WM Options History — August 2019

In August 2019, WM traded between $113.91 and $120.46. ATM implied volatility averaged 17.3%, placing in the 48.4% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded below realized volatility by 0.5% (HV 20d: 17.9%). Max pain ranged from $115.00 to $115.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 0.81.

Notable Days

  • 2019-08-23: Highest Volume — 4,234 contracts
  • 2019-08-12: Largest IV spike — 25.8% change
  • 2019-08-05: Highest IV Rank — 76.9%
  • 2019-08-14: Largest Expected Move — 5.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$117.81$113.91$120.46$116.53$119.24
Max Pain$115.00$115.00$115.00$115.00$115.00
ATM IV17.3%14.8%21.7%16.9%14.8%
Expected Move4.9%4.3%5.7%4.8%4.3%
HV 20d17.9%9.9%21.4%10.1%21.3%
HV 60d14.1%11.4%15.6%11.5%15.2%
IV Rank48.4%32.1%76.9%45.2%32.1%
IV Percentile64.2%29.4%97.6%67.5%29.4%
Term Structure0.3%-0.4%0.9%0.0%0.6%
VWIV17.7%15.9%19.7%16.4%15.9%
Skew 25d3.8%2.6%4.7%2.6%2.6%
Skew 10d8.2%6.0%10.3%7.5%6.0%
Call IV 25d15.9%14.4%18.1%15.5%14.7%
Put IV 25d19.7%17.3%22.7%18.1%17.3%
Bid-Ask Spread %23.5913.1831.7417.9315.30
Gamma HHI0.350.200.610.410.25
Net GEX4.2M1.4M9.7M4.6M3.3M
Net DEX-113.8M-146.3M-70.5M-108.5M-129.0M
Net VEX-702.0K-787.6K-625.9K-729.7K-653.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.810.092.620.370.60
Total Volume1,608.3645914,2341,7691,768
Total OI46,992.54541,36248,78948,42447,875

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-08-01$116.53$115.0016.9%4.8%10.1%45.2%16.4%2.6%0.0%4.6M-108.5M-729.7K0.3717.93N/AN/A1,28948025,11423,310
2019-08-02$116.78$115.0017.5%5.0%9.9%49.3%16.6%3.4%0.2%4.9M-109.4M-760.2K0.3119.83N/AN/A45014124,98823,427
2019-08-05$113.91$115.0021.7%5.5%13.2%76.9%19.7%4.6%-0.2%1.7M-70.5M-787.6K0.4829.34N/AN/A1,40167925,00323,448
2019-08-06$115.73$115.0020.0%5.3%14.6%65.6%18.7%3.9%0.3%3.2M-93.5M-740.2K0.2523.08N/AN/A87121524,92123,565
2019-08-07$117.03$115.0020.8%5.4%14.9%70.9%18.9%4.3%0.2%4.8M-107.0M-772.6K0.3717.22N/AN/A91233624,98623,583
2019-08-08$118.61$115.0015.5%4.6%15.6%36.4%17.2%4.3%0.8%7.2M-133.1M-701.2K0.3727.73N/AN/A67425224,82923,787
2019-08-09$119.41$115.0015.3%4.6%15.7%34.9%18.0%3.8%0.6%8.5M-146.3M-682.9K1.2431.74N/AN/A59674124,81523,868
2019-08-12$117.78$115.0019.2%5.0%16.5%60.5%18.8%4.4%0.8%5.6M-114.8M-727.7K0.2827.56N/AN/A67719024,72724,062
2019-08-13$118.97$115.0017.1%4.8%16.9%46.5%16.8%3.6%0.7%9.7M-138.7M-661.0K0.3819.84N/AN/A74728524,75623,930
2019-08-14$116.40$115.0019.9%5.7%18.6%65.3%19.1%4.4%-0.1%2.1M-91.9M-734.3K0.2127.23N/AN/A1,31727224,65523,957
2019-08-15$118.42$115.0017.8%5.1%19.6%51.6%18.9%4.7%0.9%4.6M-117.6M-675.3K0.5423.15N/AN/A58731724,58923,782
2019-08-16$119.13$115.0016.8%4.8%19.5%45.0%18.0%3.9%0.8%8.0M-124.4M-653.9K0.2527.99N/AN/A1,40035024,66923,863
2019-08-19$120.46$115.0016.2%4.6%19.8%41.0%16.8%3.6%0.7%3.7M-133.3M-633.2K1.1018.66N/AN/A1,1591,27520,43420,928
2019-08-20$118.28$115.0016.0%4.6%21.0%39.9%16.5%2.9%0.2%3.3M-118.2M-625.9K2.6230.03N/AN/A8282,17020,67220,857
2019-08-21$118.59$115.0015.2%4.3%20.4%34.2%15.9%3.4%0.6%3.5M-121.5M-643.0K0.4425.26N/AN/A93340720,99322,063
2019-08-22$118.24$115.0015.7%4.5%20.3%38.0%16.8%3.5%-0.2%3.4M-116.5M-656.4K2.3222.11N/AN/A40794521,20221,933
2019-08-23$115.95$115.0018.7%5.4%20.8%57.4%19.2%4.0%-0.4%1.9M-89.2M-731.3K2.5429.76N/AN/A1,1963,03821,38122,709
2019-08-26$116.68$115.0018.8%5.4%20.9%57.9%18.1%4.3%-0.4%1.4M-95.4M-716.3K1.8522.96N/AN/A36667722,14024,910
2019-08-27$118.08$115.0016.6%4.8%21.4%43.5%17.5%4.1%0.1%2.0M-106.1M-755.0K0.6824.08N/AN/A1,39694622,28625,401
2019-08-28$118.29$115.0016.1%4.6%21.4%40.0%17.4%3.8%0.3%2.2M-109.4M-746.4K0.0925.04N/AN/A7577022,41425,136
2019-08-29$119.28$115.0015.0%4.3%21.3%32.9%17.1%3.4%0.4%3.3M-128.6M-656.8K0.5613.18N/AN/A1,19866922,69625,172
2019-08-30$119.24$115.0014.8%4.3%21.3%32.1%15.9%2.6%0.6%3.3M-129.0M-653.6K0.6015.30N/AN/A1,10766122,67725,198