WM Options History — February 2017

In February 2017, WM traded between $69.23 and $73.31. ATM implied volatility averaged 14.9%, placing in the 31.2% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 8.3% (HV 20d: 6.6%). Max pain ranged from $70.00 to $70.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 1 of 19 days. Put/call ratio averaged 1.25.

Notable Days

  • 2017-02-09: Highest Volume — 4,767 contracts
  • 2017-02-08: Largest IV drop — 24.9% change
  • 2017-02-07: Highest IV Rank — 46.0%
  • 2017-02-01: Largest Expected Move — 5.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$71.23$69.23$73.31$69.23$73.31
Max Pain$70.00$70.00$70.00$70.00$70.00
ATM IV14.9%11.0%20.8%18.3%12.4%
Expected Move4.0%3.2%5.2%5.2%3.5%
HV 20d6.6%5.1%8.2%5.8%8.0%
HV 60d8.6%7.8%9.9%9.9%8.3%
IV Rank31.2%14.4%46.0%35.9%26.4%
IV Percentile46.2%0.8%97.2%86.9%11.5%
Term Structure-0.9%-3.0%0.5%-3.0%-0.9%
VWIV15.0%11.6%20.5%20.5%17.2%
Skew 25d3.5%2.2%5.6%2.9%2.6%
Skew 10d7.8%1.6%13.2%4.3%4.8%
Call IV 25d12.4%7.3%17.9%17.9%11.1%
Put IV 25d15.9%12.8%20.8%20.8%13.8%
Bid-Ask Spread %30.5314.2188.1829.7335.12
Gamma HHI0.280.220.490.240.27
Net GEX2.8M568.5K8.0M568.5K4.8M
Net DEX-63.9M-101.3M-23.6M-23.6M-101.3M
Net VEX-505.0K-611.7K-386.3K-386.5K-611.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.250.203.851.290.81
Total Volume2,963.0539834,7679832,787
Total OI36,626.31629,98442,83029,98440,140

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-02-01$69.23$70.0018.3%5.2%5.8%35.9%20.5%2.9%-3.0%568.5K-23.6M-386.5K1.2929.73N/AN/A43055316,50913,475
2017-02-02$69.58$70.0018.8%4.5%6.1%38.1%18.9%3.8%-1.5%764.1K-27.5M-386.3K3.8520.70N/AN/A4411,69816,54113,545
2017-02-03$69.71$70.0019.3%4.4%6.1%40.2%17.0%4.0%-1.2%705.7K-28.2M-395.3K1.2225.12N/AN/A9801,19516,63314,551
2017-02-06$69.40$70.0019.9%4.4%6.1%42.6%16.4%2.9%-0.8%598.9K-28.0M-395.0K1.9118.07N/AN/A6161,17617,05214,632
2017-02-07$69.90$70.0020.8%4.2%6.3%46.0%15.3%3.3%-0.5%944.8K-32.8M-401.0K0.5015.84N/AN/A2,4721,24017,34614,770
2017-02-08$69.93$70.0015.6%4.5%6.0%25.1%15.5%2.9%-1.6%1.3M-39.8M-446.4K1.0314.21N/AN/A96599719,31814,903
2017-02-09$70.23$70.0015.7%4.5%5.2%36.9%15.7%3.1%-1.1%1.5M-43.5M-458.2K0.2018.01N/AN/A3,98378419,86915,302
2017-02-10$70.68$70.0015.7%4.5%5.5%36.7%15.1%2.9%-1.2%2.3M-61.6M-539.0K0.4822.98N/AN/A1,58977023,00915,469
2017-02-13$70.84$70.0016.1%4.6%5.5%45.9%16.3%3.8%-2.1%2.8M-65.9M-533.9K1.4318.88N/AN/A8701,24623,35615,594
2017-02-14$70.82$70.0015.7%4.5%5.1%44.8%16.3%4.0%-1.8%2.7M-65.6M-541.2K1.2616.00N/AN/A1,2011,51223,72916,002
2017-02-15$71.30$70.0013.7%3.9%5.5%32.1%14.8%3.5%-0.3%3.2M-72.9M-552.2K2.7126.29N/AN/A8752,37223,96416,393
2017-02-16$71.11$70.0013.0%3.7%5.7%32.1%12.5%3.6%-0.3%2.0M-67.6M-537.2K1.8788.18N/AN/A9671,80723,90417,414
2017-02-17$72.33$70.0011.0%3.2%8.0%14.4%11.6%4.4%0.5%8.0M-89.5M-537.1K0.8715.51N/AN/A1,8471,60224,00018,830
2017-02-21$72.92$70.0011.6%3.3%8.1%19.3%11.8%3.2%-0.1%4.1M-88.7M-529.3K0.9316.58N/AN/A2,4232,25122,34113,373
2017-02-22$73.00$70.0011.6%3.3%8.1%19.8%13.2%5.6%-0.4%4.4M-93.8M-572.4K0.8967.60N/AN/A1,8951,68423,86713,973
2017-02-23$72.84$70.0011.4%3.3%8.2%17.8%12.8%2.4%-0.2%4.3M-93.2M-587.5K1.0965.89N/AN/A1,7521,91324,25014,008
2017-02-24$73.08$70.0011.2%3.2%8.2%16.1%11.9%5.5%-0.1%4.4M-93.9M-591.4K1.1316.73N/AN/A1,7501,98624,31914,369
2017-02-27$73.21$70.0012.0%3.4%8.0%22.9%12.8%2.2%-0.5%4.6M-97.8M-592.5K0.3748.64N/AN/A2,67899124,65914,491
2017-02-28$73.31$70.0012.4%3.5%8.0%26.4%17.2%2.6%-0.9%4.8M-101.3M-611.7K0.8135.12N/AN/A1,5441,24325,49214,648