WM Options History — March 2018

In March 2018, WM traded between $83.12 and $87.16. ATM implied volatility averaged 17.8%, placing in the 34.5% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 1.3% (HV 20d: 16.5%). Max pain ranged from $82.50 to $85.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 1.75.

Notable Days

2018-03-01: Highest Volume — 7,843 contracts
2018-03-12: Largest IV spike — 19.9% change
2018-03-28: Highest IV Rank — 54.2%
2018-03-28: Largest Expected Move — 6.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$85.43	$83.12	$87.16	$85.68	$84.25
Max Pain	$82.98	$82.50	$85.00	$82.50	$85.00
ATM IV	17.8%	13.9%	23.3%	19.6%	20.8%
Expected Move	5.1%	4.2%	6.7%	5.6%	6.0%
HV 20d	16.5%	11.7%	27.2%	27.2%	14.4%
HV 60d	17.6%	17.2%	18.5%	17.5%	18.5%
IV Rank	34.5%	20.4%	54.2%	40.8%	45.3%
IV Percentile	87.4%	72.2%	96.8%	94.4%	94.4%
Term Structure	0.2%	-3.2%	1.7%	-1.1%	-2.3%
VWIV	18.2%	15.4%	22.8%	18.8%	21.5%
Skew 25d	2.5%	1.6%	3.7%	3.7%	2.5%
Skew 10d	5.2%	3.1%	6.9%	6.9%	4.6%
Call IV 25d	17.0%	14.4%	21.3%	17.7%	20.1%
Put IV 25d	19.5%	16.5%	23.7%	21.4%	22.6%
Bid-Ask Spread %	17.51	13.74	22.93	13.80	15.19
Gamma HHI	0.25	0.18	0.32	0.27	0.22
Net GEX	8.0M	3.3M	10.9M	9.5M	5.0M
Net DEX	-136.9M	-190.6M	-58.9M	-159.0M	-86.6M
Net VEX	-1.0M	-1.1M	-959.9K	-1.1M	-1.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.75	0.69	5.33	4.76	1.64
Total Volume	4,100.381	2,478	7,843	7,843	2,902
Total OI	72,012.095	65,388	76,915	68,437	76,915

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
2018-03-01	$85.68	$82.50	19.6%	5.6%	27.2%	40.8%	18.8%	3.7%	-1.1%	9.5M	-159.0M	-1.1M	4.76	13.80	N/A	N/A	1,361	6,482	46,576	21,861
2018-03-02	$85.71	$82.50	18.8%	5.4%	27.1%	37.9%	19.1%	3.6%	-1.1%	8.4M	-150.3M	-1.1M	0.97	15.27	N/A	N/A	1,682	1,631	46,748	25,363
2018-03-05	$85.82	$82.50	17.4%	4.9%	26.7%	33.1%	17.5%	2.8%	1.1%	9.0M	-156.3M	-1.1M	1.24	22.93	N/A	N/A	1,251	1,551	47,266	25,814
2018-03-06	$85.72	$82.50	17.1%	4.9%	18.4%	32.0%	18.3%	2.7%	1.4%	9.0M	-153.5M	-1.1M	1.33	18.47	N/A	N/A	1,128	1,499	47,382	25,408
2018-03-07	$85.42	$82.50	17.1%	4.9%	18.3%	31.9%	17.8%	2.5%	1.4%	9.2M	-144.4M	-1.1M	0.69	14.66	N/A	N/A	2,441	1,679	47,407	25,419
2018-03-08	$85.22	$82.50	16.3%	4.8%	18.3%	29.1%	17.7%	2.9%	1.2%	9.0M	-134.7M	-1.0M	0.73	18.69	N/A	N/A	2,211	1,614	45,851	25,555
2018-03-09	$87.16	$82.50	13.9%	4.4%	15.2%	20.4%	16.8%	2.2%	1.3%	10.7M	-190.6M	-1.0M	1.28	18.46	N/A	N/A	1,743	2,238	46,243	25,973
2018-03-12	$86.80	$82.50	16.6%	4.5%	15.4%	30.3%	16.9%	2.4%	1.4%	10.4M	-184.4M	-1.0M	1.10	19.41	N/A	N/A	1,696	1,867	46,314	26,341
2018-03-13	$86.63	$82.50	16.2%	4.5%	15.5%	28.8%	16.4%	2.1%	1.5%	10.4M	-178.3M	-1.0M	0.92	19.93	N/A	N/A	1,626	1,488	46,596	26,500
2018-03-14	$86.40	$82.50	15.8%	4.5%	15.7%	27.1%	16.2%	2.1%	1.3%	10.3M	-172.9M	-1.0M	1.22	17.38	N/A	N/A	1,342	1,639	46,586	26,463
2018-03-15	$86.26	$82.50	15.3%	4.4%	14.6%	25.5%	15.4%	1.6%	1.5%	10.9M	-172.4M	-993.1K	1.13	16.17	N/A	N/A	1,373	1,546	46,613	26,439
2018-03-16	$86.43	$82.50	14.7%	4.2%	13.5%	23.3%	15.5%	2.1%	1.7%	9.0M	-179.0M	-959.9K	1.11	18.81	N/A	N/A	1,541	1,708	46,597	26,401
2018-03-19	$86.14	$82.50	16.9%	4.8%	12.3%	31.3%	16.6%	2.7%	1.6%	8.6M	-151.0M	-972.1K	1.49	18.12	N/A	N/A	996	1,482	42,555	22,833
2018-03-20	$86.32	$82.50	17.2%	4.9%	12.2%	32.1%	17.9%	1.8%	0.0%	8.6M	-156.4M	-971.0K	1.71	15.72	N/A	N/A	2,061	3,521	42,757	23,208
2018-03-21	$85.94	$82.50	17.7%	5.1%	11.7%	34.1%	17.9%	1.7%	0.0%	8.2M	-148.4M	-983.9K	2.51	16.97	N/A	N/A	858	2,156	43,690	24,940
2018-03-22	$84.29	$82.50	18.7%	5.4%	13.7%	37.6%	18.6%	2.6%	-0.6%	6.1M	-101.0M	-990.7K	1.48	22.89	N/A	N/A	2,532	3,751	43,745	25,881
2018-03-23	$83.12	$82.50	19.9%	5.7%	13.9%	41.9%	19.5%	2.2%	-0.1%	4.2M	-63.0M	-1.0M	5.33	13.74	N/A	N/A	1,152	6,143	44,408	27,658
2018-03-26	$84.17	$85.00	19.5%	5.6%	14.0%	40.5%	20.3%	2.6%	-1.1%	3.3M	-75.5M	-1.0M	2.79	15.88	N/A	N/A	1,026	2,861	44,816	31,199
2018-03-27	$83.32	$85.00	21.1%	6.1%	13.9%	46.4%	20.2%	3.1%	-1.4%	4.2M	-58.9M	-984.6K	1.18	18.06	N/A	N/A	3,108	3,682	45,205	28,422
2018-03-28	$83.24	$85.00	23.3%	6.7%	13.8%	54.2%	22.8%	2.4%	-3.2%	4.0M	-59.0M	-1.0M	2.08	17.08	N/A	N/A	1,151	2,389	46,189	30,117
2018-03-29	$84.25	$85.00	20.8%	6.0%	14.4%	45.3%	21.5%	2.5%	-2.3%	5.0M	-86.6M	-1.0M	1.64	15.19	N/A	N/A	1,100	1,802	46,608	30,307