WM Options History — December 2017

In December 2017, WM traded between $81.96 and $86.41. ATM implied volatility averaged 14.2%, placing in the 48.1% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded above realized volatility by 3.2% (HV 20d: 11.0%). Max pain ranged from $77.50 to $82.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.52.

Notable Days

  • 2017-12-05: Highest Volume — 13,216 contracts
  • 2017-12-11: Largest IV spike — 28.5% change
  • 2017-12-11: Highest IV Rank — 70.9%
  • 2017-12-05: Largest Expected Move — 4.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$85.02$81.96$86.41$81.96$86.41
Max Pain$78.50$77.50$82.50$82.50$80.00
ATM IV14.2%11.8%17.1%13.4%11.9%
Expected Move3.9%3.4%4.3%3.8%3.4%
HV 20d11.0%9.7%12.2%10.1%9.7%
HV 60d15.3%13.2%15.6%15.2%13.2%
IV Rank48.1%29.0%70.9%41.6%29.7%
IV Percentile75.4%49.2%96.0%68.3%50.8%
Term Structure2.6%0.3%4.0%0.3%4.0%
VWIV13.8%12.3%15.3%13.8%12.8%
Skew 25d2.1%1.2%3.4%1.2%1.3%
Skew 10d4.8%2.6%6.4%4.0%2.6%
Call IV 25d12.9%11.8%14.2%13.6%12.0%
Put IV 25d15.1%13.2%16.5%14.8%13.2%
Bid-Ask Spread %14.4910.4119.8319.8314.90
Gamma HHI0.400.340.500.480.34
Net GEX12.5M8.9M16.7M8.9M11.4M
Net DEX-229.4M-262.6M-135.5M-135.5M-260.5M
Net VEX-876.5K-927.9K-733.5K-749.1K-885.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.520.141.210.150.66
Total Volume6,119.91,78613,2168,8173,907
Total OI69,385.6556,06774,65556,06774,655

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-12-01$81.96$82.5013.4%3.8%10.1%41.6%13.8%1.2%0.3%8.9M-135.5M-749.1K0.1519.83N/AN/A7,6571,16033,70022,367
2017-12-04$83.17$77.5016.2%4.1%11.4%64.1%13.8%3.4%1.9%10.8M-166.4M-733.5K0.5516.84N/AN/A1,79698735,51522,548
2017-12-05$83.40$77.5016.3%4.3%11.1%64.3%14.7%2.2%1.8%10.9M-168.8M-737.5K0.1413.14N/AN/A11,5461,67035,69622,693
2017-12-06$83.47$77.5016.3%4.2%11.0%64.5%14.7%2.1%1.7%14.4M-207.7M-927.9K1.0413.31N/AN/A87790945,87923,218
2017-12-07$83.93$77.5014.2%3.9%11.1%48.0%14.0%1.9%2.3%15.2M-215.8M-922.3K0.4718.59N/AN/A1,87887445,92123,381
2017-12-08$84.52$77.5013.3%3.6%11.1%40.8%13.3%2.2%2.9%16.2M-236.0M-912.1K0.4614.97N/AN/A2,10496946,95623,365
2017-12-11$85.37$77.5017.1%3.9%11.4%70.9%15.0%2.3%1.9%15.3M-262.6M-892.4K1.2114.51N/AN/A3,3424,02747,93323,462
2017-12-12$84.68$77.5016.6%3.8%11.6%67.0%14.1%2.1%2.5%15.4M-238.3M-909.0K0.7314.89N/AN/A3,6672,69547,20725,020
2017-12-13$85.30$77.5014.2%4.1%11.7%47.8%15.3%2.6%2.2%14.4M-251.6M-915.4K0.7716.93N/AN/A2,5691,97647,38525,055
2017-12-14$84.69$77.5013.5%3.9%11.7%42.1%14.1%2.3%2.6%16.7M-234.0M-908.3K0.4814.01N/AN/A3,3551,61746,95825,617
2017-12-15$85.70$77.5014.0%4.0%12.2%46.2%13.9%2.4%2.0%11.0M-261.8M-881.2K0.6217.20N/AN/A3,3782,09646,43225,725
2017-12-18$86.11$77.5014.2%4.1%11.0%48.3%14.5%2.1%2.4%10.9M-245.1M-879.5K0.2011.57N/AN/A7,0091,41444,36123,544
2017-12-19$85.79$77.5014.1%4.0%11.2%47.1%14.5%2.1%2.4%11.3M-244.7M-890.9K0.1710.41N/AN/A4,98485645,02423,475
2017-12-20$85.79$77.5013.9%4.0%11.2%45.3%13.0%1.7%3.2%11.0M-243.3M-894.9K0.4113.94N/AN/A6,7692,80144,86623,746
2017-12-21$85.88$80.0013.4%3.8%10.6%41.3%12.4%1.9%3.4%11.0M-238.3M-927.3K0.6713.05N/AN/A4,4992,99447,08425,778
2017-12-22$85.91$80.0013.3%3.8%10.6%40.8%12.3%2.3%3.0%11.1M-241.7M-919.3K0.6310.43N/AN/A4,6272,90047,13126,120
2017-12-26$85.87$80.0013.3%3.8%10.7%40.8%13.3%2.0%3.4%11.4M-240.3M-887.9K0.4715.92N/AN/A3,7061,76047,21426,202
2017-12-27$86.10$80.0013.4%3.8%10.4%41.4%12.7%2.4%3.3%11.3M-245.8M-890.7K0.3312.87N/AN/A3,7391,25147,22026,018
2017-12-28$86.29$80.0011.8%3.4%9.8%29.0%13.1%2.3%4.0%11.5M-248.9M-865.0K0.3112.59N/AN/A6,1151,91847,20226,040
2017-12-29$86.41$80.0011.9%3.4%9.7%29.7%12.8%1.3%4.0%11.4M-260.5M-885.2K0.6614.90N/AN/A2,3601,54747,99726,658