WM Options History — November 2017

In November 2017, WM traded between $80.34 and $82.62. ATM implied volatility averaged 12.0%, placing in the 30.8% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded below realized volatility by 4.9% (HV 20d: 16.9%). Max pain ranged from $77.50 to $82.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.80.

Notable Days

2017-11-29: Highest Volume — 19,095 contracts
2017-11-02: Largest IV drop — 17.2% change
2017-11-30: Highest IV Rank — 40.6%
2017-11-30: Largest Expected Move — 3.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$81.48	$80.34	$82.62	$81.04	$82.53
Max Pain	$79.88	$77.50	$82.50	$80.00	$82.50
ATM IV	12.0%	10.3%	13.3%	12.5%	13.3%
Expected Move	3.5%	3.2%	3.8%	3.6%	3.8%
HV 20d	16.9%	10.1%	19.8%	18.4%	10.1%
HV 60d	15.1%	14.9%	15.3%	15.0%	15.1%
IV Rank	30.8%	17.4%	40.6%	34.5%	40.6%
IV Percentile	49.9%	13.9%	67.9%	54.0%	67.9%
Term Structure	1.5%	-0.3%	2.4%	-0.3%	0.2%
VWIV	12.5%	11.2%	14.2%	11.5%	13.3%
Skew 25d	2.4%	1.7%	2.8%	2.3%	2.7%
Skew 10d	5.5%	3.4%	7.3%	6.7%	4.6%
Call IV 25d	11.4%	10.6%	12.5%	10.9%	11.8%
Put IV 25d	13.8%	12.5%	15.2%	13.2%	14.5%
Bid-Ask Spread %	13.62	8.02	23.41	13.79	14.43
Gamma HHI	0.40	0.18	0.49	0.18	0.49
Net GEX	8.7M	5.0M	10.1M	5.0M	9.4M
Net DEX	-213.2M	-262.5M	-147.1M	-180.7M	-147.1M
Net VEX	-780.3K	-862.2K	-599.3K	-602.9K	-741.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.80	0.05	1.82	1.82	0.14
Total Volume	4,085	1,376	19,095	2,555	7,040
Total OI	70,034.524	55,855	77,002	62,425	55,855

Daily Data (21 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
2017-11-01	$81.04	$80.00	12.5%	3.6%	18.4%	34.5%	11.5%	2.3%	-0.3%	5.0M	-180.7M	-602.9K	1.82	13.79	N/A	N/A	906	1,649	34,923	27,502
2017-11-02	$81.67	$77.50	10.3%	3.2%	18.4%	17.4%	11.2%	2.2%	0.2%	5.2M	-193.3M	-599.3K	0.19	23.41	N/A	N/A	9,093	1,706	35,221	27,800
2017-11-03	$81.79	$77.50	11.9%	3.8%	18.2%	29.6%	13.7%	2.8%	1.5%	7.3M	-221.7M	-797.1K	0.17	17.86	N/A	N/A	8,521	1,446	43,016	27,918
2017-11-06	$81.30	$80.00	11.9%	3.6%	18.4%	30.1%	13.4%	2.5%	2.1%	9.1M	-223.9M	-862.2K	0.34	13.06	N/A	N/A	2,604	894	47,289	28,412
2017-11-07	$81.66	$80.00	11.6%	3.5%	18.4%	27.0%	12.8%	2.8%	2.4%	9.7M	-238.4M	-838.7K	1.01	11.26	N/A	N/A	1,046	1,057	47,884	28,458
2017-11-08	$81.82	$80.00	12.1%	3.5%	18.4%	31.2%	12.3%	2.5%	2.0%	9.8M	-248.2M	-836.5K	0.85	14.12	N/A	N/A	1,250	1,065	48,006	28,560
2017-11-09	$81.44	$80.00	12.1%	3.5%	18.5%	31.2%	12.5%	2.3%	2.2%	9.8M	-231.2M	-846.3K	0.54	12.13	N/A	N/A	1,662	899	47,970	28,572
2017-11-10	$81.33	$80.00	12.0%	3.4%	18.5%	30.4%	12.4%	2.5%	2.1%	9.9M	-231.2M	-844.3K	1.39	15.68	N/A	N/A	705	978	47,967	28,644
2017-11-13	$82.16	$80.00	12.0%	3.4%	18.6%	30.5%	12.0%	2.6%	2.1%	10.1M	-256.8M	-795.2K	0.69	11.54	N/A	N/A	1,674	1,160	47,956	28,559
2017-11-14	$82.43	$80.00	11.7%	3.4%	18.6%	28.2%	12.5%	2.3%	1.9%	9.8M	-262.5M	-787.0K	1.09	9.61	N/A	N/A	955	1,042	47,892	28,798
2017-11-15	$81.82	$80.00	11.8%	3.4%	18.9%	29.3%	12.2%	2.2%	1.7%	9.8M	-248.7M	-810.9K	0.94	9.30	N/A	N/A	913	859	47,990	28,896
2017-11-16	$81.74	$80.00	11.5%	3.3%	19.0%	26.6%	11.6%	2.2%	2.3%	10.1M	-240.6M	-809.7K	0.86	16.05	N/A	N/A	1,160	998	48,005	28,930
2017-11-17	$80.77	$80.00	12.4%	3.6%	19.7%	33.7%	12.4%	2.6%	1.7%	9.0M	-228.6M	-784.2K	1.32	15.81	N/A	N/A	1,654	2,185	48,059	28,943
2017-11-20	$80.94	$80.00	12.4%	3.6%	19.6%	33.9%	11.9%	2.7%	1.3%	7.9M	-182.1M	-790.1K	0.53	8.02	N/A	N/A	1,978	1,055	41,986	22,050
2017-11-21	$80.91	$80.00	12.4%	3.6%	19.7%	33.6%	12.7%	1.7%	1.3%	8.1M	-189.9M	-768.6K	0.77	8.64	N/A	N/A	1,363	1,053	42,555	22,022
2017-11-22	$80.34	$80.00	12.2%	3.5%	19.8%	32.3%	12.4%	2.7%	1.4%	7.8M	-174.8M	-780.9K	1.01	16.26	N/A	N/A	758	767	42,579	22,077
2017-11-24	$80.38	$80.00	12.3%	3.5%	11.4%	33.1%	13.4%	2.6%	1.4%	7.8M	-173.4M	-780.2K	1.34	16.92	N/A	N/A	587	789	42,601	22,119
2017-11-27	$80.87	$80.00	12.7%	3.7%	10.2%	36.4%	14.2%	1.9%	0.7%	8.1M	-183.4M	-769.4K	1.06	11.33	N/A	N/A	677	718	42,647	22,171
2017-11-28	$81.61	$80.00	11.0%	3.2%	10.7%	22.9%	12.1%	1.8%	1.5%	9.2M	-198.9M	-771.3K	0.73	13.34	N/A	N/A	1,057	767	42,663	22,160
2017-11-29	$82.62	$80.00	12.4%	3.6%	11.5%	33.7%	12.8%	2.5%	1.5%	9.5M	-221.4M	-770.2K	0.05	13.51	N/A	N/A	18,145	950	42,861	22,209
2017-11-30	$82.53	$82.50	13.3%	3.8%	10.1%	40.6%	13.3%	2.7%	0.2%	9.4M	-147.1M	-741.5K	0.14	14.43	N/A	N/A	6,157	883	33,515	22,340