WM Options History — December 2016

In December 2016, WM traded between $69.03 and $71.16. ATM implied volatility averaged 15.0%, placing in the 22.5% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 4.2% (HV 20d: 10.7%). Max pain ranged from $65.00 to $70.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.98.

Notable Days

  • 2016-12-01: Highest Volume — 3,906 contracts
  • 2016-12-12: Largest IV spike — 19.0% change
  • 2016-12-13: Highest IV Rank — 32.0%
  • 2016-12-12: Largest Expected Move — 4.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$70.39$69.03$71.16$69.18$70.82
Max Pain$65.48$65.00$70.00$70.00$65.00
ATM IV15.0%14.1%17.3%15.6%14.6%
Expected Move4.2%4.0%4.5%4.5%4.2%
HV 20d10.7%9.6%12.9%12.1%9.6%
HV 60d14.5%14.0%15.3%15.2%14.0%
IV Rank22.5%18.9%32.0%25.0%21.1%
IV Percentile48.1%34.9%76.2%56.7%45.6%
Term Structure1.9%-0.8%3.5%-0.8%2.8%
VWIV15.7%13.4%21.9%18.5%13.4%
Skew 25d3.8%2.9%5.1%4.7%2.9%
Skew 10d9.6%5.6%16.5%10.9%7.3%
Call IV 25d13.2%12.0%14.7%14.7%12.7%
Put IV 25d17.0%15.6%19.4%19.4%15.6%
Bid-Ask Spread %45.3815.1793.3793.3717.43
Gamma HHI0.300.170.630.170.34
Net GEX1.7M-7.5M4.1M465.7K3.6M
Net DEX-62.1M-73.9M-39.7M-41.1M-72.8M
Net VEX-386.8K-426.8K-367.1K-426.8K-367.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.980.231.950.571.75
Total Volume2,732.3811,8203,9063,9062,951
Total OI45,855.52442,45148,06645,80145,468

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-12-01$69.18$70.0015.6%4.5%12.1%25.0%18.5%4.7%-0.8%465.7K-41.1M-426.8K0.5793.37N/AN/A2,4861,42018,23027,571
2016-12-02$69.83$70.0014.3%4.1%11.6%20.0%14.4%5.1%0.9%918.6K-50.6M-415.8K0.2393.25N/AN/A2,35553118,28327,682
2016-12-05$69.03$65.0015.6%4.2%12.9%25.2%21.9%4.4%1.5%423.8K-39.7M-415.0K0.4028.10N/AN/A1,80471318,34627,728
2016-12-06$69.42$65.0015.2%4.2%11.7%23.4%19.5%4.2%1.1%592.7K-43.1M-414.6K0.4321.77N/AN/A1,64670318,47027,988
2016-12-07$69.83$65.0014.4%4.3%11.3%20.1%17.7%4.2%0.9%977.6K-50.3M-406.9K0.4522.46N/AN/A1,75778518,54228,089
2016-12-08$70.19$65.0015.2%4.2%11.1%23.5%15.1%3.8%1.7%1.3M-57.4M-398.3K0.3826.86N/AN/A1,96875418,62728,108
2016-12-09$70.11$65.0014.4%4.0%11.1%20.5%16.9%3.2%2.4%1.2M-57.9M-387.5K0.4224.94N/AN/A1,69070418,69728,221
2016-12-12$70.70$65.0017.2%4.5%9.9%31.6%14.3%4.1%0.8%1.4M-65.9M-378.9K0.3222.48N/AN/A2,47278318,73528,186
2016-12-13$70.81$65.0017.3%4.2%9.9%32.0%16.7%3.9%1.3%1.8M-68.5M-383.0K0.7315.17N/AN/A1,19087319,37728,246
2016-12-14$70.23$65.0014.5%4.1%9.7%20.5%14.5%2.9%1.6%1.1M-64.5M-372.3K0.7028.11N/AN/A1,14880719,40828,395
2016-12-15$70.11$65.0014.4%4.1%9.7%20.4%14.9%3.5%1.7%-252.9K-59.3M-379.5K0.8415.99N/AN/A98883219,46928,495
2016-12-16$70.11$65.0014.4%4.1%9.7%20.2%14.3%4.0%1.6%-7.5M-63.1M-374.6K0.7319.16N/AN/A1,4951,09719,53328,533
2016-12-19$71.15$65.0014.8%4.2%10.9%21.9%14.6%3.2%3.0%3.6M-72.4M-367.4K1.9526.75N/AN/A1,3162,57218,90423,547
2016-12-20$71.16$65.0015.3%4.4%10.6%23.9%14.4%3.7%2.4%3.7M-73.9M-376.6K1.4565.23N/AN/A1,2381,79919,24224,399
2016-12-21$70.80$65.0014.7%4.2%10.8%21.6%14.5%3.6%2.8%3.7M-70.7M-377.5K1.6582.90N/AN/A1,0601,75319,49724,717
2016-12-22$70.86$65.0015.0%4.3%10.8%22.7%14.7%4.3%2.3%3.7M-69.4M-382.6K1.6280.85N/AN/A1,0101,63319,55825,039
2016-12-23$70.91$65.0014.3%4.1%10.6%19.9%14.9%3.4%2.8%3.7M-69.7M-384.2K1.5068.61N/AN/A1,0441,56419,58725,177
2016-12-27$70.98$65.0014.4%4.1%10.6%20.3%14.5%3.0%2.9%3.8M-73.0M-367.3K1.4274.29N/AN/A1,1251,59619,64725,182
2016-12-28$70.94$65.0014.1%4.0%10.6%18.9%14.7%3.8%3.5%4.1M-72.2M-370.0K1.4559.83N/AN/A1,0911,58219,70325,254
2016-12-29$71.06$65.0014.5%4.2%9.9%20.9%15.3%3.4%2.8%3.8M-68.9M-377.3K1.5165.46N/AN/A1,2111,83419,73625,350
2016-12-30$70.82$65.0014.6%4.2%9.6%21.1%13.4%2.9%2.8%3.6M-72.8M-367.1K1.7517.43N/AN/A1,0721,87919,77725,691