WM Options History — June 2017

In June 2017, WM traded between $72.50 and $74.38. ATM implied volatility averaged 11.9%, placing in the 22.0% IV rank vs the trailing year. The 30-day expected move averaged 3.4%. IV traded above realized volatility by 1.3% (HV 20d: 10.6%). Max pain ranged from $70.00 to $72.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 1.98.

Notable Days

2017-06-09: Highest Volume — 14,241 contracts
2017-06-12: Largest IV spike — 26.9% change
2017-06-12: Highest IV Rank — 73.8%
2017-06-09: Largest Expected Move — 4.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$73.49	$72.50	$74.38	$73.38	$73.56
Max Pain	$70.91	$70.00	$72.50	$70.00	$72.50
ATM IV	11.9%	9.8%	17.8%	11.2%	10.7%
Expected Move	3.4%	2.8%	4.7%	3.2%	3.1%
HV 20d	10.6%	9.1%	11.7%	9.9%	9.1%
HV 60d	11.1%	10.9%	11.5%	11.0%	10.9%
IV Rank	22.0%	3.5%	73.8%	16.2%	11.5%
IV Percentile	21.6%	0.4%	90.1%	10.3%	5.6%
Term Structure	1.5%	-1.4%	2.6%	-0.2%	2.6%
VWIV	12.6%	9.9%	18.3%	10.7%	10.4%
Skew 25d	2.3%	1.1%	5.7%	5.7%	1.3%
Skew 10d	5.1%	1.5%	9.1%	7.7%	4.9%
Call IV 25d	10.8%	6.6%	15.3%	6.6%	9.9%
Put IV 25d	13.1%	11.3%	18.9%	12.4%	11.3%
Bid-Ask Spread %	12.38	6.06	30.26	8.67	9.23
Gamma HHI	0.35	0.26	0.46	0.27	0.35
Net GEX	4.4M	1.8M	6.9M	6.7M	3.3M
Net DEX	-102.9M	-127.2M	-79.8M	-110.8M	-99.2M
Net VEX	-721.0K	-793.8K	-655.5K	-655.5K	-678.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.98	0.76	8.76	1.00	1.33
Total Volume	3,783.227	1,327	14,241	3,389	1,327
Total OI	53,524.773	45,305	58,433	45,305	56,436

Daily Data (22 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
2017-06-01	$73.38	$70.00	11.2%	3.2%	9.9%	16.2%	10.7%	5.7%	-0.2%	6.7M	-110.8M	-655.5K	1.00	8.67	N/A	N/A	1,698	1,691	30,478	14,827
2017-06-02	$74.38	$72.50	9.8%	2.8%	10.9%	3.5%	11.4%	2.3%	1.5%	6.9M	-127.2M	-694.5K	1.67	10.64	N/A	N/A	1,577	2,640	31,354	16,009
2017-06-05	$74.06	$70.00	11.1%	3.2%	11.0%	15.1%	11.8%	2.4%	1.5%	6.8M	-121.7M	-706.5K	1.34	14.12	N/A	N/A	1,995	2,665	31,501	16,209
2017-06-06	$73.46	$70.00	13.2%	3.5%	11.4%	33.7%	14.3%	2.6%	1.0%	6.4M	-109.8M	-738.6K	0.76	13.22	N/A	N/A	2,317	1,764	31,754	17,259
2017-06-07	$73.33	$70.00	11.7%	3.5%	11.1%	20.6%	11.7%	2.3%	1.6%	5.9M	-106.1M	-731.9K	1.21	15.40	N/A	N/A	1,351	1,628	30,882	17,589
2017-06-08	$72.50	$70.00	12.3%	3.5%	11.7%	25.3%	13.8%	2.7%	1.4%	5.3M	-92.9M	-733.0K	1.20	14.30	N/A	N/A	1,142	1,372	31,030	17,617
2017-06-09	$72.54	$70.00	14.0%	4.7%	11.6%	40.7%	18.3%	4.4%	-1.4%	4.8M	-90.9M	-759.4K	8.76	30.26	N/A	N/A	1,459	12,782	31,071	17,630
2017-06-12	$72.74	$70.00	17.8%	4.7%	11.1%	73.8%	17.5%	3.2%	-1.3%	1.8M	-79.8M	-793.8K	2.60	16.23	N/A	N/A	1,315	3,424	31,274	25,475
2017-06-13	$73.37	$70.00	13.4%	3.8%	11.4%	35.5%	14.3%	2.2%	1.7%	2.3M	-95.1M	-784.4K	2.40	21.43	N/A	N/A	1,427	3,431	31,357	27,076
2017-06-14	$73.43	$70.00	13.0%	3.7%	10.4%	31.3%	14.4%	2.1%	1.6%	2.2M	-95.7M	-775.0K	1.87	14.49	N/A	N/A	939	1,754	31,428	26,681
2017-06-15	$74.14	$70.00	11.4%	3.3%	10.4%	17.6%	15.0%	2.4%	2.4%	3.5M	-109.6M	-752.7K	1.23	13.81	N/A	N/A	1,501	1,841	31,400	26,692
2017-06-16	$74.13	$70.00	10.7%	3.1%	10.4%	11.4%	12.9%	2.2%	2.3%	4.1M	-112.3M	-739.7K	3.32	15.13	N/A	N/A	1,368	4,545	31,493	26,787
2017-06-19	$74.25	$70.00	10.8%	3.1%	9.8%	12.7%	12.4%	1.9%	2.0%	4.6M	-112.7M	-716.2K	2.04	6.13	N/A	N/A	1,117	2,277	30,759	23,561
2017-06-20	$73.90	$70.00	10.4%	3.0%	9.9%	9.1%	10.7%	1.1%	2.2%	4.9M	-110.7M	-705.2K	0.97	6.06	N/A	N/A	1,391	1,353	30,889	23,714
2017-06-21	$73.34	$70.00	11.8%	3.4%	10.5%	21.7%	11.7%	2.2%	1.5%	4.1M	-97.4M	-711.3K	1.74	8.15	N/A	N/A	1,325	2,309	31,029	23,779
2017-06-22	$73.42	$72.50	11.6%	3.3%	10.5%	19.1%	11.3%	1.5%	1.8%	3.8M	-98.9M	-715.8K	1.89	10.28	N/A	N/A	1,180	2,227	30,951	24,414
2017-06-23	$73.40	$72.50	11.2%	3.2%	10.4%	15.9%	9.9%	1.7%	1.9%	4.2M	-101.0M	-700.6K	1.20	10.06	N/A	N/A	1,016	1,215	31,054	24,416
2017-06-26	$73.58	$72.50	11.5%	3.3%	10.4%	18.3%	11.4%	1.5%	2.3%	4.1M	-101.0M	-697.2K	1.59	9.92	N/A	N/A	773	1,232	31,012	24,371
2017-06-27	$73.23	$72.50	11.5%	3.3%	10.6%	18.6%	10.7%	1.4%	1.7%	3.6M	-95.7M	-697.0K	1.57	6.21	N/A	N/A	826	1,297	31,036	24,274
2017-06-28	$73.62	$72.50	11.2%	3.2%	9.9%	15.8%	10.9%	1.5%	2.2%	4.4M	-104.1M	-689.2K	1.11	6.95	N/A	N/A	921	1,023	31,069	24,475
2017-06-29	$73.08	$72.50	11.2%	3.2%	10.1%	16.1%	11.1%	1.6%	1.9%	3.4M	-91.9M	-686.1K	2.69	11.70	N/A	N/A	757	2,039	31,012	24,421
2017-06-30	$73.56	$72.50	10.7%	3.1%	9.1%	11.5%	10.4%	1.3%	2.6%	3.3M	-99.2M	-678.1K	1.33	9.23	N/A	N/A	569	758	31,001	25,435