WM Options History — May 2017

In May 2017, WM traded between $70.48 and $73.27. ATM implied volatility averaged 11.4%, placing in the 17.6% IV rank vs the trailing year. The 30-day expected move averaged 3.3%. IV traded below realized volatility by 1.0% (HV 20d: 12.4%). Max pain ranged from $67.50 to $72.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 0.42.

Notable Days

  • 2017-05-16: Highest Volume — 3,669 contracts
  • 2017-05-24: Largest IV drop — 18.7% change
  • 2017-05-17: Highest IV Rank — 30.7%
  • 2017-05-17: Largest Expected Move — 3.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$72.09$70.48$73.27$73.06$72.97
Max Pain$69.43$67.50$72.50$72.50$70.00
ATM IV11.4%10.1%12.9%11.9%11.2%
Expected Move3.3%2.9%3.7%3.4%3.2%
HV 20d12.4%8.6%14.0%13.6%9.7%
HV 60d10.7%10.5%11.0%10.7%11.0%
IV Rank17.6%6.7%30.7%22.1%16.3%
IV Percentile12.7%1.2%33.3%16.7%10.7%
Term Structure-0.0%-1.3%1.4%0.0%-0.2%
VWIV13.8%9.3%19.9%14.9%11.3%
Skew 25d2.7%1.3%5.2%2.6%5.2%
Skew 10d5.1%1.1%8.2%4.8%8.2%
Call IV 25d9.9%7.3%11.3%10.5%7.3%
Put IV 25d12.6%11.3%14.0%13.0%12.5%
Bid-Ask Spread %15.526.6737.8637.8616.53
Gamma HHI0.270.230.330.330.27
Net GEX5.2M3.7M6.3M5.1M6.3M
Net DEX-81.8M-100.1M-57.3M-89.9M-100.1M
Net VEX-627.6K-648.6K-597.6K-617.8K-623.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.420.200.750.490.20
Total Volume2,457.2731,2043,6693,1663,293
Total OI43,787.13641,16746,22541,16744,138

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-05-01$73.06$72.5011.9%3.4%13.6%22.1%14.9%2.6%0.0%5.1M-89.9M-617.8K0.4937.86N/AN/A2,1291,03726,62414,543
2017-05-02$72.81$72.5011.4%3.3%13.4%17.9%11.0%1.3%-0.0%5.3M-90.7M-627.5K0.4817.78N/AN/A2,0941,00227,74114,836
2017-05-03$72.86$72.5011.5%3.3%13.4%18.2%11.4%1.6%0.2%5.4M-91.2M-622.4K0.5831.36N/AN/A92253827,78214,852
2017-05-04$72.94$67.5011.0%3.3%12.8%14.6%18.0%2.6%-0.2%5.5M-90.2M-632.1K0.6522.39N/AN/A78050627,79014,936
2017-05-05$73.27$67.5010.8%3.3%12.8%12.8%19.9%2.9%-0.4%5.7M-95.4M-621.4K0.6817.08N/AN/A71548927,79414,957
2017-05-08$73.23$67.5011.1%3.1%12.8%15.4%17.3%2.4%-0.0%5.9M-96.9M-616.3K0.7512.72N/AN/A79559327,80514,965
2017-05-09$72.69$67.5011.3%3.2%13.0%17.1%17.7%2.2%-0.4%5.7M-88.6M-597.6K0.2316.18N/AN/A2,64061027,61114,991
2017-05-10$73.01$67.5011.1%3.2%13.1%15.0%19.0%2.9%0.1%6.2M-96.0M-621.1K0.2915.98N/AN/A1,94255428,63715,018
2017-05-11$72.64$67.5010.9%3.1%12.9%13.3%17.5%3.0%0.0%6.0M-89.7M-629.5K0.2516.97N/AN/A2,41459828,89115,045
2017-05-12$71.94$67.5010.9%3.1%13.4%13.4%17.2%2.3%0.3%5.5M-81.1M-622.8K0.5411.90N/AN/A1,10759729,18215,052
2017-05-15$72.08$67.5010.8%3.1%13.4%12.6%12.2%1.9%0.1%5.8M-81.7M-613.1K0.2012.74N/AN/A2,96060329,14915,083
2017-05-16$71.22$70.0012.6%3.6%14.0%27.9%15.3%2.9%-0.6%4.6M-68.4M-615.2K0.3410.18N/AN/A2,73593429,33915,129
2017-05-17$70.82$70.0012.9%3.7%14.0%30.7%12.0%2.5%-0.8%3.7M-61.2M-634.6K0.2110.64N/AN/A2,85660930,00115,470
2017-05-18$71.01$70.0012.8%3.7%14.0%29.8%12.6%2.7%-0.7%4.0M-65.1M-648.6K0.4410.73N/AN/A1,99888630,53515,422
2017-05-19$70.48$70.0012.3%3.5%13.7%25.3%11.6%3.9%0.0%4.0M-57.3M-638.1K0.3512.72N/AN/A1,86266030,55015,675
2017-05-22$71.00$70.0012.7%3.6%13.6%28.8%11.4%3.4%-1.3%4.5M-68.2M-639.8K0.3812.66N/AN/A1,68663929,44314,484
2017-05-23$71.01$70.0012.5%3.6%13.5%27.2%9.3%3.4%-1.0%4.6M-69.0M-627.7K0.4013.20N/AN/A1,61364529,36414,504
2017-05-24$71.31$70.0010.2%2.9%9.2%6.7%11.4%2.7%1.3%4.9M-73.6M-644.6K0.4813.74N/AN/A1,43569129,36714,567
2017-05-25$71.60$70.0010.2%2.9%8.6%7.3%11.7%1.8%1.2%5.0M-76.8M-642.2K0.4110.11N/AN/A1,50562129,41614,635
2017-05-26$71.85$70.0010.1%2.9%8.8%6.7%10.7%3.0%1.4%5.4M-81.9M-638.3K0.386.67N/AN/A1,53857929,34514,640
2017-05-30$72.14$70.0010.3%3.0%8.8%8.4%10.6%2.2%0.2%5.6M-86.1M-633.1K0.5711.24N/AN/A1,04860229,38714,622
2017-05-31$72.97$70.0011.2%3.2%9.7%16.3%11.3%5.2%-0.2%6.3M-100.1M-623.9K0.2016.53N/AN/A2,74854529,39214,746