WM Options History — March 2019

In March 2019, WM traded between $98.69 and $103.76. ATM implied volatility averaged 14.2%, placing in the 26.0% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 5.0% (HV 20d: 9.1%). Max pain ranged from $92.50 to $105.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.13.

Notable Days

  • 2019-03-01: Highest Volume — 3,444 contracts
  • 2019-03-26: Largest IV drop — 19.7% change
  • 2019-03-08: Highest IV Rank — 39.8%
  • 2019-03-25: Largest Expected Move — 5.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$101.25$98.69$103.76$101.24$103.76
Max Pain$98.38$92.50$105.00$97.50$100.00
ATM IV14.2%12.3%16.4%14.3%12.3%
Expected Move4.4%4.1%5.1%4.1%4.4%
HV 20d9.1%7.4%10.4%8.0%9.9%
HV 60d14.9%10.3%16.9%16.7%10.3%
IV Rank26.0%14.9%39.8%26.5%14.9%
IV Percentile39.6%20.6%62.7%40.9%20.6%
Term Structure1.2%-0.5%3.0%0.5%2.9%
VWIV16.3%14.1%19.4%15.2%16.4%
Skew 25d3.3%2.1%5.7%5.7%5.1%
Skew 10d8.2%6.0%10.5%10.0%9.8%
Call IV 25d12.6%9.8%14.4%9.8%10.7%
Put IV 25d15.9%14.3%17.8%15.5%15.7%
Bid-Ask Spread %12.555.4321.4011.679.20
Gamma HHI0.270.220.360.260.30
Net GEX4.1M3.1M5.2M4.6M4.2M
Net DEX-94.9M-111.0M-65.5M-106.5M-111.0M
Net VEX-567.2K-613.7K-539.0K-543.3K-564.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.130.183.752.040.82
Total Volume1,425.0485183,4443,444734
Total OI36,623.76233,64338,72136,24237,131

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-03-01$101.24$97.5014.3%4.1%8.0%26.5%15.2%5.7%0.5%4.6M-106.5M-543.3K2.0411.67N/AN/A1,1322,31219,91816,324
2019-03-04$100.38$97.5015.1%4.3%8.3%31.4%18.4%3.3%-0.1%4.7M-97.9M-581.0K0.488.11N/AN/A1,86889820,40117,387
2019-03-05$100.05$97.5014.2%4.1%8.5%25.9%16.9%3.0%0.0%4.5M-92.7M-591.4K0.6411.59N/AN/A70345220,66617,880
2019-03-06$100.09$97.5014.2%4.1%7.5%25.9%19.4%3.0%0.4%4.7M-94.9M-577.4K0.255.94N/AN/A1,78345120,68318,038
2019-03-07$99.63$100.0014.2%4.1%7.4%26.2%14.1%3.4%0.0%3.9M-76.3M-590.9K0.375.43N/AN/A1,37851119,07218,064
2019-03-08$98.69$100.0016.4%4.7%8.4%39.8%15.1%3.4%-0.5%3.1M-65.5M-613.7K0.498.83N/AN/A1,08453619,27118,338
2019-03-11$99.77$92.5015.7%4.2%9.0%35.3%15.5%2.8%0.4%4.6M-81.5M-574.2K1.4215.85N/AN/A21430419,14118,399
2019-03-12$100.58$92.5014.4%4.2%9.3%27.2%14.7%3.0%0.4%5.0M-90.7M-571.4K3.1020.82N/AN/A3821,18519,26018,535
2019-03-13$100.99$92.5014.1%4.3%8.7%25.5%15.9%2.7%0.6%5.2M-98.2M-550.0K1.1221.40N/AN/A33237119,32618,285
2019-03-14$101.22$92.5014.3%4.3%8.7%26.5%15.4%3.0%0.5%3.6M-101.5M-549.0K1.2117.27N/AN/A25630919,35618,343
2019-03-15$100.56$92.5013.5%4.2%8.9%21.8%15.5%2.7%1.3%4.0M-96.5M-550.3K1.1514.80N/AN/A49456619,37818,384
2019-03-18$101.35$0.0013.5%4.5%9.2%21.8%15.1%2.7%2.0%4.0M-93.2M-539.0K3.759.69N/AN/A3131,17516,86416,779
2019-03-19$100.90$100.0014.1%4.5%9.4%25.3%17.1%2.5%1.9%3.6M-89.9M-554.8K0.6416.68N/AN/A41026317,09617,579
2019-03-20$100.79$100.0014.1%4.5%9.4%25.4%15.8%2.1%1.4%3.7M-88.1M-569.9K0.7318.09N/AN/A35926217,23517,681
2019-03-21$102.02$100.0014.1%4.5%10.2%25.8%15.1%2.9%1.5%3.7M-98.5M-550.3K0.538.87N/AN/A70737217,29017,724
2019-03-22$102.06$100.0015.5%4.9%10.2%34.0%15.6%2.5%1.5%3.6M-98.1M-561.1K0.8716.89N/AN/A63655317,30017,744
2019-03-25$102.33$105.0015.8%5.1%10.1%36.2%18.4%2.8%1.9%3.4M-96.4M-577.3K2.1914.31N/AN/A4801,04917,34217,863
2019-03-26$103.22$105.0012.7%4.5%10.4%17.2%18.4%4.3%3.0%3.4M-105.7M-557.6K1.0012.60N/AN/A67467417,56618,292
2019-03-27$103.17$105.0012.7%4.4%10.1%16.9%15.9%3.9%2.6%3.5M-103.5M-567.8K0.187.53N/AN/A2,22539817,72118,523
2019-03-28$103.40$100.0012.5%4.4%9.9%15.7%18.6%4.3%3.0%4.0M-106.3M-576.5K0.707.97N/AN/A66046118,41918,501
2019-03-29$103.76$100.0012.3%4.4%9.9%14.9%16.4%5.1%2.9%4.2M-111.0M-564.2K0.829.20N/AN/A40433018,57418,557