1,59560419,63510,070
2016-04-20$56.79$57.5015.2%4.3%8.9%21.1%16.8%3.8%-0.7%2.7M-40.1M-328.9K0.4024.63N/AN/A1,28850919,83010,197
2016-04-21$56.38$57.5015.5%4.4%8.1%22.3%16.2%2.5%-1.1%2.6M-35.6M-327.5K0.5520.70N/AN/A1,22367120,12310,304
2016-04-22$56.40$57.5015.6%4.5%8.0%22.8%15.7%3.0%-1.3%2.6M-34.3M-330.7K0.7118.21N/AN/A98169820,37010,542
2016-04-25$56.34$57.5016.6%4.8%7.5%27.2%16.8%2.7%-1.9%2.5M-33.6M-326.0K0.5714.61N/AN/A1,04359320,37810,649
2016-04-26$56.51$57.5016.6%4.8%7.0%27.1%17.2%2.3%-2.3%2.6M-36.0M-326.7K0.3624.80N/AN/A2,07875220,40710,711
2016-04-27$56.50$57.5017.3%4.9%7.1%29.7%17.5%2.9%-2.4%2.8M-35.7M-330.1K0.3228.88N/AN/A3,09697820,78410,846
2016-04-28$58.33$57.5015.3%4.4%13.7%21.5%15.0%2.7%0.5%4.5M-61.5M-329.5K1.2920.83N/AN/A1,5752,03422,08111,151
2016-04-29$58.82$57.5013.9%4.0%14.0%15.6%15.1%2.8%-0.2%4.6M-67.5M-335.0K0.8022.96N/AN/A1,09287222,49411,336