WM Options History — October 2019 In October 2019, WM traded between $111.28 and $117.25. ATM implied volatility averaged 18.7%, placing in the 51.0% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 1.8% (HV 20d: 16.9%). Max pain ranged from $110.00 to $115.00. Net GEX was positive for 21 of 23 trading days. Term structure was in contango for 4 of 23 days. Put/call ratio averaged 0.46.
Notable Days 2019-10-22 : Highest Volume — 5,290 contracts2019-10-23 : Largest IV drop — 17.6% change2019-10-09 : Highest IV Rank — 68.0%2019-10-03 : Largest Expected Move — 6.1%Monthly Statistics Metric Avg Min Max Open Close Price $114.88 $111.28 $117.25 $115.00 $112.12 Max Pain $114.57 $110.00 $115.00 $110.00 $115.00 ATM IV 18.7% 15.6% 21.0% 18.1% 17.1% Expected Move 5.5% 4.5% 6.1% 5.2% 4.9% HV 20d 16.9% 14.1% 21.5% 21.4% 16.3% HV 60d 18.6% 18.0% 19.5% 18.1% 18.4% IV Rank 51.0% 27.9% 68.0% 49.4% 38.9% IV Percentile 76.2% 30.6% 95.6% 74.6% 62.3% Term Structure -1.1% -2.5% 2.4% 2.4% -0.3% VWIV 19.0% 16.3% 21.3% 18.3% 16.8% Skew 25d 3.6% 2.0% 5.1% 3.4% 2.3% Skew 10d 7.4% 3.8% 11.4% 9.0% 3.8% Call IV 25d 17.6% 15.5% 19.5% 17.0% 15.5% Put IV 25d 21.2% 17.8% 23.6% 20.4% 17.8% Bid-Ask Spread % 22.18 8.94 36.24 13.25 9.01 Gamma HHI 0.25 0.20 0.38 0.21 0.21 Net GEX 2.1M -307.7K 4.3M 1.3M 260.9K Net DEX -83.4M -138.3M -37.2M -78.7M -49.0M Net VEX -677.9K -747.0K -628.1K -747.0K -640.5K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.46 0.10 1.41 0.23 0.24 Total Volume 2,162.913 710 5,290 2,312 1,289 Total OI 51,491.739 42,178 57,312 52,093 49,890
Daily Data (23 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 2019-10-01 $115.00 $110.00 18.1% 5.2% 21.4% 49.4% 18.3% 3.4% 2.4% 1.3M -78.7M -747.0K 0.23 13.25 N/A N/A 1,879 433 25,122 26,971 2019-10-02 $114.99 $110.00 18.8% 5.4% 20.9% 53.9% 21.0% 5.1% 2.2% 1.7M -84.4M -728.2K 0.88 14.79 N/A N/A 778 683 25,258 27,109 2019-10-03 $114.84 $115.00 18.4% 6.1% 20.6% 48.3% 21.3% 4.0% -1.9% 1.7M -80.7M -743.9K 1.41 34.54 N/A N/A 556 782 25,745 27,109 2019-10-04 $116.68 $115.00 17.8% 5.9% 21.5% 43.6% 19.5% 4.7% -2.0% 2.9M -101.3M -743.6K 0.19 26.27 N/A N/A 1,930 361 25,787 27,584 2019-10-07 $115.78 $115.00 17.8% 5.9% 21.1% 44.0% 19.8% 4.0% -2.0% 2.2M -95.7M -687.8K 0.30 26.48 N/A N/A 1,252 373 25,889 27,715 2019-10-08 $115.01 $115.00 18.7% 6.1% 16.0% 50.8% 21.1% 4.3% -2.1% 1.3M -81.9M -717.2K 0.10 22.50 N/A N/A 645 65 26,081 27,730 2019-10-09 $115.66 $115.00 21.0% 6.0% 15.4% 68.0% 19.9% 3.7% -2.0% 2.2M -91.9M -716.9K 0.34 24.86 N/A N/A 872 299 26,176 27,739 2019-10-10 $117.25 $115.00 20.9% 6.0% 15.6% 67.0% 19.7% 4.0% -1.7% 4.3M -115.8M -698.7K 0.18 31.61 N/A N/A 1,416 258 26,211 27,746 2019-10-11 $116.88 $115.00 20.3% 5.8% 15.0% 63.0% 18.7% 3.7% -1.3% 3.8M -114.5M -659.3K 0.15 34.41 N/A N/A 1,337 203 26,023 27,757 2019-10-14 $116.08 $115.00 20.5% 5.9% 15.3% 64.2% 19.1% 3.8% -2.1% 2.6M -105.2M -639.8K 0.13 36.24 N/A N/A 3,107 416 26,600 27,787 2019-10-15 $115.74 $115.00 19.7% 5.6% 14.1% 57.9% 18.7% 3.6% -1.8% 3.2M -101.8M -669.0K 0.21 32.19 N/A N/A 1,822 374 27,729 28,011 2019-10-16 $114.99 $115.00 19.6% 5.6% 14.3% 57.6% 20.0% 3.8% -2.1% 3.3M -95.0M -650.1K 0.27 26.84 N/A N/A 1,151 313 28,378 28,012 2019-10-17 $116.31 $115.00 18.7% 5.4% 14.7% 50.6% 18.5% 3.4% -1.5% 4.2M -114.8M -670.9K 0.14 25.67 N/A N/A 1,853 257 28,708 28,060 2019-10-18 $117.16 $115.00 20.2% 5.8% 14.8% 61.7% 19.3% 3.8% -2.5% 4.0M -138.3M -628.1K 0.48 23.88 N/A N/A 1,433 683 29,198 28,114 2019-10-21 $117.19 $115.00 20.1% 5.8% 14.8% 61.4% 20.2% 3.5% -1.7% 3.8M -96.1M -668.1K 1.14 19.40 N/A N/A 911 1,034 21,646 20,532 2019-10-22 $116.72 $115.00 20.9% 6.0% 14.9% 67.2% 20.7% 3.7% -2.4% 3.3M -93.2M -681.1K 0.90 16.98 N/A N/A 2,782 2,508 22,095 21,092 2019-10-23 $113.33 $115.00 17.2% 4.9% 18.1% 39.8% 17.9% 3.0% -0.7% 609.3K -52.9M -666.6K 0.70 8.94 N/A N/A 2,672 1,870 24,074 22,353 2019-10-24 $113.07 $115.00 15.6% 4.5% 17.6% 27.9% 16.3% 2.6% 0.3% -50.4K -49.8M -652.7K 0.81 15.52 N/A N/A 2,373 1,929 24,700 22,659 2019-10-25 $111.48 $115.00 17.3% 5.0% 17.0% 40.5% 16.6% 3.4% 0.0% -307.7K -37.2M -650.1K 0.33 13.99 N/A N/A 1,619 541 25,267 22,406 2019-10-28 $111.28 $115.00 17.9% 5.1% 15.9% 44.7% 17.1% 3.6% -0.8% 5.2K -39.0M -641.8K 0.40 11.68 N/A N/A 777 314 26,034 22,489 2019-10-29 $112.02 $115.00 17.9% 5.1% 16.2% 44.7% 18.2% 3.3% -0.9% 360.1K -47.4M -649.6K 0.52 17.17 N/A N/A 1,399 727 26,286 22,668 2019-10-30 $112.55 $115.00 15.7% 4.5% 16.3% 28.2% 18.1% 2.0% -0.4% 803.3K -54.0M -641.5K 0.64 23.86 N/A N/A 897 574 26,761 23,009 2019-10-31 $112.12 $115.00 17.1% 4.9% 16.3% 38.9% 16.8% 2.3% -0.3% 260.9K -49.0M -640.5K 0.24 9.01 N/A N/A 1,037 252 26,848 23,042
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