WM Options History — February 2019 In February 2019, WM traded between $95.31 and $100.98. ATM implied volatility averaged 15.3%, placing in the 27.8% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 5.2% (HV 20d: 10.1%). Max pain ranged from $92.50 to $97.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 0.90.
Notable Days 2019-02-13 : Highest Volume — 5,261 contracts2019-02-06 : Largest IV drop — 21.4% change2019-02-13 : Highest IV Rank — 42.4%2019-02-11 : Largest Expected Move — 4.9%Monthly Statistics Metric Avg Min Max Open Close Price $98.30 $95.31 $100.98 $95.31 $100.98 Max Pain $95.53 $92.50 $97.50 $95.00 $97.50 ATM IV 15.3% 12.8% 19.5% 18.7% 14.1% Expected Move 4.2% 3.7% 4.9% 4.7% 4.1% HV 20d 10.1% 8.1% 13.1% 13.1% 8.5% HV 60d 17.1% 16.7% 17.4% 17.4% 16.8% IV Rank 27.8% 17.7% 42.4% 33.4% 25.8% IV Percentile 46.6% 24.2% 81.3% 75.0% 39.3% Term Structure 0.0% -1.6% 0.8% -0.3% 0.4% VWIV 15.2% 13.8% 17.1% 16.0% 14.4% Skew 25d 2.7% 0.9% 4.4% 3.4% 1.3% Skew 10d 6.2% 2.6% 9.9% 8.1% 3.7% Call IV 25d 13.8% 10.4% 15.9% 14.8% 13.7% Put IV 25d 16.5% 14.9% 18.9% 18.2% 14.9% Bid-Ask Spread % 11.13 6.54 15.93 9.07 12.32 Gamma HHI 0.23 0.19 0.31 0.20 0.25 Net GEX 4.5M 3.1M 7.0M 3.1M 5.0M Net DEX -88.6M -120.3M -57.6M -57.6M -103.2M Net VEX -553.6K -598.6K -515.2K -598.6K -521.0K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.90 0.30 2.34 0.41 0.33 Total Volume 2,213.158 647 5,261 2,395 1,992 Total OI 36,478.947 33,644 42,053 34,834 35,563
Daily Data (19 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2019-02-01 $95.31 $95.00 18.7% 4.7% 13.1% 33.4% 16.0% 3.4% -0.3% 3.1M -57.6M -598.6K 0.41 9.07 N/A N/A 1,702 693 17,391 17,443 2019-02-04 $95.78 $92.50 19.5% 4.6% 11.1% 36.4% 15.0% 3.0% -0.5% 3.8M -67.0M -585.1K 0.30 11.01 N/A N/A 995 301 18,008 17,477 2019-02-05 $97.06 $92.50 19.3% 4.3% 11.7% 35.6% 15.5% 3.4% -0.0% 4.3M -85.9M -572.3K 0.69 12.73 N/A N/A 1,686 1,162 18,577 17,592 2019-02-06 $96.55 $95.00 15.1% 4.3% 11.6% 19.9% 15.4% 3.5% 0.0% 4.8M -83.7M -551.7K 1.75 9.63 N/A N/A 658 1,151 19,082 16,783 2019-02-07 $96.70 $95.00 16.0% 4.6% 11.4% 31.8% 16.9% 3.3% -0.7% 4.4M -82.0M -560.1K 0.39 12.48 N/A N/A 2,888 1,127 19,216 17,107 2019-02-08 $97.09 $95.00 16.1% 4.6% 10.7% 32.4% 16.9% 3.4% -0.5% 4.8M -84.0M -594.3K 1.46 7.67 N/A N/A 752 1,100 19,728 17,813 2019-02-11 $97.37 $95.00 17.0% 4.9% 10.7% 37.2% 17.1% 3.0% -1.0% 4.9M -88.3M -585.8K 0.47 12.47 N/A N/A 1,308 609 19,918 17,905 2019-02-12 $98.45 $95.00 16.5% 4.7% 10.9% 37.6% 16.6% 2.6% -1.1% 5.2M -105.8M -565.5K 0.73 12.01 N/A N/A 1,810 1,317 20,390 18,089 2019-02-13 $98.42 $95.00 16.9% 4.9% 10.8% 42.4% 15.7% 3.1% -1.6% 5.0M -102.8M -564.6K 0.46 9.48 N/A N/A 3,596 1,665 20,895 18,876 2019-02-14 $99.09 $95.00 14.1% 4.0% 9.6% 25.6% 15.2% 2.2% 0.6% 7.0M -120.3M -532.0K 0.79 9.77 N/A N/A 2,751 2,179 22,585 18,477 2019-02-15 $99.15 $95.00 13.8% 4.0% 9.6% 23.7% 15.1% 2.1% 0.6% 4.1M -115.9M -552.7K 1.06 15.93 N/A N/A 1,427 1,509 23,088 18,965 2019-02-19 $99.00 $95.00 13.6% 3.9% 9.1% 22.3% 14.3% 1.6% 0.5% 4.3M -81.6M -529.0K 2.34 12.48 N/A N/A 489 1,143 18,179 15,465 2019-02-20 $99.15 $95.00 13.2% 3.8% 9.1% 20.3% 14.4% 1.6% 0.5% 4.2M -80.3M -544.7K 1.12 12.49 N/A N/A 305 342 18,350 16,062 2019-02-21 $99.17 $97.50 13.0% 3.7% 9.1% 18.9% 14.1% 1.5% 0.8% 4.2M -80.6M -541.6K 1.10 15.73 N/A N/A 349 384 18,376 16,163 2019-02-22 $99.52 $97.50 12.8% 3.7% 8.8% 17.7% 13.8% 4.4% 0.8% 4.2M -83.6M -539.4K 0.72 11.03 N/A N/A 831 599 18,413 16,273 2019-02-25 $99.27 $97.50 13.2% 3.8% 8.9% 20.1% 14.1% 4.0% 0.8% 4.3M -82.9M -536.1K 1.32 10.33 N/A N/A 306 405 18,562 16,317 2019-02-26 $99.37 $97.50 13.6% 3.9% 8.1% 22.3% 14.8% 3.8% 0.4% 4.4M -83.5M -528.0K 1.11 6.54 N/A N/A 419 465 18,633 16,260 2019-02-27 $100.23 $97.50 13.8% 4.0% 8.4% 23.7% 14.2% 0.9% 0.7% 4.7M -93.4M -515.2K 0.59 8.38 N/A N/A 1,029 606 18,791 16,288 2019-02-28 $100.98 $97.50 14.1% 4.1% 8.5% 25.8% 14.4% 1.3% 0.4% 5.0M -103.2M -521.0K 0.33 12.32 N/A N/A 1,498 494 19,256 16,307
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