WM Options History — January 2018

In January 2018, WM traded between $86.09 and $89.43. ATM implied volatility averaged 17.4%, placing in the 72.6% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 8.5% (HV 20d: 9.0%). Max pain ranged from $80.00 to $87.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.66.

Notable Days

2018-01-02: Highest Volume — 17,828 contracts
2018-01-10: Largest IV spike — 31.3% change
2018-01-30: Highest IV Rank — 100.0%
2018-01-31: Largest Expected Move — 6.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$88.11	$86.09	$89.43	$86.09	$88.49
Max Pain	$86.67	$80.00	$87.50	$80.00	$87.50
ATM IV	17.4%	13.7%	22.3%	15.4%	22.3%
Expected Move	5.2%	4.1%	6.4%	4.4%	6.4%
HV 20d	9.0%	7.7%	10.1%	9.3%	10.0%
HV 60d	12.5%	9.8%	13.7%	13.2%	9.8%
IV Rank	72.6%	43.8%	100.0%	57.7%	100.0%
IV Percentile	92.4%	75.0%	100.0%	88.1%	100.0%
Term Structure	-0.4%	-3.0%	4.0%	3.9%	-3.0%
VWIV	18.2%	14.5%	22.7%	15.5%	21.7%
Skew 25d	1.6%	0.6%	2.0%	1.8%	1.4%
Skew 10d	3.1%	0.7%	6.0%	4.1%	2.1%
Call IV 25d	17.7%	13.9%	21.5%	14.8%	21.3%
Put IV 25d	19.3%	15.9%	23.1%	16.5%	22.8%
Bid-Ask Spread %	13.90	8.76	19.66	13.14	18.23
Gamma HHI	0.24	0.20	0.33	0.33	0.20
Net GEX	11.7M	9.7M	14.0M	11.4M	10.6M
Net DEX	-288.8M	-344.4M	-225.6M	-248.4M	-239.8M
Net VEX	-972.1K	-1.0M	-914.3K	-914.3K	-1.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.66	0.24	1.61	0.24	0.49
Total Volume	5,542	2,926	17,828	17,828	3,178
Total OI	77,188.714	58,687	89,758	75,266	65,580

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
2018-01-02	$86.09	$80.00	15.4%	4.4%	9.3%	57.7%	15.5%	1.8%	3.9%	11.4M	-248.4M	-914.3K	0.24	13.14	N/A	N/A	14,424	3,404	48,444	26,822
2018-01-03	$87.44	$80.00	14.2%	4.1%	9.5%	47.8%	14.5%	1.9%	4.0%	12.9M	-304.0M	-979.7K	0.35	12.11	N/A	N/A	4,741	1,666	54,662	28,930
2018-01-04	$88.02	$85.00	14.7%	5.2%	9.6%	52.1%	18.3%	1.9%	-0.5%	12.6M	-319.6M	-973.1K	0.42	19.66	N/A	N/A	5,071	2,148	54,728	29,466
2018-01-05	$87.97	$87.50	13.7%	5.0%	9.7%	43.8%	17.9%	2.0%	0.0%	12.9M	-320.1M	-970.7K	0.52	14.99	N/A	N/A	3,727	1,954	55,240	29,570
2018-01-08	$88.07	$87.50	13.7%	5.0%	9.6%	44.0%	17.7%	1.8%	-0.5%	13.0M	-328.3M	-951.0K	0.77	12.39	N/A	N/A	2,797	2,151	55,735	30,144
2018-01-09	$87.67	$87.50	13.7%	5.1%	9.8%	43.8%	17.9%	1.5%	-1.1%	12.4M	-310.4M	-976.7K	0.78	15.08	N/A	N/A	2,854	2,225	55,611	31,384
2018-01-10	$87.27	$87.50	17.9%	5.1%	9.5%	77.8%	18.2%	1.6%	-0.8%	13.3M	-300.3M	-988.7K	0.81	13.35	N/A	N/A	2,554	2,063	56,008	31,631
2018-01-11	$88.13	$87.50	17.7%	5.1%	9.3%	75.5%	17.6%	2.0%	-1.0%	12.5M	-324.8M	-987.9K	0.33	14.42	N/A	N/A	3,629	1,213	56,443	31,790
2018-01-12	$88.16	$87.50	17.5%	5.0%	9.1%	74.1%	17.4%	1.6%	-0.7%	12.9M	-331.8M	-960.9K	0.32	17.04	N/A	N/A	3,962	1,253	56,337	32,064
2018-01-16	$88.24	$87.50	18.2%	5.2%	8.5%	79.8%	18.2%	1.8%	-0.7%	13.0M	-339.1M	-957.9K	0.70	14.66	N/A	N/A	2,554	1,778	57,182	31,997
2018-01-17	$88.46	$87.50	18.1%	5.2%	7.7%	78.6%	18.1%	1.5%	-0.4%	12.6M	-344.4M	-952.2K	0.71	11.09	N/A	N/A	2,403	1,698	57,031	31,716
2018-01-18	$87.98	$87.50	17.9%	5.1%	8.0%	77.4%	18.3%	1.2%	-0.7%	14.0M	-331.2M	-949.6K	0.82	15.08	N/A	N/A	2,994	2,447	57,058	31,879
2018-01-19	$88.08	$87.50	17.8%	5.1%	7.8%	76.1%	17.6%	1.7%	-0.5%	10.1M	-341.8M	-954.4K	0.71	9.94	N/A	N/A	2,977	2,112	56,998	32,760
2018-01-22	$88.66	$87.50	17.7%	5.1%	8.0%	75.9%	17.9%	1.1%	0.3%	10.3M	-235.6M	-920.2K	0.55	14.08	N/A	N/A	3,593	1,960	43,543	15,144
2018-01-23	$88.65	$87.50	18.1%	5.2%	8.0%	78.5%	17.7%	1.7%	-0.3%	9.9M	-240.6M	-975.5K	0.69	14.13	N/A	N/A	2,880	1,983	45,085	15,562
2018-01-24	$88.56	$87.50	18.3%	5.2%	8.1%	80.4%	17.9%	1.6%	-0.3%	10.4M	-242.0M	-993.8K	0.74	13.09	N/A	N/A	2,669	1,988	45,629	16,105
2018-01-25	$88.50	$87.50	18.7%	5.4%	8.1%	83.4%	18.6%	1.4%	-0.5%	10.6M	-240.5M	-999.8K	0.68	10.43	N/A	N/A	1,737	1,189	45,914	16,417
2018-01-26	$89.43	$87.50	18.3%	5.2%	8.7%	80.6%	18.5%	0.6%	-0.8%	10.4M	-260.6M	-968.5K	0.43	8.76	N/A	N/A	2,321	1,002	46,051	16,578
2018-01-29	$88.35	$87.50	20.4%	5.8%	10.0%	96.9%	21.0%	1.2%	-1.4%	10.6M	-236.4M	-992.9K	1.61	14.92	N/A	N/A	2,394	3,866	46,232	16,756
2018-01-30	$88.08	$87.50	22.1%	6.3%	10.1%	100.0%	22.7%	1.6%	-2.4%	9.7M	-225.6M	-1.0M	1.15	15.23	N/A	N/A	2,239	2,584	46,587	18,150
2018-01-31	$88.49	$87.50	22.3%	6.4%	10.0%	100.0%	21.7%	1.4%	-3.0%	10.6M	-239.8M	-1.0M	0.49	18.23	N/A	N/A	2,137	1,041	47,087	18,493