WM Options History — August 2017

In August 2017, WM traded between $74.75 and $77.12. ATM implied volatility averaged 10.1%, placing in the 7.0% IV rank vs the trailing year. The 30-day expected move averaged 2.9%. IV traded above realized volatility by 1.0% (HV 20d: 9.1%). Max pain ranged from $75.00 to $75.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 17 of 23 days. Put/call ratio averaged 1.14.

Notable Days

  • 2017-08-17: Highest Volume — 5,591 contracts
  • 2017-08-29: Largest IV drop — 18.3% change
  • 2017-08-28: Highest IV Rank — 16.3%
  • 2017-08-28: Largest Expected Move — 3.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$75.75$74.75$77.12$75.24$77.12
Max Pain$75.00$75.00$75.00$75.00$75.00
ATM IV10.1%8.2%11.2%9.8%8.2%
Expected Move2.9%2.3%3.2%2.8%2.3%
HV 20d9.1%7.0%10.6%9.7%7.3%
HV 60d9.2%8.5%9.8%9.8%8.5%
IV Rank7.0%0.0%16.3%0.5%0.0%
IV Percentile6.8%0.0%22.2%0.4%0.0%
Term Structure0.4%-0.5%2.1%0.7%2.1%
VWIV10.6%8.6%12.7%9.6%8.6%
Skew 25d2.4%0.7%4.7%1.7%3.1%
Skew 10d4.1%-0.2%7.4%3.0%3.0%
Call IV 25d8.9%6.7%9.9%9.4%7.9%
Put IV 25d11.3%10.4%11.8%11.1%10.9%
Bid-Ask Spread %11.743.7219.493.729.72
Gamma HHI0.290.250.330.280.30
Net GEX6.2M4.7M8.0M5.3M8.0M
Net DEX-123.7M-150.6M-102.1M-113.2M-150.6M
Net VEX-641.5K-685.8K-592.7K-609.6K-660.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.140.402.201.512.02
Total Volume2,886.2171,0595,5911,9143,419
Total OI49,920.56547,39153,59547,39151,947

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-08-01$75.24$75.009.8%2.8%9.7%0.5%9.6%1.7%0.7%5.3M-113.2M-609.6K1.513.72N/AN/A7631,15130,09817,293
2017-08-02$75.22$75.0010.2%2.9%9.7%3.9%10.0%4.7%0.5%5.7M-113.4M-603.1K1.674.34N/AN/A7081,18230,41317,175
2017-08-03$75.60$75.009.9%3.0%9.7%1.0%8.9%2.2%0.2%6.2M-119.2M-603.8K2.2010.94N/AN/A8261,81830,44817,309
2017-08-04$75.57$75.009.3%2.9%9.5%0.0%12.3%2.1%0.8%6.1M-119.8M-606.8K0.859.18N/AN/A57549130,61517,214
2017-08-07$75.40$75.009.8%3.0%9.6%3.9%10.6%1.9%0.5%6.1M-118.3M-592.7K1.878.13N/AN/A5651,05930,67617,216
2017-08-08$75.35$75.009.6%3.0%9.4%3.0%10.7%2.3%0.4%5.6M-114.8M-594.6K1.5510.54N/AN/A54684730,65817,777
2017-08-09$75.23$75.0010.1%2.9%9.2%6.9%11.4%2.1%0.8%5.4M-111.7M-597.3K1.0410.61N/AN/A52053930,65118,087
2017-08-10$74.83$75.0010.4%3.0%9.4%9.5%10.3%2.1%0.5%4.7M-102.5M-612.5K1.0712.05N/AN/A1,8091,93730,68618,114
2017-08-11$74.75$75.0010.8%3.1%9.4%12.7%10.8%1.9%0.3%4.7M-102.1M-660.8K1.0415.70N/AN/A1,8601,92731,71118,939
2017-08-14$75.58$75.0010.0%2.9%10.1%6.1%10.5%2.1%0.5%5.3M-119.3M-638.5K0.899.21N/AN/A2,4532,19131,63618,978
2017-08-15$75.85$75.0010.4%3.0%10.1%9.9%12.7%2.4%0.2%5.7M-122.0M-636.6K0.7411.27N/AN/A1,8321,35731,77619,328
2017-08-16$76.04$75.0010.3%2.9%10.1%8.4%10.0%2.2%-0.0%5.8M-126.9M-620.8K0.6513.96N/AN/A2,9021,87931,72419,108
2017-08-17$75.59$75.0010.6%3.0%10.3%11.6%11.3%2.7%0.6%5.2M-126.3M-679.0K0.9419.49N/AN/A2,8892,70233,21819,130
2017-08-18$75.30$75.0010.2%2.9%10.3%7.7%10.4%0.7%0.0%4.9M-120.9M-685.8K0.7413.62N/AN/A1,6911,24533,51320,082
2017-08-21$75.82$75.0010.4%3.0%10.6%9.2%12.4%3.3%0.4%6.8M-123.7M-680.5K1.0713.91N/AN/A1,7161,84231,26518,034
2017-08-22$76.18$75.0010.8%3.1%10.4%13.2%10.9%2.3%-0.2%6.9M-130.1M-674.7K1.2213.91N/AN/A1,4411,75531,63318,318
2017-08-23$76.11$75.0010.9%3.1%8.5%13.9%12.0%2.3%-0.3%7.0M-130.5M-681.8K1.0013.27N/AN/A1,2791,27431,79218,331
2017-08-24$75.69$75.0010.7%3.1%7.7%12.4%9.8%2.1%-0.0%7.0M-125.5M-672.7K0.9117.48N/AN/A1,4151,29131,75918,372
2017-08-25$75.96$75.0010.5%3.0%7.2%10.7%9.1%2.8%-0.0%7.0M-130.4M-669.3K0.9517.40N/AN/A1,3471,27531,82318,442
2017-08-28$76.19$75.0011.2%3.2%7.0%16.3%11.1%3.2%-0.5%7.2M-132.5M-671.8K0.7811.48N/AN/A1,6301,27731,99918,442
2017-08-29$76.79$75.009.1%2.6%7.4%0.0%10.0%2.2%1.4%7.4M-144.6M-644.7K0.4010.41N/AN/A2,46999232,21018,459
2017-08-30$76.86$75.009.0%2.6%7.4%0.0%9.9%3.3%1.6%7.9M-146.0M-656.9K1.039.60N/AN/A83486333,04118,733
2017-08-31$77.12$75.008.2%2.3%7.3%0.0%8.6%3.1%2.1%8.0M-150.6M-660.5K2.029.72N/AN/A1,1342,28533,18218,765