WM Options History — September 2017

In September 2017, WM traded between $75.97 and $78.61. ATM implied volatility averaged 10.6%, placing in the 19.1% IV rank vs the trailing year. The 30-day expected move averaged 3.0%. IV traded above realized volatility by 0.8% (HV 20d: 9.8%). 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 20 of 20 days. Put/call ratio averaged 1.31.

Notable Days

  • 2017-09-21: Highest Volume — 10,900 contracts
  • 2017-09-05: Largest IV spike — 51.7% change
  • 2017-09-05: Highest IV Rank — 35.8%
  • 2017-09-07: Largest Expected Move — 3.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$77.77$75.97$78.61$77.22$78.28
Max Pain$74.75$72.50$75.00$75.00$75.00
ATM IV10.6%8.3%12.7%8.3%10.3%
Expected Move3.0%2.4%3.3%2.4%2.9%
HV 20d9.8%7.3%10.6%7.3%9.6%
HV 60d8.9%8.1%9.3%8.1%8.8%
IV Rank19.1%1.6%35.8%1.6%17.0%
IV Percentile16.1%0.4%46.0%0.4%11.1%
Term Structure2.0%1.2%3.1%1.6%2.6%
VWIV10.8%9.0%15.9%9.0%10.2%
Skew 25d2.1%1.5%2.4%2.1%1.9%
Skew 10d5.0%3.6%6.5%3.6%4.7%
Call IV 25d9.7%7.9%11.2%7.9%9.3%
Put IV 25d11.7%10.0%13.3%10.0%11.2%
Bid-Ask Spread %10.998.1014.3213.8111.62
Gamma HHI0.260.220.300.280.26
Net GEX7.6M6.0M8.4M7.6M8.2M
Net DEX-147.5M-161.1M-114.9M-152.7M-147.7M
Net VEX-659.7K-703.2K-597.9K-660.0K-688.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.310.333.990.911.56
Total Volume3,875.22,05810,9002,5152,557
Total OI55,751.5551,20362,52452,69462,524

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-09-01$77.22$75.008.3%2.4%7.3%1.6%9.0%2.1%1.6%7.6M-152.7M-660.0K0.9113.81N/AN/A1,3201,19533,39519,299
2017-09-05$75.97$72.5012.7%3.2%9.5%35.8%11.0%2.3%1.5%7.4M-128.1M-680.5K1.4810.50N/AN/A9231,36933,45119,220
2017-09-06$76.12$72.5011.9%3.3%9.5%30.1%15.9%2.4%1.3%7.5M-128.5M-686.4K0.3311.71N/AN/A3,9701,31533,68519,923
2017-09-07$76.07$75.0011.2%3.3%9.5%24.3%11.2%2.4%1.2%6.6M-114.9M-654.8K0.9912.56N/AN/A1,7031,68131,19220,011
2017-09-08$77.13$75.0010.0%3.3%10.3%14.4%12.3%2.2%1.6%7.8M-131.0M-686.1K0.8214.32N/AN/A3,0352,48731,90520,231
2017-09-11$77.69$75.0010.5%3.3%10.5%18.5%11.3%2.1%1.6%7.0M-144.1M-675.3K0.878.91N/AN/A2,4972,16333,04821,245
2017-09-12$78.33$75.0010.3%3.1%10.2%17.4%11.1%2.3%1.7%6.8M-158.3M-636.0K1.3010.04N/AN/A1,2681,64932,64421,147
2017-09-13$77.80$75.0011.0%3.2%10.6%22.5%10.7%2.1%1.4%6.2M-151.1M-621.7K0.909.44N/AN/A1,7101,53732,79421,475
2017-09-14$77.80$75.0010.7%3.1%10.6%19.8%10.8%2.1%1.6%6.0M-147.7M-652.0K1.2511.99N/AN/A1,1661,46033,09321,561
2017-09-15$77.92$75.0010.6%3.0%10.3%19.1%10.6%2.4%1.7%7.5M-153.3M-641.5K0.6011.62N/AN/A1,30178133,02321,582
2017-09-18$78.19$75.0010.4%3.0%10.1%17.6%10.2%2.3%2.3%7.8M-157.6M-597.9K0.7510.81N/AN/A1,24593332,42919,881
2017-09-19$78.25$75.0010.4%3.0%9.9%18.1%10.9%2.0%2.4%8.1M-155.9M-634.1K0.858.10N/AN/A1,2721,08132,69619,963
2017-09-20$78.41$75.0010.6%3.0%9.9%19.5%10.3%2.0%2.2%8.1M-161.1M-603.3K0.8810.25N/AN/A1,09596332,88120,070
2017-09-21$78.28$75.0010.1%2.9%9.9%15.4%9.8%2.2%2.3%8.0M-158.4M-606.4K1.0410.06N/AN/A5,3435,55732,93920,167
2017-09-22$78.25$75.0010.0%2.9%9.6%14.9%9.1%1.9%2.5%8.1M-149.4M-702.9K3.7210.12N/AN/A1,5065,60937,02324,126
2017-09-25$78.60$75.0011.0%3.1%9.6%22.4%10.9%1.9%2.2%8.1M-156.3M-692.9K3.9910.88N/AN/A1,4235,67837,29324,183
2017-09-26$78.61$75.0010.4%3.0%9.6%18.1%10.1%1.5%2.7%8.1M-158.2M-688.8K1.4711.11N/AN/A1,1051,62037,26524,266
2017-09-27$78.35$75.0010.3%3.0%9.5%17.4%9.4%1.8%2.9%8.3M-153.3M-681.0K1.1511.01N/AN/A1,4491,66637,34524,286
2017-09-28$78.04$75.0010.3%3.0%9.6%17.1%10.0%1.5%3.1%8.4M-143.1M-703.2K1.3011.00N/AN/A1,2501,62237,42024,350
2017-09-29$78.28$75.0010.3%2.9%9.6%17.0%10.2%1.9%2.6%8.2M-147.7M-688.7K1.5611.62N/AN/A1,0001,55737,43525,089