WM Options History — November 2019

In November 2019, WM traded between $108.44 and $112.92. ATM implied volatility averaged 15.9%, placing in the 30.1% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 0.7% (HV 20d: 15.2%). Max pain ranged from $110.00 to $115.00. Net GEX was positive for 11 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 0.95.

Notable Days

  • 2019-11-05: Highest Volume — 10,207 contracts
  • 2019-11-20: Largest IV spike — 18.6% change
  • 2019-11-11: Highest IV Rank — 44.3%
  • 2019-11-05: Largest Expected Move — 4.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$111.19$108.44$112.92$111.01$112.73
Max Pain$110.25$110.00$115.00$115.00$110.00
ATM IV15.9%13.5%17.8%16.3%14.0%
Expected Move4.5%3.9%4.8%4.7%4.0%
HV 20d15.2%12.5%16.9%15.3%14.3%
HV 60d17.4%16.7%18.5%18.3%17.0%
IV Rank30.1%12.1%44.3%33.1%15.6%
IV Percentile41.9%5.2%73.4%50.0%10.3%
Term Structure0.1%-0.6%0.7%-0.2%0.3%
VWIV15.7%13.9%17.9%15.7%14.6%
Skew 25d3.0%1.9%3.6%2.2%2.3%
Skew 10d6.3%4.4%8.9%5.3%8.7%
Call IV 25d14.6%13.3%16.7%15.7%14.0%
Put IV 25d17.6%15.7%20.0%17.9%16.3%
Bid-Ask Spread %18.9112.1726.6417.6816.63
Gamma HHI0.220.170.300.190.30
Net GEX163.8K-4.5M3.7M-617.4K3.7M
Net DEX-47.9M-78.1M-6.6M-36.2M-78.1M
Net VEX-616.3K-665.3K-577.7K-620.2K-606.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.950.113.920.350.57
Total Volume2,054.930410,2071,888304
Total OI52,930.745,30561,14250,44848,585

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-11-01$111.01$115.0016.3%4.7%15.3%33.1%15.7%2.2%-0.2%-617.4K-36.2M-620.2K0.3517.68N/AN/A1,39649227,29223,156
2019-11-04$110.49$110.0017.1%4.7%15.2%39.0%16.0%3.1%-0.1%-608.5K-32.2M-632.6K1.9319.62N/AN/A1,0201,97328,19423,357
2019-11-05$108.44$110.0017.8%4.8%16.2%43.9%17.9%3.4%-0.0%-1.6M-6.6M-628.2K3.9225.76N/AN/A2,0748,13328,45623,784
2019-11-06$109.74$110.0017.0%4.7%16.8%37.7%16.7%3.5%0.2%-4.5M-14.7M-665.3K1.3422.37N/AN/A1,7102,28829,02130,456
2019-11-07$110.39$110.0016.9%4.7%16.0%37.4%16.2%3.4%0.3%-2.9M-33.6M-635.6K1.9926.64N/AN/A7831,55929,42031,279
2019-11-08$110.90$110.0016.8%4.6%16.2%36.8%16.3%3.5%0.3%-1.7M-38.4M-651.2K1.2326.01N/AN/A49560829,64030,614
2019-11-11$110.32$110.0017.8%4.5%16.2%44.3%16.0%3.0%0.2%-1.7M-37.7M-610.3K0.4516.79N/AN/A71532529,77930,444
2019-11-12$109.87$110.0017.5%4.5%16.2%41.8%16.4%3.0%-0.0%-2.6M-25.6M-615.2K0.7820.57N/AN/A70755430,08130,466
2019-11-13$111.17$110.0016.0%4.6%16.9%30.8%15.6%3.4%0.4%-250.4K-47.8M-623.0K0.1120.92N/AN/A1,27614430,26730,472
2019-11-14$111.92$110.0016.1%4.6%16.5%31.5%16.0%3.6%-0.1%687.1K-57.4M-623.6K1.1618.95N/AN/A76688630,43530,480
2019-11-15$111.83$110.0015.2%4.4%16.1%24.6%14.1%3.0%0.1%1.4M-65.3M-598.9K0.3316.20N/AN/A1,56752030,36430,778
2019-11-18$112.10$110.0016.3%4.7%16.2%32.9%15.3%3.5%-0.5%1.8M-62.4M-608.0K0.4715.54N/AN/A69832822,91522,390
2019-11-19$112.62$110.0014.0%4.0%16.4%15.3%15.9%3.4%0.6%2.2M-67.5M-610.5K1.6020.15N/AN/A38060823,13622,563
2019-11-20$112.49$110.0016.6%4.7%12.7%34.7%15.6%3.0%-0.6%2.0M-67.5M-606.4K0.2920.64N/AN/A85824823,21122,847
2019-11-21$111.12$110.0015.9%4.6%13.4%29.6%15.5%2.6%0.1%1.1M-51.6M-609.6K1.0219.14N/AN/A37538123,26222,900
2019-11-22$110.69$110.0015.2%4.4%12.5%24.7%15.8%3.1%0.6%636.7K-44.8M-597.6K0.3714.46N/AN/A97435923,39223,084
2019-11-25$110.38$110.0015.1%4.3%12.5%23.9%15.1%2.4%0.2%589.5K-43.7M-577.7K0.5312.17N/AN/A53728223,55623,241
2019-11-26$112.69$110.0013.5%3.9%14.4%12.1%14.5%2.9%0.7%2.3M-70.9M-584.2K0.3213.05N/AN/A2,59383823,69923,365
2019-11-27$112.92$110.0013.7%3.9%14.3%13.0%13.9%1.9%0.3%3.2M-76.3M-622.1K0.2314.91N/AN/A1,09225224,53723,696
2019-11-29$112.73$110.0014.0%4.0%14.3%15.6%14.6%2.3%0.3%3.7M-78.1M-606.0K0.5716.63N/AN/A19411024,95423,631