WM Options History — December 2018

In December 2018, WM traded between $84.15 and $93.22. ATM implied volatility averaged 19.5%, placing in the 36.7% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 5.1% (HV 20d: 14.5%). Max pain ranged from $85.00 to $90.00. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 1.40.

Notable Days

  • 2018-12-05: Highest Volume — 4,420 contracts
  • 2018-12-24: Largest IV spike — 24.5% change
  • 2018-12-24: Highest IV Rank — 58.6%
  • 2018-12-24: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$89.82$84.15$93.22$93.22$88.81
Max Pain$85.75$85.00$90.00$90.00$85.00
ATM IV19.5%15.9%25.3%16.0%18.9%
Expected Move5.5%4.6%7.3%4.6%5.4%
HV 20d14.5%10.0%24.0%11.2%24.0%
HV 60d17.5%16.1%20.7%16.3%20.7%
IV Rank36.7%23.0%58.6%23.4%34.4%
IV Percentile79.9%54.8%97.2%56.3%78.2%
Term Structure-0.3%-3.1%1.5%-1.4%0.3%
VWIV19.1%16.0%24.6%16.3%20.6%
Skew 25d3.3%2.4%5.5%2.6%3.9%
Skew 10d6.6%4.5%10.5%5.5%6.7%
Call IV 25d17.6%14.5%23.9%14.5%18.1%
Put IV 25d20.9%17.1%28.0%17.1%22.0%
Bid-Ask Spread %15.929.6423.5212.4012.27
Gamma HHI0.270.140.630.240.24
Net GEX183.3K-12.7M4.0M4.0M2.6M
Net DEX-45.8M-96.0M14.5M-96.0M-40.9M
Net VEX-496.9K-530.4K-429.1K-518.1K-437.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.400.296.671.190.57
Total Volume1,705.855514,4201,026551
Total OI47,16740,21850,41647,98041,072

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-12-03$93.22$90.0016.0%4.6%11.2%23.4%16.3%2.6%-1.4%4.0M-96.0M-518.1K1.1912.40N/AN/A46855822,20625,774
2018-12-04$92.74$90.0017.6%5.0%11.4%29.2%16.9%2.5%-1.5%3.3M-88.5M-530.4K1.0213.51N/AN/A2,1802,21822,29325,699
2018-12-05$92.62$90.0018.0%5.2%11.4%30.9%17.4%3.1%-1.6%3.3M-86.7M-528.9K1.0121.47N/AN/A2,1962,22422,29325,699
2018-12-06$92.56$85.0018.5%4.7%10.0%32.9%17.8%2.8%1.2%2.9M-79.7M-526.7K1.8516.65N/AN/A6421,18622,33326,200
2018-12-07$91.92$85.0018.9%4.8%10.5%34.2%17.4%2.9%0.6%2.1M-72.4M-529.6K0.6918.37N/AN/A97767822,30826,435
2018-12-10$91.24$85.0021.6%5.2%10.4%44.7%17.2%3.1%0.1%1.3M-60.0M-524.4K1.1519.39N/AN/A47254422,37126,558
2018-12-11$91.65$85.0018.8%4.9%10.3%33.8%17.1%2.6%0.3%2.0M-67.8M-520.2K1.5616.74N/AN/A38259522,47926,851
2018-12-12$91.12$85.0016.9%4.9%10.5%26.8%17.2%2.5%0.7%1.4M-60.8M-517.2K2.8113.90N/AN/A24669222,54526,907
2018-12-13$91.46$85.0015.9%4.6%10.3%23.0%16.0%2.4%1.5%2.5M-68.3M-500.8K6.6712.61N/AN/A3502,33522,61326,917
2018-12-14$90.91$85.0017.3%5.0%10.1%28.4%16.1%2.4%1.2%1.3M-57.6M-515.6K2.3812.61N/AN/A7461,77422,67527,382
2018-12-17$88.72$85.0019.9%5.7%12.7%38.1%18.6%2.6%-0.1%-4.1M-19.9M-513.6K0.9713.18N/AN/A36335222,95727,340
2018-12-18$89.29$85.0019.0%5.4%13.1%34.7%19.1%3.6%0.1%-3.2M-28.4M-507.2K0.9514.90N/AN/A35633722,93327,299
2018-12-19$87.95$85.0019.8%5.7%13.8%37.5%19.9%3.2%0.2%-8.8M-3.6M-491.8K1.0117.01N/AN/A63764123,03627,259
2018-12-20$87.82$85.0020.4%5.9%13.6%40.2%20.3%4.0%-0.8%-12.7M-2.8M-491.1K0.7320.87N/AN/A79258123,10827,308
2018-12-21$88.22$85.0020.3%5.8%13.8%39.7%19.6%3.4%-0.9%2.0M-29.1M-475.1K1.0015.39N/AN/A66666623,16327,133
2018-12-24$84.15$85.0025.3%7.3%21.0%58.6%24.6%4.1%-3.1%-549.8K14.5M-429.1K0.9523.52N/AN/A86281620,85919,359
2018-12-26$86.60$85.0022.3%6.4%24.0%47.3%24.6%4.8%-0.6%927.7K-13.2M-458.4K0.2918.90N/AN/A2,31967621,10919,469
2018-12-27$87.58$85.0023.0%6.6%23.6%49.9%22.8%5.5%-1.8%1.7M-26.6M-466.0K0.6315.03N/AN/A47829921,22919,452
2018-12-28$87.77$85.0021.9%6.3%23.6%45.7%21.3%4.0%-0.7%1.8M-28.8M-455.9K0.629.64N/AN/A77848421,24419,473
2018-12-31$88.81$85.0018.9%5.4%24.0%34.4%20.6%3.9%0.3%2.6M-40.9M-437.2K0.5712.27N/AN/A35219921,42419,648