You are still a non-resident alien for 2015. As a non-resident alien you should only have 1 exemption on the W4 and also write "non-resident alien" on it. You never qualified for head of household status so far.
If you want to file separately, you both would file as non-resident alien for 2015.
Once you meet the Substantial Presence Test in 2016, you can make the first year choice for 2015 and then make the choice to treat you and your wife as resident aliens, but you then have to file a joint return for 2015.
To decide which is best, prepare your returns both ways and see which is better.
