WM Options History — April 2018

In April 2018, WM traded between $81.21 and $86.03. ATM implied volatility averaged 19.5%, placing in the 40.4% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 3.0% (HV 20d: 16.5%). Max pain ranged from $82.50 to $85.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 0 of 21 days. Put/call ratio averaged 1.76.

Notable Days

  • 2018-04-19: Highest Volume — 11,354 contracts
  • 2018-04-20: Largest IV drop — 21.4% change
  • 2018-04-10: Highest IV Rank — 65.0%
  • 2018-04-02: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$83.26$81.21$86.03$83.46$81.56
Max Pain$84.88$82.50$85.00$85.00$82.50
ATM IV19.5%14.2%26.4%24.1%14.7%
Expected Move5.3%4.1%6.9%6.9%4.2%
HV 20d16.5%14.7%17.9%14.7%15.5%
HV 60d19.2%18.3%19.6%18.3%19.6%
IV Rank40.4%21.6%65.0%57.0%23.3%
IV Percentile85.2%65.1%98.0%97.6%67.5%
Term Structure-1.6%-3.1%-0.0%-3.1%-1.0%
VWIV18.7%14.2%23.7%23.7%14.6%
Skew 25d2.3%1.4%3.6%3.6%2.3%
Skew 10d4.6%1.8%7.4%6.4%4.8%
Call IV 25d17.7%13.9%22.3%22.3%13.9%
Put IV 25d20.0%15.3%25.9%25.9%16.3%
Bid-Ask Spread %13.508.4325.9412.7513.25
Gamma HHI0.210.160.430.190.20
Net GEX4.5M-436.3K8.5M5.4M-436.3K
Net DEX-62.5M-147.8M8.2M-71.7M-34.0M
Net VEX-834.5K-967.3K-727.0K-967.3K-749.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.760.683.051.372.22
Total Volume4,169.6192,23711,3542,5333,673
Total OI69,903.1943,59586,31475,26250,122

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-04-02$83.46$85.0024.1%6.9%14.7%57.0%23.7%3.6%-3.1%5.4M-71.7M-967.3K1.3712.75N/AN/A1,0691,46446,91328,349
2018-04-03$84.85$85.0021.8%6.3%16.0%48.8%22.9%3.5%-2.5%6.8M-107.9M-963.8K1.1811.60N/AN/A1,0251,21246,85728,557
2018-04-04$85.53$85.0021.1%6.0%16.3%46.2%22.2%2.3%-2.5%8.0M-134.1M-942.1K1.098.43N/AN/A1,4811,61247,00128,605
2018-04-05$86.03$85.0021.2%5.2%16.4%46.6%18.5%2.9%-1.1%8.5M-147.8M-928.7K0.9116.18N/AN/A2,5412,32246,98728,652
2018-04-06$84.29$85.0023.4%5.5%17.9%54.5%20.3%2.8%-1.5%6.6M-87.5M-944.9K2.9418.97N/AN/A8412,47148,24429,546
2018-04-09$84.13$85.0026.3%5.7%15.7%64.6%20.9%2.0%-2.2%6.7M-84.1M-901.4K2.6118.46N/AN/A8622,24948,48829,353
2018-04-10$84.29$85.0026.4%5.7%15.8%65.0%20.2%2.8%-1.9%6.8M-88.6M-892.2K3.0511.42N/AN/A1,0393,17448,40829,380
2018-04-11$82.69$85.0020.8%6.0%17.0%45.2%21.1%2.7%-2.6%4.8M-35.8M-871.9K2.1313.23N/AN/A2,4095,12648,26030,556
2018-04-12$83.18$85.0019.4%5.6%17.2%40.3%19.7%2.2%-2.0%4.9M-45.3M-863.2K2.0913.58N/AN/A1,2962,71349,01932,447
2018-04-13$83.02$85.0018.9%5.4%17.2%38.2%18.4%2.4%-1.8%4.8M-36.8M-849.3K1.9912.28N/AN/A1,0532,09849,29932,406
2018-04-16$83.51$85.0018.6%5.3%17.4%37.3%18.6%2.1%-1.6%5.5M-56.8M-810.2K1.3312.43N/AN/A1,0661,41849,42932,707
2018-04-17$83.54$85.0018.1%5.2%17.4%35.6%18.1%2.1%-1.8%5.3M-64.0M-794.7K0.8614.02N/AN/A1,3451,15449,43332,041
2018-04-18$83.72$85.0018.8%5.4%17.4%38.1%18.2%1.9%-2.1%5.9M-69.3M-802.3K1.1011.81N/AN/A1,6321,79849,50932,023
2018-04-19$82.81$85.0020.0%5.7%17.7%42.4%20.5%2.1%-3.1%4.3M-33.1M-782.8K1.3225.94N/AN/A4,9046,45049,95332,085
2018-04-20$82.38$85.0015.7%4.5%16.5%27.0%15.4%2.2%-0.5%7.9M8.2M-745.7K0.7817.41N/AN/A3,6942,87951,96834,346
2018-04-23$82.65$85.0015.3%4.4%15.8%25.4%15.0%2.0%-0.0%918.7K-54.8M-728.8K0.6811.13N/AN/A1,7691,19925,60917,986
2018-04-24$81.21$85.0017.5%5.0%16.2%33.3%16.8%1.9%-0.2%288.8K-38.0M-727.0K2.369.51N/AN/A1,2532,95725,88918,284
2018-04-25$81.40$85.0016.8%4.8%16.0%30.9%18.0%2.2%-0.8%100.0K-36.9M-757.6K1.859.45N/AN/A1,1942,21026,22319,385
2018-04-26$81.90$85.0015.4%4.4%16.2%26.0%16.0%1.4%-0.5%298.3K-44.5M-754.8K2.819.47N/AN/A9192,58626,57919,832
2018-04-27$82.25$85.0014.2%4.1%15.6%21.6%14.2%1.4%-0.1%474.9K-50.2M-745.6K2.3412.22N/AN/A1,6193,78626,89820,339
2018-04-30$81.56$82.5014.7%4.2%15.5%23.3%14.6%2.3%-1.0%-436.3K-34.0M-749.9K2.2213.25N/AN/A1,1392,53427,67622,446