WM Options History — December 2019

In December 2019, WM traded between $110.75 and $113.92. ATM implied volatility averaged 14.9%, placing in the 23.2% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 3.1% (HV 20d: 11.9%). Max pain ranged from $105.00 to $110.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.57.

Notable Days

  • 2019-12-04: Highest Volume — 7,789 contracts
  • 2019-12-18: Largest IV spike — 19.1% change
  • 2019-12-09: Highest IV Rank — 42.0%
  • 2019-12-03: Largest Expected Move — 5.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$112.39$110.75$113.92$111.91$113.92
Max Pain$108.57$105.00$110.00$110.00$110.00
ATM IV14.9%12.7%17.5%16.5%13.1%
Expected Move4.2%3.6%5.0%4.7%3.8%
HV 20d11.9%9.6%14.0%14.0%9.6%
HV 60d14.5%13.2%17.1%17.1%13.2%
IV Rank23.2%5.5%42.0%34.4%12.5%
IV Percentile29.5%2.0%72.2%54.4%4.8%
Term Structure1.6%-0.6%3.4%-0.6%3.4%
VWIV14.8%13.3%17.1%15.7%13.6%
Skew 25d3.0%2.2%4.1%3.0%2.4%
Skew 10d6.8%4.4%9.9%8.2%4.8%
Call IV 25d13.9%12.8%16.1%14.9%13.6%
Put IV 25d16.9%15.0%18.6%17.9%16.0%
Bid-Ask Spread %18.538.6226.3415.498.62
Gamma HHI0.320.240.400.290.37
Net GEX3.1M1.2M4.8M2.4M4.7M
Net DEX-55.2M-72.8M-30.9M-63.2M-71.0M
Net VEX-566.1K-604.3K-533.1K-597.1K-542.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.570.061.430.231.43
Total Volume1,402.7144777,7899111,972
Total OI47,844.8144,98249,93848,53146,967

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-12-02$111.91$110.0016.5%4.7%14.0%34.4%15.7%3.0%-0.6%2.4M-63.2M-597.1K0.2315.49N/AN/A73917224,85723,674
2019-12-03$112.08$110.0017.4%5.0%13.9%41.2%16.7%2.6%-0.5%2.5M-65.4M-603.9K0.8514.52N/AN/A50643224,82723,718
2019-12-04$112.84$110.0014.2%4.1%12.0%17.0%15.1%2.4%0.1%3.3M-72.8M-592.3K0.0612.15N/AN/A7,34444524,74723,821
2019-12-05$111.40$105.0016.8%4.7%12.5%36.5%16.5%3.6%1.5%2.0M-36.9M-604.3K0.2423.86N/AN/A45911023,16524,100
2019-12-06$111.83$105.0016.0%4.5%12.4%30.9%14.9%3.4%2.0%2.7M-43.8M-598.6K0.2525.11N/AN/A61515623,17124,096
2019-12-09$111.69$105.0017.5%4.6%12.3%42.0%15.4%3.9%1.0%2.6M-41.5M-586.0K0.3523.93N/AN/A35312423,42024,080
2019-12-10$111.33$105.0016.7%4.6%12.2%35.9%15.4%3.7%1.4%2.0M-36.5M-577.2K0.8722.43N/AN/A57149423,43224,137
2019-12-11$111.42$105.0016.2%4.6%12.1%31.8%15.2%4.1%1.6%2.1M-37.5M-581.0K0.2220.70N/AN/A56912523,65324,325
2019-12-12$110.75$105.0015.9%4.6%11.6%29.7%15.8%3.3%1.3%1.2M-30.9M-556.4K0.8126.34N/AN/A91374023,77524,388
2019-12-13$111.88$110.0015.3%4.4%11.9%25.6%13.8%4.0%1.6%2.5M-43.4M-573.1K0.1518.26N/AN/A2,18933923,92425,227
2019-12-16$111.97$110.0014.9%4.3%11.9%22.3%14.2%3.1%1.9%2.9M-50.7M-559.6K0.3118.99N/AN/A62319324,07325,195
2019-12-17$113.02$110.0013.1%3.7%12.3%8.6%14.2%2.8%2.7%4.8M-65.6M-558.3K0.9616.90N/AN/A72369724,11025,117
2019-12-18$112.42$110.0015.6%4.5%12.4%27.4%14.5%2.9%0.8%3.7M-55.5M-553.0K0.3314.73N/AN/A81826724,14725,419
2019-12-19$112.50$110.0015.5%4.4%12.4%26.6%13.8%2.4%0.8%4.0M-63.3M-558.4K0.4025.96N/AN/A44317824,53925,394
2019-12-20$113.54$110.0012.7%3.7%11.9%6.2%13.3%2.4%2.5%3.6M-72.1M-550.4K0.7919.30N/AN/A50640024,51125,427
2019-12-23$112.80$110.0012.7%3.6%12.1%5.5%13.6%2.2%2.4%3.2M-59.1M-533.1K1.0619.51N/AN/A63367321,53723,445
2019-12-24$112.62$110.0013.4%3.8%12.1%11.0%14.2%2.4%2.2%2.9M-55.5M-546.7K0.9722.55N/AN/A38136821,87223,873
2019-12-26$112.86$110.0013.3%3.8%9.6%12.3%13.8%2.4%2.4%3.1M-54.6M-540.3K0.2216.80N/AN/A50811321,99123,993
2019-12-27$113.81$110.0013.2%3.8%10.0%11.7%13.8%2.9%3.1%4.5M-70.7M-541.3K0.3310.78N/AN/A55518522,28024,046
2019-12-30$113.64$110.0013.7%3.9%10.0%18.2%17.1%2.7%2.6%4.5M-68.8M-534.0K1.1512.22N/AN/A84897822,35523,913
2019-12-31$113.92$110.0013.1%3.8%9.6%12.5%13.6%2.4%3.4%4.7M-71.0M-542.7K1.438.62N/AN/A8111,16122,59624,371