WM Options History — July 2019

In July 2019, WM traded between $115.19 and $118.42. ATM implied volatility averaged 16.1%, placing in the 40.2% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 4.8% (HV 20d: 11.3%). Max pain ranged from $110.00 to $115.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 0.58.

Notable Days

  • 2019-07-10: Highest Volume — 3,841 contracts
  • 2019-07-26: Largest IV drop — 17.4% change
  • 2019-07-23: Highest IV Rank — 63.4%
  • 2019-07-23: Largest Expected Move — 5.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$117.22$115.19$118.42$115.19$117.55
Max Pain$113.86$110.00$115.00$110.00$115.00
ATM IV16.1%13.7%19.7%14.4%14.3%
Expected Move4.8%3.9%5.6%4.1%4.1%
HV 20d11.3%9.8%13.5%13.4%10.2%
HV 60d12.0%11.2%13.7%13.5%11.8%
IV Rank40.2%24.4%63.4%29.1%29.0%
IV Percentile55.9%25.4%90.9%37.3%34.5%
Term Structure-0.3%-2.3%3.7%3.4%-0.3%
VWIV16.7%13.1%19.1%14.7%15.0%
Skew 25d3.3%2.3%4.2%3.2%2.3%
Skew 10d7.7%4.5%11.1%4.5%10.1%
Call IV 25d15.4%11.8%18.0%13.8%14.2%
Put IV 25d18.7%14.2%21.1%17.0%16.5%
Bid-Ask Spread %11.328.3617.368.4917.36
Gamma HHI0.340.240.520.240.49
Net GEX5.3M2.9M7.0M4.8M6.1M
Net DEX-145.0M-179.5M-95.1M-126.1M-119.1M
Net VEX-747.2K-779.1K-704.7K-779.1K-772.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.580.211.800.280.35
Total Volume1,978.9559373,8411,3611,142
Total OI51,502.27343,72958,21551,18148,372

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-07-01$115.19$110.0014.4%4.1%13.4%29.1%14.7%3.2%3.4%4.8M-126.1M-779.1K0.288.49N/AN/A1,06729424,19826,983
2019-07-02$115.99$110.0013.7%3.9%13.5%24.6%13.1%3.7%3.6%5.4M-139.5M-761.8K0.4311.98N/AN/A84436624,39027,152
2019-07-03$117.13$110.0013.7%3.9%12.6%24.5%13.2%2.4%3.7%5.6M-150.9M-770.7K0.3710.47N/AN/A83231024,61127,365
2019-07-05$116.53$115.0014.2%5.2%12.8%28.0%18.4%3.4%-0.9%5.2M-145.3M-728.1K0.538.64N/AN/A87546524,65627,106
2019-07-08$116.92$110.0014.9%5.3%12.7%32.6%17.9%4.2%-1.2%5.8M-156.1M-723.5K0.418.36N/AN/A87035324,97427,337
2019-07-09$116.87$110.0014.6%5.4%12.6%30.6%18.5%3.7%-1.3%5.5M-154.2M-733.9K0.518.51N/AN/A1,11857125,27627,511
2019-07-10$117.72$115.0016.5%4.7%12.1%42.7%16.9%4.0%-0.7%6.2M-169.5M-727.2K0.2614.99N/AN/A3,06078125,75627,853
2019-07-11$117.31$115.0018.4%5.3%11.8%55.5%16.8%3.6%-1.1%5.9M-166.0M-714.0K0.6711.70N/AN/A1,8501,23226,21227,855
2019-07-12$117.65$115.0016.3%4.7%11.4%41.7%17.6%3.5%-0.5%6.5M-173.4M-711.9K0.459.91N/AN/A1,17353127,37028,390
2019-07-15$118.08$115.0016.6%4.8%10.8%43.5%18.5%3.5%-0.6%7.0M-177.7M-752.5K0.519.96N/AN/A1,21661827,73128,444
2019-07-16$118.08$115.0016.9%4.9%10.6%45.7%17.6%3.5%-0.9%6.8M-176.4M-760.8K1.8010.67N/AN/A7791,40527,98928,758
2019-07-17$118.42$115.0016.4%4.7%10.6%42.3%17.7%2.9%-0.5%4.5M-179.5M-749.2K1.0712.75N/AN/A91297428,04029,406
2019-07-18$117.76$115.0017.2%4.9%10.8%47.6%17.8%3.3%-1.2%3.4M-174.0M-722.9K0.4211.30N/AN/A1,47562128,02929,507
2019-07-19$116.97$115.0019.0%5.5%10.5%59.2%18.1%3.6%-1.7%3.4M-164.7M-776.8K0.289.84N/AN/A1,55543628,51929,696
2019-07-22$116.95$115.0019.5%5.6%10.4%62.6%18.9%3.7%-1.9%3.6M-110.2M-775.7K0.5711.05N/AN/A90151422,24421,485
2019-07-23$117.20$115.0019.7%5.6%10.2%63.4%19.1%3.8%-2.2%3.6M-112.9M-768.5K0.8011.09N/AN/A81965722,39521,814
2019-07-24$115.69$115.0019.2%5.5%11.2%60.2%18.6%2.5%-2.3%2.9M-95.1M-767.6K0.2115.07N/AN/A2,62655622,60222,101
2019-07-25$116.69$115.0016.5%4.7%9.8%43.1%15.4%3.0%-0.4%4.7M-113.9M-733.7K0.3111.94N/AN/A2,87489624,19022,817
2019-07-26$118.40$115.0013.7%3.9%10.4%24.4%14.2%2.6%0.4%6.7M-135.3M-734.9K0.5913.09N/AN/A1,9571,16024,93822,901
2019-07-29$117.88$115.0013.9%4.0%10.4%26.2%15.1%2.6%0.4%7.0M-126.8M-704.7K1.3811.39N/AN/A8041,11125,07422,650
2019-07-30$117.78$115.0014.1%4.0%10.3%27.1%14.6%3.3%0.3%6.1M-123.1M-767.2K0.5810.56N/AN/A59334425,10423,249
2019-07-31$117.55$115.0014.3%4.1%10.2%29.0%15.0%2.3%-0.3%6.1M-119.1M-772.9K0.3517.36N/AN/A84529725,20423,168