WM Options History — January 2020

In January 2020, WM traded between $114.06 and $122.77. ATM implied volatility averaged 15.5%, placing in the 44.9% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 7.5% (HV 20d: 8.0%). Max pain ranged from $110.00 to $115.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 1.18.

Notable Days

  • 2020-01-16: Highest Volume — 4,716 contracts
  • 2020-01-15: Largest IV spike — 82.5% change
  • 2020-01-31: Highest IV Rank — 82.8%
  • 2020-01-31: Largest Expected Move — 5.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$118.74$114.06$122.77$114.06$121.43
Max Pain$113.81$110.00$115.00$110.00$115.00
ATM IV15.5%8.7%19.5%13.6%19.5%
Expected Move4.7%3.9%5.6%3.9%5.6%
HV 20d8.0%6.4%10.0%9.6%8.8%
HV 60d12.1%10.7%13.2%13.1%11.0%
IV Rank44.9%0.0%82.8%16.9%82.8%
IV Percentile44.8%0.0%93.3%8.7%93.3%
Term Structure-0.5%-1.6%2.6%2.6%-1.3%
VWIV16.9%14.0%19.1%14.0%18.9%
Skew 25d3.0%2.2%3.6%2.2%3.1%
Skew 10d6.6%5.3%8.5%5.4%5.3%
Call IV 25d15.4%13.4%18.0%14.2%18.0%
Put IV 25d18.4%16.4%21.1%16.4%21.1%
Bid-Ask Spread %17.467.2534.5111.0610.54
Gamma HHI0.350.230.820.380.25
Net GEX6.0M2.6M21.3M5.1M2.8M
Net DEX-94.1M-147.7M-67.2M-73.0M-71.7M
Net VEX-568.7K-640.7K-531.0K-545.0K-640.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.180.165.080.330.78
Total Volume2,047.8574514,7161,6431,612
Total OI40,658.8124,18053,68748,23829,214

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-01-02$114.06$110.0013.6%3.9%9.6%16.9%14.0%2.2%2.6%5.1M-73.0M-545.0K0.3311.06N/AN/A1,23141223,01925,219
2020-01-03$115.27$110.0014.2%4.1%10.0%23.4%14.7%3.4%2.4%6.7M-91.8M-562.6K0.6013.35N/AN/A99860323,53825,235
2020-01-06$115.77$110.0014.9%4.7%8.6%30.3%17.4%2.9%-0.4%7.1M-97.7M-541.9K1.5829.24N/AN/A1,0651,68723,50925,482
2020-01-07$115.99$110.0014.7%4.7%8.5%28.1%16.8%3.1%-0.7%7.1M-101.0M-532.9K5.0829.99N/AN/A5132,60823,58725,658
2020-01-08$116.23$110.0014.9%4.8%8.5%30.9%16.2%3.4%-1.1%5.0M-98.5M-570.4K1.5934.51N/AN/A8041,28223,72827,795
2020-01-09$116.20$115.0014.8%4.8%8.3%29.2%16.1%2.8%-1.0%4.9M-97.7M-562.1K0.4721.16N/AN/A91142423,79527,543
2020-01-10$116.25$115.0014.3%4.7%8.3%23.9%16.4%2.8%-0.7%5.0M-99.7M-555.5K0.3714.36N/AN/A69926023,85827,478
2020-01-13$117.78$115.0011.2%4.4%8.6%0.0%16.5%3.3%-0.6%6.6M-120.8M-538.5K0.3418.91N/AN/A1,37447123,93627,432
2020-01-14$117.85$115.008.7%4.4%8.2%0.0%16.2%3.0%-0.8%3.7M-127.0M-531.0K0.6114.18N/AN/A90455123,93027,377
2020-01-15$118.28$115.0015.9%4.6%8.2%55.1%16.9%2.9%-0.2%7.1M-129.5M-545.8K0.2129.40N/AN/A2,56153724,18427,663
2020-01-16$119.58$115.0015.3%4.4%8.4%51.0%15.4%2.9%-0.6%19.5M-147.7M-533.4K0.1625.45N/AN/A4,07064625,02127,842
2020-01-17$119.63$115.0015.1%4.3%7.8%49.4%15.1%2.3%-0.4%21.3M-143.0M-536.4K0.2222.94N/AN/A2,65658125,47128,216
2020-01-21$120.44$115.0016.2%4.7%7.9%57.8%16.8%3.6%-0.9%3.2M-69.3M-554.0K1.5321.31N/AN/A65299513,68010,500
2020-01-22$120.42$115.0016.4%4.7%7.7%59.3%18.7%3.5%-0.6%2.9M-67.2M-568.0K2.547.25N/AN/A6901,75413,73711,146
2020-01-23$120.99$115.0016.5%4.7%6.8%59.6%16.7%3.4%-0.5%2.7M-70.3M-565.4K0.7711.78N/AN/A1,24796013,83311,765
2020-01-24$120.93$115.0016.9%4.9%6.7%63.2%17.5%3.1%-0.4%2.6M-69.6M-599.1K1.859.08N/AN/A39372614,40012,433
2020-01-27$121.19$115.0018.0%5.2%6.7%71.4%19.0%3.5%-1.0%2.6M-70.1M-591.5K0.4915.87N/AN/A1,24260314,33512,585
2020-01-28$121.20$115.0018.0%5.2%6.6%71.7%19.1%3.0%-1.0%2.9M-73.5M-612.8K2.197.74N/AN/A6871,50215,32212,902
2020-01-29$121.31$115.0018.0%5.2%6.4%71.3%18.3%2.8%-1.0%2.9M-72.2M-629.5K0.229.61N/AN/A3718015,46013,226
2020-01-30$122.77$115.0017.5%5.0%7.1%67.9%18.5%2.6%-1.6%3.3M-85.2M-626.3K2.799.00N/AN/A4331,21015,55413,227
2020-01-31$121.43$115.0019.5%5.6%8.8%82.8%18.9%3.1%-1.3%2.8M-71.7M-640.7K0.7810.54N/AN/A90670615,61213,602