WM Options History — March 2017

In March 2017, WM traded between $72.00 and $73.79. ATM implied volatility averaged 11.5%, placing in the 18.5% IV rank vs the trailing year. The 30-day expected move averaged 3.2%. IV traded above realized volatility by 2.4% (HV 20d: 9.1%). Max pain ranged from $67.50 to $72.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 22 of 23 days. Put/call ratio averaged 0.85.

Notable Days

2017-03-31: Highest Volume — 4,438 contracts
2017-03-15: Largest IV drop — 19.5% change
2017-03-13: Highest IV Rank — 36.9%
2017-03-01: Largest Expected Move — 3.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$72.82	$72.00	$73.79	$73.41	$73.07
Max Pain	$71.63	$67.50	$72.50	$70.00	$72.50
ATM IV	11.5%	10.1%	13.6%	12.3%	10.2%
Expected Move	3.2%	2.9%	3.5%	3.5%	2.9%
HV 20d	9.1%	7.6%	10.6%	7.9%	9.7%
HV 60d	8.0%	7.6%	8.3%	8.1%	8.3%
IV Rank	18.5%	5.9%	36.9%	25.7%	7.0%
IV Percentile	6.7%	0.4%	32.5%	11.5%	0.8%
Term Structure	1.9%	-0.0%	3.2%	-0.0%	3.2%
VWIV	12.4%	9.7%	20.0%	13.0%	10.2%
Skew 25d	2.4%	0.3%	3.6%	2.8%	2.5%
Skew 10d	4.4%	-0.6%	7.7%	5.3%	4.6%
Call IV 25d	10.4%	8.9%	12.2%	10.7%	8.9%
Put IV 25d	12.8%	11.1%	13.9%	13.5%	11.4%
Bid-Ask Spread %	45.13	11.49	98.09	26.90	22.08
Gamma HHI	0.28	0.26	0.32	0.28	0.31
Net GEX	4.6M	4.1M	5.6M	4.8M	5.6M
Net DEX	-85.1M	-102.9M	-70.7M	-102.9M	-85.8M
Net VEX	-611.6K	-625.7K	-595.2K	-614.5K	-609.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.85	0.24	1.38	0.79	0.24
Total Volume	2,748.913	1,501	4,438	2,679	4,438
Total OI	40,321.957	38,291	41,530	40,299	41,530

Daily Data (23 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2017-03-01	$73.41	$70.00	12.3%	3.5%	7.9%	25.7%	13.0%	2.8%	-0.0%	4.8M	-102.9M	-614.5K	0.79	26.90	N/A	N/A	1,500	1,179	25,716	14,583
2017-03-02	$73.31	$70.00	11.7%	3.4%	7.6%	20.4%	15.7%	3.0%	0.3%	4.8M	-101.5M	-621.2K	1.02	11.49	N/A	N/A	1,238	1,261	25,923	14,904
2017-03-03	$72.80	$70.00	11.4%	3.3%	8.3%	17.8%	12.1%	0.6%	0.3%	4.5M	-95.8M	-616.0K	1.15	20.22	N/A	N/A	872	1,004	25,928	15,261
2017-03-06	$73.00	$67.50	11.3%	3.3%	8.3%	16.9%	12.3%	2.6%	1.6%	4.6M	-95.4M	-612.1K	1.10	18.16	N/A	N/A	954	1,051	25,903	15,321
2017-03-07	$72.78	$67.50	11.4%	3.3%	8.2%	17.8%	20.0%	2.5%	1.6%	4.3M	-94.9M	-603.0K	0.37	19.61	N/A	N/A	2,918	1,067	25,873	15,526
2017-03-08	$72.14	$72.50	12.3%	3.3%	8.9%	25.9%	13.0%	2.0%	1.5%	4.1M	-77.3M	-611.0K	0.42	18.68	N/A	N/A	1,797	752	23,943	15,678
2017-03-09	$72.30	$70.00	11.5%	3.3%	8.9%	18.8%	13.8%	3.6%	1.4%	4.1M	-74.5M	-614.7K	0.47	22.57	N/A	N/A	1,641	778	23,638	15,689
2017-03-10	$72.97	$72.50	11.8%	3.2%	9.2%	21.0%	12.0%	2.7%	1.8%	4.5M	-82.6M	-609.6K	0.72	15.13	N/A	N/A	1,918	1,385	23,612	15,730
2017-03-13	$73.06	$72.50	13.6%	3.4%	9.1%	36.9%	12.6%	3.2%	1.6%	4.8M	-85.2M	-605.6K	1.14	18.51	N/A	N/A	1,643	1,869	23,845	15,643
2017-03-14	$72.91	$72.50	13.0%	3.3%	9.2%	31.8%	13.4%	3.0%	1.9%	4.7M	-84.0M	-602.1K	0.96	88.69	N/A	N/A	1,244	1,199	23,880	16,260
2017-03-15	$73.79	$72.50	10.5%	3.0%	9.9%	9.5%	11.3%	2.6%	2.2%	4.9M	-93.7M	-595.2K	0.89	98.09	N/A	N/A	1,552	1,380	23,887	16,293
2017-03-16	$73.05	$72.50	11.5%	3.3%	10.6%	18.4%	13.3%	2.8%	1.8%	4.8M	-85.6M	-612.8K	0.96	73.41	N/A	N/A	1,535	1,469	24,040	16,532
2017-03-17	$73.53	$72.50	11.6%	3.3%	10.6%	19.7%	13.0%	3.3%	1.8%	4.8M	-92.5M	-598.1K	0.88	34.48	N/A	N/A	1,665	1,460	24,052	16,546
2017-03-20	$73.13	$72.50	11.6%	3.3%	9.2%	19.3%	11.8%	2.6%	2.9%	4.7M	-86.4M	-610.7K	0.75	14.65	N/A	N/A	1,754	1,320	23,645	14,646
2017-03-21	$72.58	$72.50	11.6%	3.3%	9.2%	19.9%	11.9%	2.8%	2.4%	4.4M	-80.3M	-607.9K	1.24	85.03	N/A	N/A	1,657	2,057	24,153	14,761
2017-03-22	$72.69	$72.50	11.8%	3.4%	9.2%	21.2%	11.5%	2.8%	1.9%	4.4M	-80.0M	-624.3K	1.16	78.13	N/A	N/A	1,285	1,489	24,233	15,562
2017-03-23	$72.52	$72.50	11.1%	3.2%	9.2%	15.3%	11.1%	1.9%	2.7%	4.4M	-79.0M	-618.0K	1.15	82.65	N/A	N/A	1,128	1,301	24,380	15,621
2017-03-24	$72.35	$72.50	11.4%	3.3%	9.2%	17.5%	11.4%	2.1%	2.0%	4.2M	-75.4M	-625.7K	0.87	80.22	N/A	N/A	1,473	1,281	24,461	15,738
2017-03-27	$72.00	$72.50	11.7%	3.4%	9.2%	20.7%	11.8%	1.6%	1.6%	4.4M	-70.7M	-617.3K	0.72	88.65	N/A	N/A	972	700	24,961	15,820
2017-03-28	$72.32	$72.50	10.7%	3.1%	9.4%	11.9%	10.7%	1.7%	2.6%	4.9M	-74.9M	-610.0K	1.38	83.18	N/A	N/A	986	1,357	25,015	15,786
2017-03-29	$72.22	$72.50	10.1%	2.9%	9.4%	5.9%	10.6%	0.3%	2.8%	4.8M	-74.7M	-617.4K	0.47	19.72	N/A	N/A	1,493	702	25,065	16,325
2017-03-30	$72.88	$72.50	10.2%	2.9%	10.0%	7.1%	9.7%	1.7%	2.9%	5.3M	-83.4M	-610.4K	0.79	17.83	N/A	N/A	840	661	25,159	16,338
2017-03-31	$73.07	$72.50	10.2%	2.9%	9.7%	7.0%	10.2%	2.5%	3.2%	5.6M	-85.8M	-609.9K	0.24	22.08	N/A	N/A	3,572	866	25,170	16,360