WM Options History — April 2017

In April 2017, WM traded between $72.19 and $74.32. ATM implied volatility averaged 12.7%, placing in the 29.0% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded above realized volatility by 2.9% (HV 20d: 9.8%). Max pain ranged from $72.50 to $72.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 0.94.

Notable Days

  • 2017-04-06: Highest Volume — 4,450 contracts
  • 2017-04-12: Largest IV spike — 26.7% change
  • 2017-04-21: Highest IV Rank — 50.1%
  • 2017-04-21: Largest Expected Move — 4.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$72.90$72.19$74.32$72.53$72.78
Max Pain$72.50$72.50$72.50$72.50$72.50
ATM IV12.7%10.0%15.1%10.8%11.3%
Expected Move3.8%2.9%4.3%3.1%3.2%
HV 20d9.8%7.7%14.0%10.0%13.6%
HV 60d8.8%8.3%10.8%8.4%10.8%
IV Rank29.0%5.4%50.1%12.7%16.8%
IV Percentile28.7%0.4%65.5%2.8%6.3%
Term Structure-0.6%-2.2%3.2%2.3%0.2%
VWIV13.1%8.8%15.3%10.8%8.8%
Skew 25d2.6%0.8%3.8%1.0%1.6%
Skew 10d5.4%-0.4%9.7%1.7%3.2%
Call IV 25d12.1%9.5%13.6%10.8%10.7%
Put IV 25d14.7%11.6%17.1%11.9%12.3%
Bid-Ask Spread %21.2811.7131.5218.5828.98
Gamma HHI0.320.280.370.300.33
Net GEX5.4M4.5M6.2M5.7M5.3M
Net DEX-93.2M-108.0M-79.5M-90.9M-90.8M
Net VEX-646.8K-671.1K-615.5K-657.1K-615.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.940.252.010.300.62
Total Volume2,5681,4064,4503,0393,004
Total OI44,573.05339,70847,32444,33241,487

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-04-03$72.53$72.5010.8%3.1%10.0%12.7%10.8%1.0%2.3%5.7M-90.9M-657.1K0.3018.58N/AN/A2,33070927,76516,567
2017-04-04$72.54$72.5010.0%2.9%10.0%5.4%10.0%0.8%3.2%5.8M-90.0M-660.6K0.8215.61N/AN/A89272927,77816,599
2017-04-05$73.37$72.5011.4%3.3%10.2%17.5%10.9%2.6%2.9%6.2M-102.8M-649.4K1.3231.52N/AN/A1,4421,90327,79816,612
2017-04-06$73.05$72.5010.8%3.9%10.4%12.7%13.3%3.4%-1.0%6.2M-97.5M-659.2K2.0123.69N/AN/A1,4802,97027,88616,574
2017-04-07$73.19$72.5010.3%4.0%9.9%7.7%14.2%3.2%-1.2%5.7M-101.2M-649.3K1.4523.69N/AN/A1,3201,91728,05817,423
2017-04-10$72.89$72.5011.3%4.1%10.0%16.9%14.4%2.7%-1.6%5.4M-95.1M-657.2K1.0626.59N/AN/A1,8651,97228,12417,476
2017-04-11$72.80$72.5011.2%4.0%10.0%16.2%14.4%3.0%-1.1%5.7M-93.8M-654.6K1.4224.34N/AN/A9201,30629,07217,488
2017-04-12$72.25$72.5014.2%4.1%9.2%42.5%15.3%3.3%-1.1%5.0M-83.6M-667.8K0.7512.42N/AN/A80260429,09617,612
2017-04-13$72.22$72.5014.0%4.0%8.6%40.7%14.9%3.2%-1.1%5.1M-79.5M-671.1K0.5626.07N/AN/A95453629,11617,711
2017-04-17$72.39$72.5015.0%4.3%8.2%49.1%14.1%3.5%-2.1%4.9M-83.9M-657.1K0.8220.74N/AN/A1,13793529,01717,727
2017-04-18$72.46$72.5014.7%4.2%8.1%46.6%14.4%3.2%-1.8%5.0M-84.1M-659.3K0.8815.62N/AN/A77668629,03018,016
2017-04-19$72.72$72.5014.8%4.3%7.7%48.1%15.3%2.9%-2.2%5.4M-90.1M-654.4K0.8717.83N/AN/A97685329,02018,085
2017-04-20$72.90$72.5014.5%4.2%7.8%45.4%15.1%3.6%-2.1%5.1M-94.7M-645.3K0.7911.71N/AN/A91372328,98118,262
2017-04-21$73.47$72.5015.1%4.3%8.2%50.1%15.0%3.8%-2.0%4.5M-108.0M-636.9K0.2523.65N/AN/A3,02174329,07818,246
2017-04-24$74.13$72.5014.3%4.1%8.6%43.6%13.6%2.5%-1.0%5.2M-103.1M-626.6K1.1318.03N/AN/A1,1441,29026,01613,692
2017-04-25$74.32$72.5013.8%4.0%8.3%39.0%13.9%3.0%-1.3%5.3M-107.7M-624.7K1.0214.87N/AN/A1,0351,05326,38813,458
2017-04-26$72.19$72.5012.1%3.5%13.6%24.1%10.9%1.3%-0.7%5.0M-82.6M-617.9K0.9425.28N/AN/A1,6161,52526,65413,628
2017-04-27$72.86$72.5011.1%3.2%14.0%15.3%9.5%1.9%0.7%5.4M-91.1M-624.9K0.8125.15N/AN/A1,4961,21527,18914,159
2017-04-28$72.78$72.5011.3%3.2%13.6%16.8%8.8%1.6%0.2%5.3M-90.8M-615.5K0.6228.98N/AN/A1,8601,14426,96914,518