WM Options History — November 2018

In November 2018, WM traded between $87.09 and $93.63. ATM implied volatility averaged 17.5%, placing in the 28.8% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded below realized volatility by 3.5% (HV 20d: 21.0%). Max pain ranged from $87.50 to $90.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 0 of 21 days. Put/call ratio averaged 1.22.

Notable Days

  • 2018-11-01: Highest Volume — 11,527 contracts
  • 2018-11-12: Largest IV spike — 32.3% change
  • 2018-11-12: Highest IV Rank — 42.4%
  • 2018-11-01: Largest Expected Move — 5.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$90.78$87.09$93.63$88.32$93.63
Max Pain$89.05$87.50$90.00$87.50$90.00
ATM IV17.5%15.6%21.0%18.8%16.9%
Expected Move4.9%4.4%5.4%5.4%4.8%
HV 20d21.0%12.5%24.1%23.5%12.5%
HV 60d15.6%14.7%16.3%14.7%16.3%
IV Rank28.8%21.7%42.4%34.0%26.5%
IV Percentile70.5%56.7%90.1%82.9%65.1%
Term Structure-0.8%-1.4%-0.2%-0.8%-1.4%
VWIV17.9%16.1%20.0%18.0%16.1%
Skew 25d2.8%2.1%3.6%3.2%2.6%
Skew 10d6.5%5.0%7.6%7.0%7.1%
Call IV 25d16.0%14.5%17.3%17.3%15.3%
Put IV 25d18.8%17.4%20.5%20.5%17.9%
Bid-Ask Spread %17.3110.3843.6122.8712.24
Gamma HHI0.240.170.410.170.23
Net GEX1.8M-1.8M7.3M2.0M3.7M
Net DEX-90.6M-134.8M-27.8M-71.2M-97.9M
Net VEX-599.1K-665.5K-533.4K-600.2K-533.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.220.273.923.920.40
Total Volume3,934.6192,11911,52711,5274,836
Total OI52,188.1947,83556,03748,64448,228

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-11-01$88.32$87.5018.8%5.4%23.5%34.0%18.0%3.2%-0.8%2.0M-71.2M-600.2K3.9222.87N/AN/A2,3439,18425,52123,123
2018-11-02$87.09$87.5018.4%5.3%23.6%32.2%18.7%2.9%-1.1%-1.8M-27.8M-665.5K2.2818.52N/AN/A1,1162,54225,32327,659
2018-11-05$87.87$87.5019.9%5.2%23.3%38.0%18.8%3.6%-0.8%-570.4K-44.7M-648.3K1.0513.41N/AN/A1,1111,17225,42826,917
2018-11-06$87.79$87.5019.1%5.0%23.3%34.9%17.9%3.3%-0.5%-704.3K-44.4M-636.4K1.0811.62N/AN/A1,2181,31925,62327,033
2018-11-07$89.32$87.5015.8%4.4%24.1%22.5%16.8%3.0%-0.2%1.2M-73.3M-620.4K1.8814.35N/AN/A1,2682,38025,66626,948
2018-11-08$89.68$87.5016.1%4.6%23.1%23.4%17.6%3.1%-0.4%1.2M-79.7M-610.2K2.7417.98N/AN/A1,2493,42625,72427,699
2018-11-09$90.52$87.5015.9%4.5%23.2%22.9%17.3%2.8%-0.4%1.2M-90.1M-628.0K2.5418.45N/AN/A1,2343,13826,05029,569
2018-11-12$91.04$87.5021.0%4.9%23.3%42.4%19.2%3.3%-1.0%2.2M-103.9M-595.1K1.2113.91N/AN/A1,7052,06026,09028,901
2018-11-13$90.68$90.0020.3%4.9%22.8%39.7%17.3%3.3%-0.5%2.2M-95.4M-620.9K0.7523.71N/AN/A2,1521,60926,51428,832
2018-11-14$91.21$90.0017.6%5.1%22.9%29.4%18.8%2.7%-1.0%2.8M-110.4M-604.4K0.7918.38N/AN/A1,5541,22526,89728,669
2018-11-15$91.96$90.0016.4%4.7%23.0%24.6%18.6%2.9%-0.9%3.6M-123.7M-583.5K0.7621.35N/AN/A2,6251,98626,98928,731
2018-11-16$92.64$90.0015.6%4.5%23.1%21.7%16.7%2.6%-0.2%7.3M-134.8M-592.2K0.4815.50N/AN/A2,1721,04227,25228,785
2018-11-19$92.48$90.0016.3%4.7%23.0%24.3%17.7%2.5%-0.7%2.0M-114.9M-584.4K0.8114.77N/AN/A1,6251,30924,96824,983
2018-11-20$91.76$90.0017.7%5.1%22.3%29.9%20.0%3.4%-1.2%1.5M-100.7M-607.1K0.8717.03N/AN/A1,3111,14425,21525,059
2018-11-21$90.98$90.0017.6%5.1%22.3%29.4%18.6%2.8%-1.0%879.5K-92.0M-603.3K1.0413.55N/AN/A1,1681,21925,23025,172
2018-11-23$90.84$90.0017.8%5.1%17.9%30.1%18.0%2.1%-0.9%835.1K-89.5M-598.7K0.8943.61N/AN/A1,2521,11425,33025,398
2018-11-26$91.41$90.0016.8%4.8%17.8%26.2%17.3%2.5%-0.8%1.1M-98.9M-575.9K0.5913.07N/AN/A1,67798325,31625,348
2018-11-27$91.43$90.0016.3%4.7%17.6%24.4%16.8%2.9%-1.0%1.3M-98.7M-576.8K0.9110.38N/AN/A1,1081,01125,54525,377
2018-11-28$92.84$90.0016.3%4.7%14.3%24.3%17.5%2.1%-1.0%2.7M-121.5M-549.2K0.3415.26N/AN/A4,5121,52625,61725,388
2018-11-29$92.95$90.0016.4%4.7%13.9%24.8%17.3%2.1%-1.1%2.9M-90.0M-546.2K0.2713.62N/AN/A4,7261,27621,91425,921
2018-11-30$93.63$90.0016.9%4.8%12.5%26.5%16.1%2.6%-1.4%3.7M-97.9M-533.4K0.4012.24N/AN/A3,4441,39222,20426,024