WM Options History — October 2016

In October 2016, WM traded between $61.74 and $65.68. ATM implied volatility averaged 16.5%, placing in the 28.8% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 3.7% (HV 20d: 12.8%). Max pain ranged from $60.00 to $62.50. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.66.

Notable Days

  • 2016-10-24: Highest Volume — 4,670 contracts
  • 2016-10-26: Largest IV drop — 28.5% change
  • 2016-10-20: Highest IV Rank — 38.2%
  • 2016-10-20: Largest Expected Move — 5.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$62.87$61.74$65.68$63.55$65.68
Max Pain$61.07$60.00$62.50$62.50$62.50
ATM IV16.5%13.4%18.8%15.0%17.2%
Expected Move4.9%3.8%5.4%4.3%4.9%
HV 20d12.8%10.1%16.8%13.1%16.8%
HV 60d12.4%11.5%14.2%11.5%14.2%
IV Rank28.8%16.3%38.2%22.6%31.6%
IV Percentile63.9%26.2%85.7%48.8%77.8%
Term Structure-0.7%-2.5%4.2%3.3%-1.1%
VWIV17.3%12.8%20.0%13.4%16.9%
Skew 25d4.5%2.7%5.8%3.9%3.8%
Skew 10d10.9%4.1%16.1%10.2%8.5%
Call IV 25d15.8%12.4%17.7%13.0%15.5%
Put IV 25d20.3%16.7%22.7%16.9%19.3%
Bid-Ask Spread %46.7511.4993.9658.1290.47
Gamma HHI0.340.240.480.300.39
Net GEX479.2K-2.4M3.4M1.1M3.4M
Net DEX-25.7M-68.6M-6.4M-32.5M-68.6M
Net VEX-375.5K-402.3K-354.0K-375.8K-395.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.271.600.450.56
Total Volume2,440.7621,5304,6702,0333,196
Total OI47,328.8136,74951,80348,27743,234

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-10-03$63.55$62.5015.0%4.3%13.1%22.6%13.4%3.9%3.3%1.1M-32.5M-375.8K0.4558.12N/AN/A1,40063323,29524,982
2016-10-04$62.66$62.5014.3%4.1%13.7%20.0%14.7%3.8%4.0%-1.2M-13.4M-386.4K0.9367.10N/AN/A83077423,41325,010
2016-10-05$62.38$62.5013.9%4.0%13.5%18.1%14.2%2.7%4.2%-905.9K-15.9M-370.1K0.6582.23N/AN/A92660423,29025,066
2016-10-06$62.67$62.5014.2%5.2%13.5%19.5%17.8%4.4%-1.6%-302.0K-18.8M-378.2K0.4821.03N/AN/A1,18256523,37325,075
2016-10-07$62.38$62.5014.3%5.1%11.1%19.9%17.7%4.9%-1.1%-810.6K-17.6M-370.7K0.7020.33N/AN/A1,18683423,35925,085
2016-10-10$62.83$62.5014.4%5.2%11.0%20.3%19.5%4.1%-1.4%-141.9K-20.7M-369.7K0.8516.58N/AN/A1,04688923,72025,259
2016-10-11$62.48$60.0016.0%5.3%10.1%26.7%20.0%4.6%-1.6%-719.0K-20.6M-369.2K0.4017.60N/AN/A1,54561324,37025,383
2016-10-12$62.93$60.0018.0%5.2%10.5%35.0%20.0%4.1%-2.1%583.6K-26.4M-374.7K0.6725.37N/AN/A1,22081424,35325,456
2016-10-13$61.74$60.0018.6%5.3%12.4%37.0%18.8%5.0%-1.5%-2.4M-6.4M-374.9K0.2917.88N/AN/A2,76481524,37925,499
2016-10-14$61.94$60.0018.5%5.3%12.4%36.7%19.0%4.3%-1.9%-1.9M-11.1M-377.0K0.7711.49N/AN/A97175224,31825,586
2016-10-17$62.69$60.0018.7%5.4%13.2%37.7%17.3%5.3%-2.0%541.8K-25.5M-354.0K0.2717.21N/AN/A2,73274124,42525,660
2016-10-18$62.55$60.0018.0%5.2%13.1%35.0%18.5%5.3%-1.8%926.6K-25.2M-367.8K0.8125.15N/AN/A1,17095125,49825,764
2016-10-19$62.50$60.0018.4%5.3%12.4%36.3%19.6%5.1%-1.7%787.4K-22.7M-365.9K1.6015.78N/AN/A7001,11825,52625,935
2016-10-20$62.42$60.0018.8%5.4%12.4%38.2%18.5%5.0%-2.4%633.2K-21.8M-360.2K1.0019.38N/AN/A1,1841,18425,53426,211
2016-10-21$62.19$60.0018.5%5.3%12.1%37.0%19.7%5.8%-1.9%-667.8K-15.2M-370.4K0.7657.91N/AN/A1,5831,19825,44126,362
2016-10-24$62.62$60.0018.5%5.3%12.4%36.9%17.4%4.6%-1.4%1.1M-27.6M-360.0K0.4668.77N/AN/A3,1891,48118,70518,044
2016-10-25$62.75$60.0018.8%5.4%12.2%37.9%18.2%3.4%-2.5%1.7M-27.7M-382.8K0.5775.11N/AN/A2,1951,25321,13518,986
2016-10-26$63.98$60.0013.4%3.8%14.2%16.3%15.1%4.3%-0.1%2.9M-42.5M-392.1K0.6387.82N/AN/A1,47793422,06319,773
2016-10-27$63.48$62.5015.1%4.3%14.3%23.3%12.8%5.0%-0.3%2.5M-34.4M-387.6K0.2792.36N/AN/A2,11157822,37819,967
2016-10-28$63.95$62.5014.3%4.1%14.2%20.0%15.2%4.8%0.2%2.9M-44.1M-402.3K0.7493.96N/AN/A1,10381522,75020,243
2016-10-31$65.68$62.5017.2%4.9%16.8%31.6%16.9%3.8%-1.1%3.4M-68.6M-395.1K0.5690.47N/AN/A2,0521,14422,88620,348