WM Options History — January 2017

In January 2017, WM traded between $69.41 and $70.61. ATM implied volatility averaged 16.1%, placing in the 27.0% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 8.9% (HV 20d: 7.2%). Max pain ranged from $65.00 to $72.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 0.75.

Notable Days

  • 2017-01-25: Highest Volume — 3,914 contracts
  • 2017-01-11: Largest IV spike — 21.3% change
  • 2017-01-31: Highest IV Rank — 37.4%
  • 2017-01-31: Largest Expected Move — 5.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$69.82$69.41$70.61$70.45$69.54
Max Pain$70.00$65.00$72.50$65.00$70.00
ATM IV16.1%13.8%18.6%15.0%18.6%
Expected Move4.8%4.2%5.3%4.3%5.3%
HV 20d7.2%5.8%9.3%9.3%5.8%
HV 60d13.0%9.9%14.0%14.0%9.9%
IV Rank27.0%17.7%37.4%22.8%37.4%
IV Percentile66.3%28.6%89.3%51.6%89.3%
Term Structure-1.1%-2.8%2.9%2.4%-2.8%
VWIV17.5%14.5%19.6%15.1%19.6%
Skew 25d3.5%1.7%4.8%1.8%2.9%
Skew 10d8.1%4.4%11.6%4.4%6.8%
Call IV 25d15.6%13.9%18.0%13.9%18.0%
Put IV 25d19.1%15.7%20.8%15.7%20.8%
Bid-Ask Spread %26.6810.2153.0923.6128.64
Gamma HHI0.290.210.450.310.25
Net GEX2.0M12.6K3.7M3.7M741.7K
Net DEX-44.2M-67.8M-21.4M-65.8M-26.5M
Net VEX-359.2K-391.1K-340.4K-359.9K-390.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.750.301.780.670.99
Total Volume2,397.21,1323,9142,7271,132
Total OI40,334.3525,31949,87945,44029,820

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-01-03$70.45$65.0015.0%4.3%9.3%22.8%15.1%1.8%2.4%3.7M-65.8M-359.9K0.6723.61N/AN/A1,6321,09519,79125,649
2017-01-04$70.47$65.0014.6%4.2%8.2%21.0%14.5%1.7%2.9%3.6M-67.3M-352.6K0.5726.60N/AN/A1,69997419,53725,836
2017-01-05$70.61$72.5014.6%5.0%8.0%21.0%18.5%3.0%-1.0%3.6M-67.8M-354.7K0.5223.32N/AN/A1,72689219,63625,968
2017-01-06$70.30$72.5013.9%4.9%8.0%18.1%18.4%3.2%-0.9%3.5M-62.0M-360.2K0.8925.62N/AN/A1,00188719,77226,040
2017-01-09$69.82$72.5014.9%4.9%8.1%22.3%17.2%3.8%-1.2%3.1M-53.3M-359.2K1.7821.60N/AN/A1,1131,98519,75726,051
2017-01-10$69.48$72.5013.8%4.8%8.3%17.7%17.5%3.9%-0.8%2.6M-48.2M-359.7K0.7924.43N/AN/A1,15391419,85527,234
2017-01-11$70.13$70.0016.7%4.8%8.4%29.5%18.3%4.5%-0.8%2.9M-57.5M-357.3K0.7624.63N/AN/A1,11884619,88327,395
2017-01-12$69.90$70.0016.7%4.8%8.5%29.4%18.9%4.7%-1.1%2.8M-53.0M-355.2K1.0223.50N/AN/A9991,01719,91227,530
2017-01-13$69.80$70.0016.9%4.8%8.0%30.3%18.9%4.0%-1.4%2.8M-50.0M-358.1K0.8621.94N/AN/A1,03889319,92227,607
2017-01-17$69.49$70.0016.8%4.8%8.1%29.8%16.9%3.9%-1.2%2.2M-47.7M-340.4K0.9322.16N/AN/A1,7431,62619,96727,626
2017-01-18$69.55$70.0017.1%4.9%8.1%31.1%18.2%3.5%-2.3%3.1M-48.5M-348.4K0.8141.55N/AN/A1,18695920,65628,138
2017-01-19$69.54$70.0015.9%4.6%5.9%26.3%16.1%4.5%-1.4%2.9M-43.7M-352.9K0.4335.72N/AN/A2,12391420,77228,803
2017-01-20$69.64$70.0015.6%4.5%5.9%25.1%16.9%4.8%-1.1%12.6K-39.3M-344.7K0.4239.81N/AN/A2,16591120,91828,961
2017-01-23$69.41$70.0016.2%4.6%5.8%27.4%16.9%4.1%-1.0%96.4K-21.4M-346.5K0.5016.63N/AN/A1,35468013,21012,109
2017-01-24$69.60$70.0016.4%4.7%5.9%28.4%16.7%2.9%-1.1%240.7K-22.4M-350.6K0.6453.09N/AN/A1,08369313,56212,225
2017-01-25$69.76$70.0016.5%4.7%6.0%28.9%16.7%3.7%-1.4%422.5K-25.0M-344.6K0.3010.21N/AN/A3,02189313,65912,291
2017-01-26$69.74$70.0016.6%4.7%5.9%29.0%17.3%2.6%-1.6%738.6K-28.7M-373.2K0.5513.04N/AN/A1,79299415,09112,598
2017-01-27$69.60$70.0016.9%4.8%6.0%30.2%17.9%3.4%-2.3%860.3K-28.8M-391.1K0.4932.91N/AN/A1,68883516,26613,030
2017-01-30$69.59$70.0018.0%5.2%5.9%34.7%18.9%3.6%-2.8%692.2K-26.5M-384.9K1.0424.62N/AN/A57359716,28513,325
2017-01-31$69.54$70.0018.6%5.3%5.8%37.4%19.6%2.9%-2.8%741.7K-26.5M-390.7K0.9928.64N/AN/A56856416,41713,403