WM Options History — July 2016

In July 2016, WM traded between $66.09 and $67.88. ATM implied volatility averaged 15.0%, placing in the 22.6% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 4.2% (HV 20d: 10.8%). Max pain ranged from $60.00 to $65.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 0.89.

Notable Days

2016-07-05: Highest Volume — 5,160 contracts
2016-07-05: Largest IV spike — 35.4% change
2016-07-26: Highest IV Rank — 35.7%
2016-07-26: Largest Expected Move — 5.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$67.20	$66.09	$67.88	$66.48	$66.09
Max Pain	$64.25	$60.00	$65.00	$60.00	$65.00
ATM IV	15.0%	9.4%	18.2%	9.4%	13.6%
Expected Move	4.5%	2.7%	5.2%	2.7%	3.9%
HV 20d	10.8%	9.6%	12.4%	10.7%	9.6%
HV 60d	11.0%	9.7%	11.6%	11.5%	9.8%
IV Rank	22.6%	0.0%	35.7%	0.0%	17.1%
IV Percentile	43.7%	0.0%	75.4%	0.0%	22.6%
Term Structure	-0.9%	-2.9%	3.3%	3.3%	0.7%
VWIV	16.7%	13.3%	19.8%	13.3%	13.3%
Skew 25d	3.4%	1.8%	4.7%	2.1%	2.6%
Skew 10d	7.8%	1.8%	15.5%	7.0%	1.8%
Call IV 25d	14.8%	11.5%	17.5%	11.5%	11.5%
Put IV 25d	18.2%	13.5%	21.0%	13.5%	14.1%
Bid-Ask Spread %	81.78	32.49	95.73	90.64	32.49
Gamma HHI	0.28	0.24	0.37	0.37	0.27
Net GEX	2.5M	2.0M	3.0M	2.6M	2.3M
Net DEX	-93.6M	-111.5M	-68.6M	-98.5M	-68.6M
Net VEX	-331.3K	-403.8K	-291.2K	-310.1K	-403.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.89	0.29	2.36	0.99	1.12
Total Volume	2,727.55	1,280	5,160	4,032	1,280
Total OI	38,432.6	32,828	42,795	37,887	40,426

Daily Data (20 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2016-07-01	$66.48	$60.00	9.4%	2.7%	10.7%	0.0%	13.3%	2.1%	3.3%	2.6M	-98.5M	-310.1K	0.99	90.64	N/A	N/A	2,023	2,009	20,745	17,142
2016-07-05	$67.11	$62.50	12.7%	4.8%	10.9%	13.4%	19.0%	2.8%	-1.3%	2.2M	-102.9M	-302.5K	0.39	95.73	N/A	N/A	3,718	1,442	20,873	17,288
2016-07-06	$67.18	$62.50	14.8%	4.9%	11.0%	21.8%	17.8%	4.6%	-1.7%	2.6M	-106.4M	-313.0K	0.70	77.61	N/A	N/A	2,015	1,416	22,652	17,278
2016-07-07	$67.26	$62.50	13.6%	4.8%	11.0%	16.9%	17.6%	4.7%	-1.3%	2.5M	-107.1M	-309.0K	0.69	81.67	N/A	N/A	2,016	1,392	22,672	17,501
2016-07-08	$67.64	$62.50	12.6%	4.7%	11.0%	13.1%	15.9%	4.7%	-1.1%	2.3M	-109.4M	-313.4K	0.86	76.89	N/A	N/A	1,571	1,358	22,776	18,070
2016-07-11	$67.73	$65.00	13.8%	4.7%	10.9%	17.9%	16.5%	3.5%	-2.0%	2.3M	-110.5M	-291.2K	1.90	80.60	N/A	N/A	633	1,204	22,916	18,275
2016-07-12	$67.44	$65.00	15.3%	4.5%	11.2%	23.9%	19.8%	4.0%	-0.8%	2.4M	-108.7M	-307.4K	2.07	83.34	N/A	N/A	637	1,318	23,032	18,521
2016-07-13	$67.81	$65.00	16.2%	4.7%	11.1%	27.7%	17.4%	4.1%	-1.8%	2.4M	-110.0M	-309.9K	1.25	85.69	N/A	N/A	822	1,030	23,085	18,740
2016-07-14	$67.88	$65.00	16.9%	4.8%	10.9%	30.4%	17.3%	4.3%	-2.6%	2.5M	-111.5M	-299.2K	0.29	83.70	N/A	N/A	3,378	963	23,182	18,836
2016-07-15	$67.45	$65.00	16.0%	4.6%	11.2%	26.9%	17.7%	2.9%	-1.3%	3.0M	-108.1M	-322.2K	0.54	88.65	N/A	N/A	1,449	781	23,839	18,956
2016-07-18	$67.23	$65.00	16.3%	4.7%	9.9%	27.8%	17.1%	3.5%	-0.5%	2.6M	-82.3M	-321.6K	0.42	87.55	N/A	N/A	985	414	19,726	13,102
2016-07-19	$67.57	$65.00	16.4%	4.7%	9.8%	28.3%	17.8%	3.5%	-0.9%	2.8M	-86.5M	-308.0K	0.60	87.29	N/A	N/A	1,375	825	20,210	13,167
2016-07-20	$67.78	$65.00	16.3%	4.7%	9.8%	27.8%	16.2%	2.7%	-0.6%	2.7M	-87.0M	-336.3K	0.29	51.35	N/A	N/A	1,517	433	20,652	13,615
2016-07-21	$67.22	$65.00	16.3%	4.7%	10.7%	27.8%	16.9%	2.2%	-0.4%	2.6M	-83.5M	-329.9K	0.57	90.23	N/A	N/A	1,405	795	20,730	13,864
2016-07-22	$67.20	$65.00	16.6%	4.7%	10.7%	29.0%	16.7%	2.6%	-1.4%	2.6M	-82.7M	-363.7K	0.54	89.11	N/A	N/A	1,519	815	21,335	14,148
2016-07-25	$67.23	$65.00	17.5%	5.0%	10.6%	32.8%	17.8%	3.6%	-2.1%	2.6M	-83.1M	-350.0K	0.79	84.55	N/A	N/A	1,602	1,264	21,524	14,211
2016-07-26	$67.31	$65.00	18.2%	5.2%	10.3%	35.7%	18.4%	3.9%	-2.9%	2.6M	-82.6M	-367.3K	2.36	87.01	N/A	N/A	1,237	2,918	21,742	14,692
2016-07-27	$66.13	$65.00	14.9%	4.3%	12.4%	22.4%	13.3%	3.7%	-0.1%	2.0M	-69.5M	-373.0K	0.83	90.46	N/A	N/A	1,707	1,424	22,023	17,007
2016-07-28	$66.35	$65.00	12.0%	3.4%	12.2%	10.6%	13.5%	1.8%	0.4%	2.4M	-72.4M	-393.8K	0.56	90.99	N/A	N/A	1,196	665	22,507	17,592
2016-07-29	$66.09	$65.00	13.6%	3.9%	9.6%	17.1%	13.3%	2.6%	0.7%	2.3M	-68.6M	-403.8K	1.12	32.49	N/A	N/A	604	676	22,651	17,775