WM Options History — February 2018

In February 2018, WM traded between $79.45 and $87.80. ATM implied volatility averaged 22.6%, placing in the 56.8% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded below realized volatility by 0.5% (HV 20d: 23.1%). Max pain ranged from $80.00 to $87.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 0.67.

Notable Days

  • 2018-02-06: Highest Volume — 25,470 contracts
  • 2018-02-05: Largest IV spike — 45.6% change
  • 2018-02-01: Highest IV Rank — 100.0%
  • 2018-02-09: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$83.77$79.45$87.80$87.80$86.40
Max Pain$83.29$80.00$87.50$85.00$82.50
ATM IV22.6%15.5%36.2%22.4%17.3%
Expected Move6.1%4.4%8.3%5.6%5.0%
HV 20d23.1%9.0%27.2%9.0%27.2%
HV 60d16.0%10.0%17.5%10.0%17.5%
IV Rank56.8%26.1%100.0%100.0%32.5%
IV Percentile94.8%85.3%100.0%100.0%87.7%
Term Structure-1.0%-4.4%1.6%-0.4%-0.0%
VWIV21.4%17.1%28.4%18.9%18.6%
Skew 25d3.1%2.2%5.7%2.3%2.4%
Skew 10d6.2%3.7%9.5%3.7%4.2%
Call IV 25d20.2%15.2%26.3%18.7%17.2%
Put IV 25d23.3%17.5%32.0%21.0%19.6%
Bid-Ask Spread %19.418.1841.3817.9813.73
Gamma HHI0.250.200.300.200.26
Net GEX7.5M3.7M10.6M10.3M10.6M
Net DEX-125.9M-220.3M-25.3M-220.3M-184.4M
Net VEX-1.0M-1.1M-922.1K-1.0M-1.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.670.112.310.492.31
Total Volume6,354.1052,50825,4703,3425,222
Total OI65,485.57960,47075,62365,96767,802

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-02-01$87.80$85.0022.4%5.6%9.0%100.0%18.9%2.3%-0.4%10.3M-220.3M-1.0M0.4917.98N/AN/A2,2391,10347,27018,697
2018-02-02$86.60$87.5023.6%5.7%10.0%100.0%20.1%2.6%-0.5%9.7M-192.2M-1.1M0.4418.62N/AN/A2,7331,21247,23618,995
2018-02-05$82.18$87.5034.3%7.6%20.8%100.0%23.7%3.4%-3.1%6.3M-98.8M-1.1M0.5235.99N/AN/A3,4541,79547,84619,247
2018-02-06$81.64$87.5036.2%7.4%20.8%100.0%25.0%4.6%-1.7%6.5M-83.1M-1.1M0.1123.35N/AN/A22,9142,55647,92419,640
2018-02-07$81.94$85.0023.3%6.7%21.0%53.9%21.5%3.2%-2.0%5.7M-75.5M-1.0M0.6318.00N/AN/A2,8921,81444,04720,184
2018-02-08$79.45$85.0024.3%7.0%23.1%57.7%23.9%4.3%-3.7%3.7M-25.3M-922.1K0.5227.58N/AN/A3,5381,85441,28120,290
2018-02-09$80.09$82.5028.9%8.3%23.0%74.2%28.4%5.7%-3.9%3.9M-38.8M-963.3K0.3941.38N/AN/A3,8211,49841,78120,611
2018-02-12$80.52$82.5027.5%7.9%23.2%69.1%27.1%3.5%-4.4%4.5M-49.2M-963.7K0.6221.25N/AN/A3,7682,33543,39520,823
2018-02-13$80.89$80.0026.5%7.6%23.3%65.5%25.7%3.5%-3.4%4.5M-54.4M-989.8K0.7016.94N/AN/A2,5951,80745,00021,960
2018-02-14$82.44$80.0023.7%6.8%24.7%55.5%24.1%2.7%-0.6%5.7M-86.3M-1.0M0.4125.95N/AN/A8,0313,29546,22922,324
2018-02-15$83.90$80.0020.0%5.7%25.8%42.1%20.7%2.9%0.0%7.4M-125.1M-1.0M0.5314.41N/AN/A8,9184,68349,88223,888
2018-02-16$85.34$82.5018.2%5.2%26.7%36.0%19.8%2.6%1.1%8.5M-175.3M-1.0M0.3716.66N/AN/A4,8681,78050,54825,075
2018-02-20$85.03$82.5019.1%5.5%26.5%39.2%20.0%2.6%-0.5%8.8M-157.0M-1.0M0.6212.63N/AN/A3,0441,89641,91218,558
2018-02-21$84.21$82.5018.0%5.2%26.6%35.0%18.9%2.2%0.5%8.5M-139.5M-1.0M0.6714.55N/AN/A1,8311,21842,44319,307
2018-02-22$84.45$82.5017.6%5.1%26.7%33.9%17.9%2.7%0.7%8.6M-138.5M-1.0M0.8116.03N/AN/A1,7871,44642,31819,417
2018-02-23$85.39$82.5016.5%4.7%27.1%29.7%17.6%2.5%0.7%9.6M-162.1M-1.0M0.448.18N/AN/A2,3101,01543,17219,439
2018-02-26$86.37$82.5015.5%4.4%27.2%26.1%17.1%2.3%1.6%9.8M-186.5M-997.2K0.9112.49N/AN/A1,3121,19643,37519,464
2018-02-27$87.07$82.5016.4%4.7%27.1%29.4%18.5%3.3%1.1%9.8M-199.5M-980.9K1.3013.09N/AN/A1,2831,66543,44819,398
2018-02-28$86.40$82.5017.3%5.0%27.2%32.5%18.6%2.4%-0.0%10.6M-184.4M-1.0M2.3113.73N/AN/A1,5783,64446,77021,032