WM Options History — October 2017

In October 2017, WM traded between $76.27 and $82.32. ATM implied volatility averaged 12.7%, placing in the 36.0% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded below realized volatility by 3.3% (HV 20d: 16.0%). Max pain ranged from $75.00 to $80.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 1.28.

Notable Days

  • 2017-10-26: Highest Volume — 9,316 contracts
  • 2017-10-04: Largest IV spike — 37.7% change
  • 2017-10-16: Highest IV Rank — 53.3%
  • 2017-10-16: Largest Expected Move — 4.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$78.09$76.27$82.32$78.71$82.25
Max Pain$79.32$75.00$80.00$75.00$80.00
ATM IV12.7%9.0%14.9%10.5%10.5%
Expected Move3.8%2.6%4.3%3.0%3.0%
HV 20d16.0%7.5%22.7%9.8%22.6%
HV 60d11.9%8.8%14.6%8.8%14.6%
IV Rank36.0%7.1%53.3%19.0%18.5%
IV Percentile50.0%1.2%77.4%18.3%17.9%
Term Structure-0.6%-2.2%3.8%2.8%-0.0%
VWIV13.7%9.9%16.0%10.6%11.9%
Skew 25d2.4%0.8%4.5%0.8%4.5%
Skew 10d6.1%2.4%9.6%5.7%9.6%
Call IV 25d12.5%8.3%14.1%10.0%8.3%
Put IV 25d14.9%10.8%17.0%10.8%12.8%
Bid-Ask Spread %11.847.1116.5411.427.11
Gamma HHI0.290.180.610.250.18
Net GEX7.3M4.3M13.9M8.2M4.9M
Net DEX-134.0M-207.1M-97.5M-158.2M-205.0M
Net VEX-674.1K-736.7K-545.9K-677.2K-545.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.280.502.791.102.79
Total Volume3,767.9092,0559,3162,0553,069
Total OI64,663.36457,80369,84162,56661,297

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-10-02$78.71$75.0010.5%3.0%9.8%19.0%10.6%0.8%2.8%8.2M-158.2M-677.2K1.1011.42N/AN/A9801,07537,45525,111
2017-10-03$79.21$75.009.0%2.6%7.5%7.1%9.9%2.7%3.8%8.0M-167.9M-689.8K1.358.25N/AN/A1,3761,85637,47025,108
2017-10-04$76.27$75.0012.4%3.6%16.0%34.1%13.4%1.6%2.0%7.7M-97.5M-710.0K1.208.47N/AN/A2,9343,52237,62724,785
2017-10-05$76.68$80.0011.5%4.1%16.1%26.6%14.5%2.9%-1.0%7.9M-108.9M-718.1K0.8413.98N/AN/A2,2221,87138,74926,540
2017-10-06$76.27$80.0012.4%4.0%15.4%34.0%15.0%2.8%-1.1%7.7M-100.0M-719.8K1.108.54N/AN/A1,3761,51739,25126,786
2017-10-09$76.73$80.0012.3%4.2%15.4%33.1%15.0%2.8%-1.6%8.2M-112.2M-718.7K1.679.47N/AN/A1,2022,01139,42026,927
2017-10-10$76.68$80.0012.3%4.2%15.0%32.6%15.3%2.7%-1.5%8.1M-107.9M-736.7K2.0412.59N/AN/A9631,96039,35227,384
2017-10-11$77.09$80.0014.5%4.2%15.0%50.7%14.3%2.4%-1.4%8.7M-120.8M-723.8K0.8310.00N/AN/A1,8131,51239,49727,381
2017-10-12$76.88$80.0014.4%4.1%15.0%49.6%14.7%2.7%-1.4%8.8M-119.4M-705.6K0.5414.67N/AN/A1,8601,00540,08227,317
2017-10-13$76.95$80.0014.4%4.1%15.0%49.4%14.5%2.6%-1.4%9.0M-123.2M-701.8K0.5014.70N/AN/A2,0201,00140,27427,411
2017-10-16$76.69$80.0014.9%4.3%15.0%53.3%14.8%3.4%-2.2%8.8M-115.9M-689.4K0.5513.81N/AN/A2,8791,57340,44027,478
2017-10-17$76.93$80.0014.0%4.0%15.0%46.4%15.3%2.4%-1.5%9.4M-119.4M-685.9K2.2614.75N/AN/A1,4043,16840,48928,099
2017-10-18$76.97$80.0013.7%3.9%15.0%43.9%14.1%2.6%-1.2%9.3M-114.3M-705.3K1.4913.36N/AN/A1,2731,89440,52229,319
2017-10-19$77.33$80.0013.6%3.9%15.1%43.1%13.7%2.2%-1.3%13.9M-125.7M-673.8K0.9813.46N/AN/A1,6271,58740,53029,210
2017-10-20$77.72$80.0013.6%3.9%15.3%43.0%13.1%2.5%-1.3%4.3M-142.7M-680.3K0.5514.89N/AN/A2,0611,12540,43129,069
2017-10-23$77.74$80.0013.7%3.9%15.1%44.3%13.7%1.8%-1.1%4.5M-106.5M-658.3K1.5811.49N/AN/A1,2461,97333,71624,087
2017-10-24$77.94$80.0014.0%4.0%15.2%46.3%13.6%1.9%-1.5%4.5M-107.5M-679.0K0.8110.13N/AN/A1,18896633,96025,059
2017-10-25$77.55$80.0014.6%4.2%15.2%51.2%16.0%2.7%-1.9%4.3M-98.6M-676.0K2.3411.51N/AN/A1,6213,79434,15024,989
2017-10-26$81.12$80.0011.4%3.3%22.1%25.8%13.2%1.8%0.1%4.9M-185.3M-602.4K1.2016.54N/AN/A4,2355,08134,57126,678
2017-10-27$82.32$80.0010.3%2.9%22.6%16.7%11.6%1.5%0.5%4.9M-207.1M-581.4K1.1913.42N/AN/A2,1532,55234,58128,820
2017-10-30$81.94$80.0011.1%3.2%22.7%23.3%12.3%0.9%-0.2%5.2M-203.6M-551.3K1.218.03N/AN/A1,0621,28734,83726,335
2017-10-31$82.25$80.0010.5%3.0%22.6%18.5%11.9%4.5%-0.0%4.9M-205.0M-545.9K2.797.11N/AN/A8092,26034,90126,396