WM Options History — September 2019

In September 2019, WM traded between $111.76 and $120.60. ATM implied volatility averaged 16.5%, placing in the 41.2% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded below realized volatility by 3.8% (HV 20d: 20.3%). Max pain ranged from $110.00 to $115.00. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.51.

Notable Days

  • 2019-09-10: Highest Volume — 7,285 contracts
  • 2019-09-10: Largest IV spike — 16.1% change
  • 2019-09-11: Highest IV Rank — 58.0%
  • 2019-09-11: Largest Expected Move — 5.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$115.19$111.76$120.60$119.42$114.96
Max Pain$110.50$110.00$115.00$115.00$110.00
ATM IV16.5%14.2%19.0%16.3%16.8%
Expected Move4.8%4.4%5.5%4.7%4.8%
HV 20d20.3%18.2%22.7%18.9%21.4%
HV 60d17.0%15.1%18.1%15.1%18.1%
IV Rank41.2%27.8%58.0%41.4%39.8%
IV Percentile53.3%21.8%85.7%52.8%57.5%
Term Structure1.3%-0.2%3.2%-0.2%2.7%
VWIV16.9%15.7%19.5%16.8%17.1%
Skew 25d3.5%3.0%3.9%3.3%3.5%
Skew 10d7.8%6.8%9.1%6.8%8.3%
Call IV 25d15.7%14.3%17.3%15.8%16.0%
Put IV 25d19.1%17.7%21.0%19.2%19.5%
Bid-Ask Spread %26.6414.8041.1315.1414.80
Gamma HHI0.210.170.310.230.22
Net GEX1.8M-2.8M5.9M3.3M1.7M
Net DEX-77.2M-140.4M-26.8M-125.3M-82.7M
Net VEX-717.5K-771.1K-647.2K-694.3K-708.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.510.091.710.680.23
Total Volume2,482.358917,2852,311891
Total OI51,975.3547,86656,95848,55352,088

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-09-03$119.42$115.0016.3%4.7%18.9%41.4%16.8%3.3%-0.2%3.3M-125.3M-694.3K0.6815.14N/AN/A1,37293923,03825,515
2019-09-04$120.60$115.0015.6%4.5%18.5%37.3%15.8%3.4%-0.1%4.3M-140.4M-650.8K0.5317.27N/AN/A1,34570923,08726,182
2019-09-05$119.12$110.0014.9%4.4%18.8%32.4%15.7%3.2%1.0%3.2M-114.9M-678.3K0.9629.57N/AN/A1,8151,74821,92325,943
2019-09-06$119.32$110.0014.2%4.4%18.2%27.8%16.3%3.5%0.8%3.5M-119.3M-647.2K0.1532.54N/AN/A81311822,34326,457
2019-09-09$117.57$110.0016.0%4.6%18.8%39.6%16.2%3.7%0.5%1.4M-91.1M-708.3K0.7830.06N/AN/A1,26998422,42326,480
2019-09-10$113.16$110.0018.6%5.1%22.7%55.9%18.2%3.7%0.3%-2.8M-37.2M-715.2K0.8633.43N/AN/A3,9173,36822,81827,204
2019-09-11$111.85$110.0019.0%5.5%22.4%58.0%17.6%3.9%-0.1%-1.8M-26.8M-761.6K0.3129.18N/AN/A2,89190125,07127,009
2019-09-12$113.12$110.0016.8%4.8%21.8%42.8%17.0%3.6%0.5%296.3K-47.2M-771.1K0.0941.13N/AN/A3,01327327,16327,266
2019-09-13$111.90$110.0018.3%5.2%20.9%52.9%17.2%3.5%0.4%-485.2K-35.3M-747.3K0.4528.71N/AN/A3,5381,60027,89927,304
2019-09-16$111.76$110.0018.1%5.2%20.7%52.0%18.7%3.6%0.7%-951.0K-30.8M-732.4K0.6036.15N/AN/A85751628,71927,576
2019-09-17$113.83$110.0016.0%4.6%21.5%37.8%16.3%3.4%1.4%2.5M-68.0M-728.2K0.1137.22N/AN/A2,61928329,01627,709
2019-09-18$114.20$110.0015.9%4.6%20.8%37.2%16.4%3.3%1.8%2.9M-65.4M-741.2K0.2733.83N/AN/A87723828,85627,776
2019-09-19$114.85$110.0015.7%4.5%20.9%35.6%16.0%3.2%1.6%5.9M-81.8M-693.6K0.3524.85N/AN/A1,36747528,86827,806
2019-09-20$115.42$110.0016.2%4.7%21.0%39.1%16.1%3.0%1.6%4.6M-106.1M-728.5K0.3124.17N/AN/A1,97261828,93328,025
2019-09-23$115.06$110.0016.0%4.6%19.9%37.4%16.7%3.4%2.6%1.9M-78.8M-722.3K0.5120.65N/AN/A92146824,03825,055
2019-09-24$115.10$110.0017.3%5.0%19.7%44.1%17.8%3.7%1.9%1.9M-78.3M-737.5K0.9022.41N/AN/A76968924,28925,307
2019-09-25$114.08$110.0016.1%4.6%19.3%35.6%16.3%3.2%3.1%1.5M-74.8M-711.8K0.2219.99N/AN/A1,18025424,27525,550
2019-09-26$115.33$110.0015.7%4.5%19.8%32.9%16.0%3.7%3.2%2.0M-81.8M-731.2K0.2522.10N/AN/A86521424,57225,661
2019-09-27$113.19$110.0017.4%5.0%20.4%45.1%19.5%3.6%2.6%764.4K-58.8M-740.5K1.7119.58N/AN/A1,0931,86824,49525,768
2019-09-30$114.96$110.0016.8%4.8%21.4%39.8%17.1%3.5%2.7%1.7M-82.7M-708.5K0.2314.80N/AN/A72516625,17926,909