WM Options History — May 2016

In May 2016, WM traded between $59.82 and $61.76. ATM implied volatility averaged 13.8%, placing in the 15.2% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded below realized volatility by 0.1% (HV 20d: 13.9%). Max pain ranged from $57.50 to $60.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 1.55.

Notable Days

  • 2016-05-03: Highest Volume — 9,332 contracts
  • 2016-05-10: Largest IV drop — 23.4% change
  • 2016-05-09: Highest IV Rank — 21.2%
  • 2016-05-09: Largest Expected Move — 4.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$60.89$59.82$61.76$59.96$60.95
Max Pain$58.21$57.50$60.00$57.50$60.00
ATM IV13.8%11.7%15.2%13.4%11.7%
Expected Move4.0%3.4%4.3%3.8%3.4%
HV 20d13.9%8.8%15.2%15.2%8.8%
HV 60d11.8%11.3%12.8%12.8%11.4%
IV Rank15.2%6.4%21.2%13.6%6.8%
IV Percentile25.2%2.0%45.2%15.9%2.8%
Term Structure0.1%-0.5%1.6%0.2%1.6%
VWIV14.5%12.1%17.1%13.2%12.1%
Skew 25d3.0%-0.7%5.0%2.7%-0.7%
Skew 10d8.0%1.9%12.0%5.7%11.9%
Call IV 25d12.8%10.9%14.2%13.6%12.9%
Put IV 25d15.8%12.3%17.1%16.3%12.3%
Bid-Ask Spread %26.7211.2498.6614.5953.91
Gamma HHI0.460.320.660.370.49
Net GEX7.4M4.5M11.7M5.0M4.9M
Net DEX-101.8M-133.7M-69.1M-82.0M-72.8M
Net VEX-345.3K-375.0K-317.7K-317.7K-371.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.550.147.750.460.47
Total Volume3,089.4761,2029,3323,5775,135
Total OI42,619.61934,24946,90334,24942,339

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-05-02$59.96$57.5013.4%3.8%15.2%13.6%13.2%2.7%0.2%5.0M-82.0M-317.7K0.4614.59N/AN/A2,4541,12322,90411,345
2016-05-03$59.82$57.5013.7%3.9%15.0%15.1%13.9%1.5%0.3%5.2M-81.4M-333.6K0.1415.91N/AN/A8,1671,16524,33611,662
2016-05-04$60.37$57.5014.5%4.2%14.7%18.5%14.0%2.3%-0.2%8.3M-102.5M-344.1K0.5027.68N/AN/A1,52175428,59112,123
2016-05-05$60.31$57.5014.4%4.2%14.6%17.8%14.6%2.7%-0.4%8.6M-102.8M-342.4K0.9216.41N/AN/A1,4101,30429,03912,204
2016-05-06$60.63$57.5013.9%4.1%14.6%15.8%15.5%2.5%-0.1%8.9M-108.3M-349.0K2.2516.25N/AN/A6451,44929,71512,622
2016-05-09$61.13$57.5015.2%4.3%14.5%21.2%15.8%3.6%-0.4%8.4M-118.4M-331.2K1.4621.19N/AN/A1,1941,74929,65212,749
2016-05-10$61.31$57.5011.7%3.8%14.4%6.4%13.0%3.5%-0.5%8.0M-121.6M-327.0K0.2121.54N/AN/A6,1571,30529,62413,156
2016-05-11$61.35$57.5013.3%3.8%14.1%13.1%14.9%4.0%-0.2%9.3M-124.2M-355.8K1.5422.70N/AN/A54884532,36013,535
2016-05-12$61.76$57.5013.1%3.8%14.1%12.4%13.7%4.9%0.2%8.1M-133.7M-344.2K0.4020.73N/AN/A2,14986432,33913,611
2016-05-13$61.43$57.5013.1%3.7%14.4%12.4%13.8%3.4%0.2%8.8M-123.9M-359.1K2.0015.27N/AN/A40080232,93013,659
2016-05-16$61.43$57.5013.1%3.7%14.4%12.2%15.5%5.0%0.0%8.8M-129.2M-344.7K2.4522.88N/AN/A39697232,90813,755
2016-05-17$61.29$57.5013.1%3.7%14.5%12.2%14.9%3.7%0.3%9.1M-125.2M-332.8K3.0721.74N/AN/A3301,01232,90913,849
2016-05-18$60.74$57.5014.6%4.2%14.8%18.9%15.4%3.5%-0.2%11.7M-112.3M-353.3K2.5523.96N/AN/A35289732,81013,876
2016-05-19$60.77$57.5015.1%4.3%14.3%20.8%15.4%3.9%-0.3%10.6M-113.0M-340.7K0.9022.23N/AN/A1,04894432,83613,896
2016-05-20$60.66$57.5014.5%4.2%14.4%18.2%14.1%2.4%0.0%4.5M-118.9M-334.2K0.4011.24N/AN/A2,9301,17532,86114,042
2016-05-23$60.49$60.0014.2%4.1%14.5%17.0%13.8%1.9%0.2%5.0M-71.6M-347.3K1.8222.92N/AN/A6051,10126,01112,415
2016-05-24$61.09$60.0014.3%4.1%14.6%17.4%13.9%3.0%-0.3%5.9M-77.5M-338.2K7.7518.53N/AN/A3082,38626,28012,771
2016-05-25$60.69$60.0013.9%4.0%15.0%15.8%14.5%2.4%0.1%4.6M-69.1M-342.2K0.7221.45N/AN/A1,9341,39326,32014,091
2016-05-26$61.10$60.0013.9%4.0%10.8%15.7%15.1%3.5%-0.4%5.4M-72.9M-366.6K1.3451.23N/AN/A1,2651,69626,72814,408
2016-05-27$61.32$60.0014.5%4.2%10.6%18.3%17.1%3.3%1.3%6.2M-77.2M-375.0K1.1198.66N/AN/A1,4201,57527,24314,508
2016-05-31$60.95$60.0011.7%3.4%8.8%6.8%12.1%-0.7%1.6%4.9M-72.8M-371.4K0.4753.91N/AN/A3,4921,64327,54514,794