WM Options History — November 2016

In November 2016, WM traded between $63.35 and $70.36. ATM implied volatility averaged 16.0%, placing in the 26.7% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded below realized volatility by 2.3% (HV 20d: 18.3%). Max pain ranged from $62.50 to $70.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 1.42.

Notable Days

  • 2016-11-29: Highest Volume — 12,433 contracts
  • 2016-11-09: Largest IV drop — 17.6% change
  • 2016-11-02: Highest IV Rank — 45.2%
  • 2016-11-02: Largest Expected Move — 5.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$67.44$63.35$70.36$63.97$69.70
Max Pain$65.00$62.50$70.00$62.50$70.00
ATM IV16.0%12.9%20.6%18.8%15.1%
Expected Move4.4%3.7%5.9%5.4%4.3%
HV 20d18.3%11.7%20.0%18.8%11.7%
HV 60d15.4%15.0%15.7%15.2%15.3%
IV Rank26.7%14.0%45.2%37.8%23.0%
IV Percentile54.7%17.9%88.9%84.9%47.6%
Term Structure-0.1%-2.0%1.4%-2.0%-0.2%
VWIV16.9%13.7%33.1%18.8%17.0%
Skew 25d4.2%0.9%5.3%3.5%3.6%
Skew 10d9.1%0.7%13.3%7.6%8.2%
Call IV 25d14.2%12.1%18.9%18.4%13.9%
Put IV 25d18.4%16.0%21.9%21.9%17.5%
Bid-Ask Spread %63.0618.3598.2689.5594.52
Gamma HHI0.280.160.400.360.18
Net GEX2.7M754.3K4.1M2.5M754.3K
Net DEX-81.5M-115.7M-28.8M-43.2M-50.4M
Net VEX-387.1K-424.6K-331.3K-416.7K-402.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.420.153.250.230.46
Total Volume3,356.9521,20112,4333,7264,819
Total OI47,956.09544,45851,16244,45845,081

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-11-01$63.97$62.5018.8%5.4%18.8%37.8%18.8%3.5%-2.0%2.5M-43.2M-416.7K0.2389.55N/AN/A3,03968723,40721,051
2016-11-02$63.75$62.5020.6%5.9%18.8%45.2%20.6%2.9%-1.7%2.5M-41.2M-405.9K2.1296.71N/AN/A7361,55723,84421,198
2016-11-03$63.35$65.0019.9%5.2%18.9%42.6%15.3%4.6%-0.2%2.1M-28.8M-424.6K0.7022.29N/AN/A70849324,60922,178
2016-11-04$63.38$65.0019.8%5.1%18.8%42.1%14.9%5.2%-0.3%2.2M-31.9M-422.5K1.2318.35N/AN/A8761,07424,77322,166
2016-11-07$64.60$65.0019.3%4.6%19.8%39.9%14.4%4.6%-0.4%3.2M-49.3M-417.4K1.2023.59N/AN/A75390524,88622,612
2016-11-08$65.38$65.0019.5%4.6%20.0%40.7%16.7%5.0%-0.3%3.7M-66.1M-402.6K1.2622.82N/AN/A76496024,79622,716
2016-11-09$65.93$65.0016.0%4.6%20.0%26.9%15.3%5.2%-0.5%4.0M-74.8M-393.1K0.9931.73N/AN/A94093024,96422,767
2016-11-10$66.49$65.0014.5%4.2%18.4%20.7%15.5%5.3%-0.1%4.1M-84.9M-383.1K3.0525.87N/AN/A6972,12824,99222,872
2016-11-11$67.64$65.0015.5%4.4%19.0%24.7%14.9%4.1%-0.7%3.2M-101.2M-379.6K0.4925.05N/AN/A1,54476124,94923,775
2016-11-14$67.68$65.0015.9%4.6%18.8%26.3%17.7%5.0%-0.6%3.0M-103.1M-374.1K1.2626.22N/AN/A76896525,46324,081
2016-11-15$68.58$65.0015.8%4.5%19.0%25.7%16.3%4.6%-0.8%2.9M-113.3M-361.2K1.2027.58N/AN/A83399925,58524,344
2016-11-16$68.68$65.0015.8%4.5%18.9%25.8%16.4%4.8%-0.5%2.8M-112.6M-365.6K1.1989.21N/AN/A74689125,60224,502
2016-11-17$68.82$65.0013.4%3.8%18.8%16.2%15.8%4.1%0.3%2.7M-115.4M-358.0K2.1088.11N/AN/A1,1912,49925,61524,638
2016-11-18$68.93$65.0014.5%4.2%18.6%20.6%13.7%3.5%0.5%2.2M-115.7M-358.7K1.0989.81N/AN/A2,5582,78325,71025,256
2016-11-21$69.53$65.0013.0%3.7%18.6%14.4%13.8%0.9%1.4%2.6M-95.2M-331.3K2.5287.56N/AN/A9452,38022,00423,552
2016-11-22$69.64$65.0012.9%3.7%18.6%14.0%15.4%4.8%1.1%2.8M-90.6M-366.8K0.6190.86N/AN/A3,8902,36722,04023,690
2016-11-23$69.61$65.0013.7%3.9%17.9%17.5%19.1%4.3%1.1%2.9M-94.0M-388.6K2.0895.12N/AN/A1,0492,17723,50123,962
2016-11-25$70.03$65.0013.9%4.0%17.4%18.2%13.9%2.4%0.3%2.9M-100.5M-387.7K3.2598.26N/AN/A8182,65623,93624,546
2016-11-28$70.17$65.0014.0%4.0%17.4%18.8%15.4%4.4%0.5%1.6M-99.6M-384.1K2.6389.88N/AN/A8762,30124,01426,239
2016-11-29$70.36$65.0014.2%4.1%15.3%19.6%33.1%4.5%0.6%1.5M-100.2M-404.7K0.1591.24N/AN/A10,8031,63024,20226,960
2016-11-30$69.70$70.0015.1%4.3%11.7%23.0%17.0%3.6%-0.2%754.3K-50.4M-402.7K0.4694.52N/AN/A3,3071,51217,78827,293