WM Options History — August 2016

In August 2016, WM traded between $63.92 and $66.82. ATM implied volatility averaged 12.9%, placing in the 14.0% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded above realized volatility by 2.0% (HV 20d: 10.8%). Max pain ranged from $65.00 to $67.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 1.46.

Notable Days

2016-08-19: Highest Volume — 3,722 contracts
2016-08-16: Largest IV spike — 17.6% change
2016-08-02: Highest IV Rank — 19.6%
2016-08-04: Largest Expected Move — 4.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$65.47	$63.92	$66.82	$66.45	$63.96
Max Pain	$65.43	$65.00	$67.50	$65.00	$65.00
ATM IV	12.9%	11.9%	14.2%	12.1%	12.6%
Expected Move	3.7%	3.4%	4.1%	3.5%	3.6%
HV 20d	10.8%	8.9%	12.7%	9.6%	12.6%
HV 60d	10.5%	9.8%	11.5%	9.8%	11.5%
IV Rank	14.0%	10.0%	19.6%	11.1%	12.9%
IV Percentile	15.2%	4.8%	31.7%	7.5%	11.9%
Term Structure	1.0%	0.0%	2.5%	0.0%	2.0%
VWIV	13.7%	12.4%	15.0%	13.5%	14.9%
Skew 25d	3.1%	-0.1%	5.0%	1.9%	3.2%
Skew 10d	6.0%	-4.9%	13.0%	9.1%	5.6%
Call IV 25d	12.2%	10.0%	13.9%	11.8%	12.5%
Put IV 25d	15.3%	12.4%	16.8%	13.8%	15.7%
Bid-Ask Spread %	34.44	13.17	95.03	17.12	24.27
Gamma HHI	0.29	0.19	0.66	0.25	0.21
Net GEX	2.3M	41.2K	7.9M	2.3M	41.2K
Net DEX	-55.9M	-82.3M	-23.1M	-71.6M	-23.1M
Net VEX	-414.9K	-459.8K	-372.7K	-395.9K	-436.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.46	0.27	3.39	0.96	0.73
Total Volume	2,006.783	580	3,722	1,563	2,546
Total OI	44,627.13	40,676	47,321	40,676	46,523

Daily Data (23 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
2016-08-01	$66.45	$65.00	12.1%	3.5%	9.6%	11.1%	13.5%	1.9%	0.0%	2.3M	-71.6M	-395.9K	0.96	17.12	N/A	N/A	799	764	22,734	17,942
2016-08-02	$66.14	$65.00	14.2%	4.1%	9.1%	19.6%	14.8%	1.0%	0.4%	2.5M	-70.4M	-395.4K	0.98	13.17	N/A	N/A	1,076	1,054	23,023	18,044
2016-08-03	$65.83	$65.00	13.3%	3.8%	9.2%	16.0%	12.9%	-0.1%	1.1%	2.2M	-63.6M	-406.3K	1.01	20.60	N/A	N/A	712	716	23,415	18,648
2016-08-04	$65.82	$67.50	13.4%	4.1%	9.1%	16.0%	14.4%	3.5%	0.1%	2.2M	-62.7M	-409.0K	1.23	33.50	N/A	N/A	620	764	23,581	18,840
2016-08-05	$65.98	$67.50	12.3%	3.9%	8.9%	11.7%	13.7%	4.3%	0.4%	2.3M	-65.0M	-400.6K	0.77	35.71	N/A	N/A	1,050	811	23,660	18,930
2016-08-08	$65.57	$67.50	12.3%	3.8%	9.0%	11.7%	12.7%	3.3%	0.8%	2.7M	-63.5M	-395.2K	0.52	31.73	N/A	N/A	1,437	752	24,208	19,039
2016-08-09	$65.80	$67.50	11.9%	3.7%	9.1%	10.0%	13.8%	3.3%	0.9%	2.9M	-67.3M	-372.7K	0.27	59.87	N/A	N/A	2,215	593	24,420	19,028
2016-08-10	$66.57	$65.00	12.2%	3.5%	9.9%	11.3%	14.2%	4.5%	0.9%	3.1M	-77.5M	-402.4K	0.60	41.75	N/A	N/A	1,437	856	25,367	19,087
2016-08-11	$66.82	$65.00	12.4%	3.6%	10.1%	12.2%	13.0%	5.0%	0.7%	2.6M	-82.3M	-398.7K	1.15	40.24	N/A	N/A	1,133	1,298	25,473	19,415
2016-08-12	$66.69	$65.00	12.3%	3.5%	9.9%	11.7%	12.4%	3.4%	1.3%	2.9M	-81.4M	-409.0K	0.70	42.58	N/A	N/A	871	610	25,926	19,588
2016-08-15	$66.27	$65.00	12.0%	3.4%	10.0%	10.4%	12.4%	2.1%	1.0%	2.9M	-76.8M	-406.7K	0.71	46.18	N/A	N/A	951	673	25,947	19,582
2016-08-16	$65.02	$65.00	14.1%	4.0%	11.7%	18.9%	14.5%	2.3%	0.3%	3.7M	-57.0M	-394.6K	1.03	19.08	N/A	N/A	1,262	1,295	26,023	19,659
2016-08-17	$65.41	$65.00	13.4%	3.8%	11.9%	16.2%	14.1%	4.2%	0.8%	3.5M	-59.5M	-412.6K	3.39	24.39	N/A	N/A	164	556	26,008	20,339
2016-08-18	$64.92	$65.00	13.4%	3.9%	11.9%	16.4%	13.8%	2.8%	1.2%	4.7M	-49.1M	-409.8K	3.38	35.55	N/A	N/A	251	849	25,999	20,683
2016-08-19	$65.00	$65.00	12.5%	3.6%	11.9%	12.6%	13.8%	3.1%	1.9%	7.9M	-52.2M	-383.7K	2.54	35.36	N/A	N/A	1,052	2,670	26,186	21,135
2016-08-22	$65.59	$65.00	13.6%	3.9%	12.5%	17.0%	13.6%	4.9%	0.8%	1.1M	-49.0M	-427.4K	1.09	27.13	N/A	N/A	1,576	1,725	22,251	20,400
2016-08-23	$65.28	$65.00	13.4%	3.8%	12.5%	16.3%	13.6%	2.5%	0.6%	1.1M	-44.7M	-446.6K	3.19	26.29	N/A	N/A	690	2,204	22,903	21,398
2016-08-24	$65.29	$65.00	13.1%	3.8%	10.9%	15.2%	13.2%	2.1%	0.9%	952.6K	-43.4M	-459.2K	0.43	25.23	N/A	N/A	405	175	23,048	22,625
2016-08-25	$65.20	$65.00	13.4%	3.9%	10.8%	16.4%	14.0%	2.2%	1.3%	1.1M	-43.3M	-459.8K	2.12	25.10	N/A	N/A	623	1,321	23,435	22,692
2016-08-26	$63.92	$65.00	12.7%	3.6%	12.7%	13.2%	13.8%	4.2%	2.2%	249.7K	-28.7M	-437.9K	2.42	53.25	N/A	N/A	520	1,260	23,504	22,750
2016-08-29	$64.25	$65.00	12.5%	3.6%	12.7%	12.8%	13.7%	3.0%	1.5%	283.7K	-28.9M	-442.1K	1.53	95.03	N/A	N/A	984	1,503	23,491	23,004
2016-08-30	$64.10	$65.00	12.6%	3.6%	12.7%	13.2%	15.0%	4.2%	2.5%	170.6K	-25.3M	-439.3K	2.80	19.06	N/A	N/A	351	982	23,481	22,990
2016-08-31	$63.96	$65.00	12.6%	3.6%	12.6%	12.9%	14.9%	3.2%	2.0%	41.2K	-23.1M	-436.9K	0.73	24.27	N/A	N/A	1,468	1,078	23,496	23,027