WM Options History — June 2016

In June 2016, WM traded between $61.03 and $66.17. ATM implied volatility averaged 13.5%, placing in the 14.3% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded above realized volatility by 5.0% (HV 20d: 8.5%). Max pain ranged from $60.00 to $60.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.79.

Notable Days

  • 2016-06-13: Highest Volume — 4,711 contracts
  • 2016-06-02: Largest IV drop — 25.2% change
  • 2016-06-27: Highest IV Rank — 30.2%
  • 2016-06-27: Largest Expected Move — 5.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$62.92$61.03$66.17$61.03$66.17
Max Pain$60.00$60.00$60.00$60.00$60.00
ATM IV13.5%10.5%17.4%14.1%14.0%
Expected Move3.9%3.2%5.0%4.0%4.0%
HV 20d8.5%7.7%10.8%8.8%10.8%
HV 60d11.2%11.0%11.6%11.4%11.6%
IV Rank14.3%1.7%30.2%16.4%16.1%
IV Percentile24.9%0.4%73.0%29.0%27.0%
Term Structure1.3%-0.7%2.5%-0.7%1.4%
VWIV14.5%12.6%16.9%13.5%14.2%
Skew 25d4.1%2.1%5.9%2.7%2.1%
Skew 10d9.7%6.4%13.9%9.0%6.4%
Call IV 25d12.1%9.5%14.5%12.6%11.8%
Put IV 25d16.2%14.0%19.2%15.3%14.0%
Bid-Ask Spread %56.6117.6496.7677.8896.76
Gamma HHI0.620.350.900.730.38
Net GEX7.0M2.7M23.4M5.2M3.0M
Net DEX-72.7M-96.5M-49.1M-49.1M-96.5M
Net VEX-360.1K-386.4K-307.5K-365.0K-307.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.790.331.770.650.85
Total Volume3,2632,0084,7113,4434,390
Total OI37,919.27333,44440,59137,79536,657

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-06-01$61.03$60.0014.1%4.0%8.8%16.4%13.5%2.7%-0.7%5.2M-49.1M-365.0K0.6577.88N/AN/A2,0931,35022,62515,170
2016-06-02$61.41$60.0010.5%3.2%8.4%1.7%14.3%5.0%2.1%6.3M-56.8M-370.3K0.9220.35N/AN/A1,6061,47123,67315,257
2016-06-03$61.50$60.0011.4%3.2%8.4%5.4%12.8%4.7%2.0%7.4M-61.9M-386.4K1.6720.27N/AN/A8071,34724,45415,492
2016-06-06$61.83$60.0011.9%3.3%8.4%7.6%13.2%4.7%1.8%8.7M-67.4M-376.6K0.5618.86N/AN/A2,0431,14524,51715,619
2016-06-07$62.01$60.0012.0%3.4%8.0%7.7%13.6%3.5%1.5%9.4M-72.0M-385.5K0.8817.64N/AN/A1,6651,47224,73115,860
2016-06-08$62.20$60.0011.6%3.3%8.0%6.1%12.7%3.3%1.9%10.7M-76.5M-374.9K1.7722.28N/AN/A7921,39924,64115,641
2016-06-09$62.64$60.0011.8%3.4%8.3%6.9%12.6%3.4%2.1%11.7M-84.6M-376.1K0.9322.30N/AN/A1,2101,13124,49015,685
2016-06-10$62.63$60.0012.4%3.6%8.1%9.5%12.7%3.9%2.0%10.9M-86.8M-362.3K1.4073.07N/AN/A8381,17024,36415,765
2016-06-13$62.57$60.0013.8%4.0%7.8%15.5%16.9%4.1%1.1%10.3M-83.2M-369.2K0.7535.98N/AN/A2,6982,01324,42415,856
2016-06-14$62.97$60.0014.3%4.1%8.0%17.6%15.0%5.5%0.8%7.8M-79.7M-368.0K0.5463.42N/AN/A2,1631,16922,44616,366
2016-06-15$62.78$60.0014.0%4.0%8.0%16.1%15.5%3.9%1.1%9.0M-76.9M-357.2K0.5574.08N/AN/A2,0061,10521,85716,802
2016-06-16$63.43$60.0014.8%4.2%7.7%19.6%14.2%4.7%0.3%5.8M-84.6M-348.6K0.3361.66N/AN/A2,66189021,89916,559
2016-06-17$62.65$60.0014.2%4.1%9.3%17.0%14.1%3.3%1.3%23.4M-78.7M-358.3K0.3637.48N/AN/A3,1691,14522,49716,726
2016-06-20$62.57$60.0013.6%3.9%9.3%14.4%14.3%4.4%1.6%2.7M-56.8M-358.4K0.4741.79N/AN/A2,09098818,79914,645
2016-06-21$62.76$60.0013.7%3.9%9.1%14.9%14.0%4.2%1.1%3.0M-59.8M-357.0K0.4758.84N/AN/A2,3501,11219,27314,900
2016-06-22$63.07$60.0014.8%4.3%8.7%19.7%16.0%5.0%0.6%3.1M-63.2M-358.5K0.4360.85N/AN/A1,75074419,99715,365
2016-06-23$63.39$60.0014.3%4.1%8.2%17.5%14.6%3.8%1.6%3.3M-68.4M-341.6K0.6980.55N/AN/A1,7641,21720,08415,445
2016-06-24$63.91$60.0014.5%4.2%8.3%18.3%16.4%4.1%0.8%3.0M-71.5M-359.3K1.0187.15N/AN/A1,9041,92120,16315,436
2016-06-27$63.69$60.0017.4%5.0%8.6%30.2%16.0%5.9%-0.4%2.9M-67.8M-353.9K0.8995.47N/AN/A1,7771,57920,19916,134
2016-06-28$64.20$60.0015.6%4.5%8.3%22.9%16.2%3.7%1.7%2.9M-73.2M-347.6K0.4792.80N/AN/A2,4371,15720,22816,396
2016-06-29$64.75$60.0013.2%3.8%8.5%13.0%15.3%4.1%2.5%3.3M-84.8M-339.8K0.9085.85N/AN/A2,1321,91620,74916,338
2016-06-30$66.17$60.0014.0%4.0%10.8%16.1%14.2%2.1%1.4%3.0M-96.5M-307.5K0.8596.76N/AN/A2,3772,01320,49716,160