WM Options History — May 2018

In May 2018, WM traded between $80.87 and $84.01. ATM implied volatility averaged 13.6%, placing in the 19.5% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded below realized volatility by 0.6% (HV 20d: 14.2%). Max pain ranged from $80.00 to $82.50. Net GEX was positive for 16 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 1.10.

Notable Days

  • 2018-05-30: Highest Volume — 6,063 contracts
  • 2018-05-29: Largest IV spike — 21.1% change
  • 2018-05-07: Highest IV Rank — 28.5%
  • 2018-05-02: Largest Expected Move — 4.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$82.52$80.87$84.01$81.29$82.81
Max Pain$81.93$80.00$82.50$82.50$82.50
ATM IV13.6%12.0%16.2%14.7%13.0%
Expected Move3.9%3.4%4.5%4.2%3.7%
HV 20d14.2%12.7%16.0%14.0%14.4%
HV 60d15.3%14.2%19.4%19.4%14.8%
IV Rank19.5%13.6%28.5%23.4%17.2%
IV Percentile52.9%34.9%71.4%67.9%46.4%
Term Structure0.1%-1.0%0.9%-0.2%0.0%
VWIV13.7%12.4%15.5%14.9%13.5%
Skew 25d1.8%0.3%2.6%1.9%0.3%
Skew 10d3.4%-1.5%7.3%2.8%-1.5%
Call IV 25d12.7%11.1%15.2%14.5%13.0%
Put IV 25d14.5%13.1%16.4%16.4%13.4%
Bid-Ask Spread %11.215.8914.8612.3311.41
Gamma HHI0.190.160.250.210.22
Net GEX908.2K-2.1M3.9M-1.4M3.7M
Net DEX-57.5M-109.8M-19.0M-24.0M-86.9M
Net VEX-750.6K-811.1K-699.9K-767.9K-811.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.100.352.671.521.66
Total Volume3,009.5451,5626,0632,4933,076
Total OI54,635.72750,89662,55951,86962,559

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-05-01$81.29$82.5014.7%4.2%14.0%23.4%14.9%1.9%-0.2%-1.4M-24.0M-767.9K1.5212.33N/AN/A9901,50328,02623,843
2018-05-02$80.87$82.5015.7%4.5%13.5%26.8%15.3%1.0%-0.3%-1.6M-19.0M-766.7K1.398.39N/AN/A68194928,28923,980
2018-05-03$82.71$82.5016.0%4.4%16.0%27.8%15.5%2.5%-0.5%180.5K-53.0M-771.4K1.8810.88N/AN/A9571,80328,39924,072
2018-05-04$84.01$82.5014.0%4.0%15.6%20.9%15.1%2.3%0.3%1.4M-77.1M-772.4K0.6514.83N/AN/A1,38890928,45424,942
2018-05-07$83.17$82.5016.2%4.3%16.0%28.5%14.7%2.1%-0.1%591.0K-59.7M-771.9K1.3513.56N/AN/A9061,22128,55225,016
2018-05-08$83.04$82.5015.6%4.2%16.0%26.6%14.4%2.2%-0.2%368.1K-56.1M-774.1K0.6714.86N/AN/A1,06972128,73025,286
2018-05-09$83.00$82.5014.3%4.1%14.4%22.0%14.2%2.0%-0.0%386.3K-55.9M-760.7K0.9311.95N/AN/A86379928,95825,289
2018-05-10$83.29$82.5014.0%4.0%14.3%20.9%13.8%1.9%-0.2%959.0K-61.8M-752.6K1.0912.42N/AN/A9781,06329,01125,319
2018-05-11$82.93$82.5013.4%3.8%14.4%18.6%13.8%1.6%0.5%506.1K-54.7M-744.6K0.6914.76N/AN/A1,12076829,12825,406
2018-05-14$82.62$82.5013.1%3.7%14.3%17.5%13.1%1.6%0.4%194.5K-48.4M-726.4K0.8310.59N/AN/A85271029,19825,556
2018-05-15$81.96$82.5013.3%3.8%14.5%18.5%13.5%1.5%0.3%-966.8K-35.0M-709.5K0.9910.97N/AN/A97195829,23625,638
2018-05-16$81.68$82.5012.8%3.7%14.5%16.6%13.2%1.5%0.9%-1.5M-28.0M-703.6K0.7811.27N/AN/A1,2911,01329,31125,659
2018-05-17$81.49$82.5012.5%3.6%14.0%15.5%12.7%1.8%0.6%-2.1M-24.4M-706.8K0.9710.29N/AN/A1,1151,08029,66625,597
2018-05-18$81.57$82.5012.0%3.4%13.9%13.6%13.6%1.7%0.8%-111.1K-24.6M-699.9K0.3512.27N/AN/A3,8901,35029,89625,895
2018-05-21$82.19$80.0012.7%3.6%14.2%16.1%12.7%1.7%0.0%2.1M-65.6M-711.1K0.5612.77N/AN/A1,58788129,40221,494
2018-05-22$81.87$80.0012.2%3.5%12.7%14.5%12.4%1.1%0.3%2.4M-60.6M-710.1K0.7711.73N/AN/A3,1562,44129,89621,618
2018-05-23$82.79$80.0012.8%3.7%13.3%16.7%12.8%1.6%0.1%2.6M-78.5M-746.2K0.965.89N/AN/A2,8312,70430,78922,205
2018-05-24$82.88$80.0012.2%3.5%13.1%14.5%12.4%1.7%0.6%3.9M-87.1M-767.2K2.278.52N/AN/A1,0292,34132,52322,562
2018-05-25$82.86$80.0012.3%3.5%13.1%14.9%12.4%2.1%-0.1%3.2M-84.8M-772.0K2.677.88N/AN/A9282,48032,62523,444
2018-05-29$82.50$82.5014.9%4.3%12.8%24.2%15.2%2.6%-1.0%2.0M-69.3M-779.2K0.7011.77N/AN/A2,8141,96132,69624,422
2018-05-30$83.81$82.5012.2%3.5%13.8%14.5%12.7%2.5%0.5%3.2M-109.8M-788.1K0.637.29N/AN/A3,7142,34934,53624,863
2018-05-31$82.81$82.5013.0%3.7%14.4%17.2%13.5%0.3%0.0%3.7M-86.9M-811.1K1.6611.41N/AN/A1,1581,91837,02225,537