WM Options History — September 2016

In September 2016, WM traded between $62.63 and $64.67. ATM implied volatility averaged 14.4%, placing in the 20.3% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 1.0% (HV 20d: 13.4%). Max pain ranged from $62.50 to $65.00. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.03.

Notable Days

  • 2016-09-14: Highest Volume — 5,162 contracts
  • 2016-09-09: Largest IV spike — 36.0% change
  • 2016-09-13: Highest IV Rank — 38.8%
  • 2016-09-14: Largest Expected Move — 4.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$63.58$62.63$64.67$64.05$63.96
Max Pain$62.74$62.50$65.00$65.00$62.50
ATM IV14.4%11.3%19.0%12.9%12.2%
Expected Move4.1%3.5%4.8%3.7%3.5%
HV 20d13.4%12.3%15.1%12.7%13.0%
HV 60d12.0%11.4%12.5%11.5%11.6%
IV Rank20.3%7.9%38.8%14.3%11.2%
IV Percentile38.0%1.6%84.1%15.5%8.3%
Term Structure2.3%0.6%4.0%2.6%4.0%
VWIV16.0%12.5%20.5%13.7%14.9%
Skew 25d4.4%3.0%5.9%3.0%3.6%
Skew 10d9.3%3.4%14.0%3.4%10.1%
Call IV 25d13.2%11.5%15.3%12.0%11.5%
Put IV 25d17.6%15.0%20.0%15.0%15.1%
Bid-Ask Spread %56.9721.6489.7226.3389.22
Gamma HHI0.250.190.330.190.29
Net GEX96.7K-2.7M1.5M118.8K1.5M
Net DEX-21.5M-34.5M2.1M-24.4M-34.5M
Net VEX-411.0K-445.6K-394.0K-445.6K-394.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.030.315.910.800.31
Total Volume2,530.4291,3895,1622,3352,702
Total OI47,065.04844,96750,62246,87447,881

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-09-01$64.05$65.0012.9%3.7%12.7%14.3%13.7%3.0%2.6%118.8K-24.4M-445.6K0.8026.33N/AN/A1,2961,03923,73323,141
2016-09-02$64.32$65.0012.2%3.5%12.7%11.5%14.9%3.7%2.4%393.2K-31.1M-438.8K1.1321.64N/AN/A85296123,69423,135
2016-09-06$64.67$62.5012.7%3.8%12.8%13.2%20.5%4.4%2.4%433.1K-33.9M-410.9K0.7833.06N/AN/A1,2871,00723,83523,194
2016-09-07$64.06$62.5012.8%3.9%13.1%14.0%14.4%4.4%2.1%115.9K-21.3M-403.5K1.1528.26N/AN/A85298021,90923,235
2016-09-08$64.30$62.5011.3%3.8%12.3%7.9%12.5%4.3%2.1%423.0K-24.7M-402.8K0.5126.30N/AN/A1,87395021,74023,227
2016-09-09$62.89$62.5015.4%4.5%14.1%24.4%16.0%5.1%1.4%-459.6K-5.9M-420.7K0.3430.25N/AN/A2,02468922,77323,292
2016-09-12$63.45$62.5017.0%4.5%14.7%30.8%16.3%4.9%1.2%-21.9K-13.1M-421.1K0.8433.75N/AN/A75663323,17623,488
2016-09-13$62.64$62.5019.0%4.6%15.1%38.8%16.6%3.8%1.3%-564.9K-5.0M-408.1K0.7228.28N/AN/A87362623,19723,481
2016-09-14$62.63$62.5016.8%4.8%13.9%30.0%19.5%4.2%0.6%-1.1M-2.8M-409.9K5.9134.31N/AN/A7474,41523,22523,495
2016-09-15$62.94$62.5016.1%4.6%13.8%27.2%18.5%5.7%1.5%-1.5M-3.0M-419.5K1.5831.88N/AN/A8421,33023,29926,132
2016-09-16$62.86$62.5015.9%4.6%13.6%26.3%16.1%4.4%1.4%-2.7M2.1M-417.8K0.6357.25N/AN/A88656023,37027,252
2016-09-19$63.04$62.5015.2%4.4%13.7%23.5%15.0%4.2%2.3%-292.7K-18.1M-414.6K0.3679.19N/AN/A1,93369321,09924,526
2016-09-20$63.31$62.5015.3%4.4%13.3%23.9%16.6%4.7%2.8%-106.3K-19.3M-405.6K0.7276.69N/AN/A1,33195321,73924,693
2016-09-21$64.00$62.5012.6%3.6%14.0%13.1%13.9%4.4%3.4%925.6K-32.9M-405.2K0.4389.40N/AN/A1,31456822,27125,070
2016-09-22$63.94$62.5013.1%3.7%14.0%14.8%18.6%3.2%2.6%1.0M-33.4M-405.5K2.0682.38N/AN/A1,5823,25822,34425,085
2016-09-23$63.38$62.5015.4%4.4%14.2%24.2%16.9%4.0%2.6%436.0K-27.3M-401.8K0.4480.69N/AN/A1,70975522,35724,615
2016-09-26$63.55$62.5015.9%4.5%12.5%26.2%16.2%4.6%2.6%712.7K-29.1M-398.2K1.6487.02N/AN/A1,6672,72622,45824,690
2016-09-27$63.87$62.5012.6%3.6%12.5%13.1%15.3%5.0%3.5%916.7K-31.1M-407.4K0.3385.80N/AN/A1,76058722,53124,736
2016-09-28$63.86$62.5012.2%3.5%12.5%11.5%13.5%4.2%3.2%1.1M-32.6M-397.1K0.4784.99N/AN/A1,39465622,70624,799
2016-09-29$63.44$62.5015.7%4.5%12.7%25.3%15.4%5.9%2.3%761.4K-29.0M-403.5K0.5489.72N/AN/A1,34972422,87524,868
2016-09-30$63.96$62.5012.2%3.5%13.0%11.2%14.9%3.6%4.0%1.5M-34.5M-394.0K0.3189.22N/AN/A2,06963322,91024,971