WM Options History — July 2017

In July 2017, WM traded between $73.40 and $75.67. ATM implied volatility averaged 12.0%, placing in the 20.1% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded above realized volatility by 4.0% (HV 20d: 8.0%). Max pain ranged from $72.50 to $75.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 1.32.

Notable Days

  • 2017-07-25: Highest Volume — 6,546 contracts
  • 2017-07-12: Largest IV spike — 22.6% change
  • 2017-07-25: Highest IV Rank — 34.3%
  • 2017-07-06: Largest Expected Move — 4.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$74.51$73.40$75.67$73.40$75.25
Max Pain$73.25$72.50$75.00$72.50$75.00
ATM IV12.0%10.0%13.6%10.8%10.3%
Expected Move3.6%2.9%4.0%3.1%3.0%
HV 20d8.0%6.4%9.9%9.0%9.8%
HV 60d10.3%8.7%11.0%10.9%9.9%
IV Rank20.1%1.7%34.3%12.6%5.0%
IV Percentile28.0%0.4%52.4%6.3%4.4%
Term Structure-0.2%-1.0%3.2%3.2%0.3%
VWIV12.7%9.6%14.2%11.3%9.6%
Skew 25d2.0%0.5%2.7%1.8%1.7%
Skew 10d4.9%0.7%7.4%5.3%2.9%
Call IV 25d11.8%9.6%13.0%9.9%10.0%
Put IV 25d13.8%11.2%15.3%11.7%11.7%
Bid-Ask Spread %12.296.2046.1120.847.62
Gamma HHI0.370.230.590.340.28
Net GEX6.4M2.2M13.9M3.5M5.3M
Net DEX-114.7M-143.8M-93.8M-99.0M-112.9M
Net VEX-626.4K-678.8K-587.8K-675.9K-625.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.320.665.495.490.83
Total Volume2,359.71,3286,5464,0981,855
Total OI54,218.543,25559,25756,49147,330

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-07-03$73.40$72.5010.8%3.1%9.0%12.6%11.3%1.8%3.2%3.5M-99.0M-675.9K5.4920.84N/AN/A6313,46731,03925,452
2017-07-05$73.68$72.5013.0%3.7%8.7%29.6%13.7%2.7%-0.3%2.9M-98.0M-678.8K1.2446.11N/AN/A64880431,03826,511
2017-07-06$73.43$72.5012.0%4.0%8.7%20.1%14.1%2.7%-0.8%2.2M-93.8M-676.6K1.1013.54N/AN/A73981031,04526,476
2017-07-07$73.88$72.5010.4%3.7%7.8%5.8%13.6%2.4%-0.4%3.7M-104.7M-670.2K1.0910.04N/AN/A82189931,21926,410
2017-07-10$74.11$72.5010.5%3.7%7.9%7.0%13.3%2.6%-0.4%4.7M-113.0M-639.9K0.909.98N/AN/A92283131,19026,362
2017-07-11$73.81$72.5010.5%3.7%8.1%6.5%14.2%2.4%-0.5%4.3M-108.4M-646.4K0.977.81N/AN/A72870731,30626,358
2017-07-12$74.27$72.5012.9%3.7%7.8%28.0%13.5%2.5%-0.4%6.0M-118.4M-628.6K0.9310.39N/AN/A80274231,32426,378
2017-07-13$74.08$72.5013.0%3.7%7.9%29.4%13.8%2.1%-0.7%5.9M-115.7M-622.2K1.2810.80N/AN/A58374531,39926,352
2017-07-14$74.27$72.5012.4%3.6%7.1%23.7%13.3%2.0%-0.3%7.2M-119.6M-615.6K1.0910.22N/AN/A65371031,60026,358
2017-07-17$74.55$72.5013.4%3.9%7.3%33.3%13.4%1.9%-0.9%8.6M-123.4M-613.1K1.657.59N/AN/A1,0521,74131,55426,371
2017-07-18$74.83$72.5013.4%3.9%7.3%33.4%13.3%1.7%-1.0%10.7M-130.9M-606.2K0.778.40N/AN/A98075731,87226,330
2017-07-19$74.81$72.5013.1%3.7%7.1%30.0%12.3%2.3%-0.6%11.5M-130.4M-600.2K0.696.20N/AN/A1,08974831,96926,322
2017-07-20$75.00$72.5012.9%3.7%6.4%28.0%14.0%2.0%-0.7%13.9M-136.7M-587.8K1.828.73N/AN/A9751,77732,18826,316
2017-07-21$75.32$72.5013.0%3.7%6.5%28.9%13.0%1.9%-0.8%12.1M-143.8M-594.2K1.2210.28N/AN/A1,6872,05132,13627,121
2017-07-24$75.11$75.0013.5%3.9%6.7%33.8%13.2%2.1%-0.8%4.8M-107.1M-608.4K1.199.59N/AN/A66979927,49015,765
2017-07-25$75.67$75.0013.6%3.9%7.0%34.3%13.8%1.9%-0.7%5.0M-114.8M-590.6K0.6616.06N/AN/A3,9322,61427,63915,785
2017-07-26$74.49$75.0010.7%3.1%9.1%8.7%11.0%0.9%0.3%5.0M-102.2M-610.7K0.919.68N/AN/A2,2932,08929,79416,132
2017-07-27$75.41$75.0010.0%2.9%9.8%1.7%9.8%1.6%0.9%5.6M-113.9M-612.9K1.1915.48N/AN/A9701,15630,08617,027
2017-07-28$74.83$75.0010.1%2.9%9.9%2.6%10.1%0.5%0.4%5.0M-106.8M-624.4K1.436.51N/AN/A7071,01130,08717,239
2017-07-31$75.25$75.0010.3%3.0%9.8%5.0%9.6%1.7%0.3%5.3M-112.9M-625.9K0.837.62N/AN/A1,01284330,08117,249