WM Options History — September 2018

In September 2018, WM traded between $89.82 and $92.62. ATM implied volatility averaged 10.9%, placing in the 7.0% IV rank vs the trailing year. The 30-day expected move averaged 3.2%. IV traded above realized volatility by 4.5% (HV 20d: 6.4%). Max pain ranged from $87.50 to $90.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 1.13.

Notable Days

  • 2018-09-05: Highest Volume — 4,882 contracts
  • 2018-09-20: Largest IV drop — 11.3% change
  • 2018-09-19: Highest IV Rank — 10.3%
  • 2018-09-19: Largest Expected Move — 3.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$91.41$89.82$92.62$91.08$90.34
Max Pain$89.74$87.50$90.00$90.00$90.00
ATM IV10.9%9.9%11.8%11.1%11.2%
Expected Move3.2%3.0%3.4%3.2%3.2%
HV 20d6.4%4.5%9.2%4.5%9.2%
HV 60d18.5%18.1%19.0%18.9%18.3%
IV Rank7.0%3.1%10.3%9.8%8.1%
IV Percentile11.5%0.4%19.4%13.5%13.9%
Term Structure2.1%0.2%3.2%0.2%3.0%
VWIV11.2%9.5%15.4%11.0%11.3%
Skew 25d1.4%0.8%2.1%1.4%1.0%
Skew 10d2.5%-2.5%5.6%3.5%3.1%
Call IV 25d10.6%10.1%11.3%10.1%10.8%
Put IV 25d12.0%11.4%12.8%11.5%11.9%
Bid-Ask Spread %8.145.6811.6611.667.41
Gamma HHI0.400.230.540.320.23
Net GEX5.9M3.4M10.8M4.8M4.0M
Net DEX-123.6M-162.4M-90.0M-156.3M-95.9M
Net VEX-557.7K-600.2K-530.6K-600.2K-561.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.130.261.990.261.14
Total Volume2,812.2631,9684,8823,3381,968
Total OI51,470.31648,20255,12255,12249,463

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-09-04$91.08$90.0011.1%3.2%4.5%9.8%11.0%1.4%0.2%4.8M-156.3M-600.2K0.2611.66N/AN/A2,65668230,72124,401
2018-09-05$91.56$90.0010.4%3.0%4.7%5.2%15.4%1.2%1.1%5.4M-162.4M-593.0K0.425.68N/AN/A3,4301,45230,37624,390
2018-09-06$91.88$87.5010.6%3.2%4.8%5.7%11.3%1.8%2.0%5.9M-129.2M-570.5K1.398.93N/AN/A1,8142,51725,25924,634
2018-09-07$91.80$87.509.9%3.1%4.8%3.1%11.0%1.6%2.0%5.8M-127.3M-568.0K1.0110.15N/AN/A1,7611,77325,30725,413
2018-09-10$92.07$90.0010.1%3.2%4.6%3.8%11.5%1.3%1.8%6.6M-131.9M-558.1K1.299.78N/AN/A1,2891,65925,41325,749
2018-09-11$92.44$90.0010.8%3.3%4.7%6.4%11.6%2.1%1.8%6.6M-136.5M-564.7K1.138.36N/AN/A1,6591,86925,47625,974
2018-09-12$91.86$90.0011.6%3.3%5.4%9.3%12.2%1.5%1.8%6.2M-124.9M-580.4K1.6410.53N/AN/A1,2322,02425,75925,913
2018-09-13$91.89$90.0011.1%3.2%5.0%7.5%10.7%1.6%1.9%6.8M-129.0M-535.1K0.6210.60N/AN/A1,8451,13625,80726,040
2018-09-14$92.03$90.0010.7%3.1%5.0%6.2%10.2%1.4%2.3%8.2M-132.2M-530.6K0.785.96N/AN/A1,3481,04826,36026,092
2018-09-17$92.03$90.0011.1%3.2%4.6%7.6%11.5%1.4%1.9%8.4M-130.8M-541.2K0.806.92N/AN/A1,3771,10226,36726,064
2018-09-18$92.62$90.0011.1%3.2%5.0%7.7%11.3%1.5%1.7%10.8M-145.3M-533.7K0.929.12N/AN/A1,2641,16026,67426,140
2018-09-19$91.20$90.0011.8%3.4%7.6%10.3%10.6%1.4%1.9%5.1M-115.0M-552.9K1.169.39N/AN/A9971,15526,73025,971
2018-09-20$91.72$90.0010.5%3.0%7.7%5.4%10.4%1.0%2.3%7.7M-128.2M-533.0K1.206.80N/AN/A1,1261,35526,95726,120
2018-09-21$91.57$90.0010.4%3.0%7.7%5.0%9.5%1.2%2.2%4.7M-121.0M-542.8K1.596.66N/AN/A8641,37226,82326,389
2018-09-24$90.45$90.0011.3%3.2%9.0%8.5%11.1%1.3%3.1%3.9M-100.8M-565.2K1.585.93N/AN/A8781,39124,65723,545
2018-09-25$90.38$90.0011.2%3.2%9.0%8.0%10.9%1.6%2.9%3.8M-99.7M-552.1K1.996.04N/AN/A7101,41124,69924,183
2018-09-26$90.06$90.0011.0%3.1%9.0%7.2%10.9%1.4%3.2%3.5M-91.6M-567.2K1.636.70N/AN/A7851,28024,74324,254
2018-09-27$89.82$90.0011.0%3.2%9.0%7.2%11.0%0.8%3.0%3.4M-90.0M-545.9K0.958.02N/AN/A1,04699824,81124,262
2018-09-28$90.34$90.0011.2%3.2%9.2%8.1%11.3%1.0%3.0%4.0M-95.9M-561.4K1.147.41N/AN/A9211,04725,10524,358