WM Options History — February 2020

In February 2020, WM traded between $109.78 and $126.24. ATM implied volatility averaged 19.2%, placing in the 72.3% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 7.7% (HV 20d: 11.5%). Max pain ranged from $115.00 to $125.00. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 2 of 19 days. Put/call ratio averaged 0.40.

Notable Days

  • 2020-02-13: Highest Volume — 6,610 contracts
  • 2020-02-28: Largest IV spike — 32.7% change
  • 2020-02-11: Highest IV Rank — 100.0%
  • 2020-02-28: Largest Expected Move — 9.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$122.92$109.78$126.24$122.62$109.78
Max Pain$122.37$115.00$125.00$115.00$125.00
ATM IV19.2%14.6%33.9%18.4%33.9%
Expected Move5.3%4.2%9.7%5.3%9.7%
HV 20d11.5%7.8%27.7%8.7%27.7%
HV 60d10.8%9.6%18.2%10.2%18.2%
IV Rank72.3%43.1%100.0%74.8%100.0%
IV Percentile72.3%23.0%100.0%85.3%100.0%
Term Structure-1.3%-6.4%0.5%-1.3%-6.4%
VWIV18.6%14.8%34.8%19.4%34.8%
Skew 25d2.9%1.7%6.2%2.5%6.2%
Skew 10d6.0%4.1%12.0%4.8%12.0%
Call IV 25d17.7%13.8%31.9%18.3%31.9%
Put IV 25d20.7%16.2%38.2%20.7%38.2%
Bid-Ask Spread %18.7610.1535.8918.4635.89
Gamma HHI0.330.140.540.270.14
Net GEX4.7M-130.8K9.3M3.1M-130.8K
Net DEX-85.0M-132.7M26.9M-83.1M26.9M
Net VEX-643.6K-677.5K-614.6K-640.8K-619.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.400.060.860.860.54
Total Volume2,727.5798736,6101,3723,766
Total OI35,268.15829,78042,79729,78034,370

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-02-03$122.62$115.0018.4%5.3%8.7%74.8%19.4%2.5%-1.3%3.1M-83.1M-640.8K0.8618.46N/AN/A73963315,90013,880
2020-02-04$123.13$115.0018.6%5.3%8.7%75.8%19.2%2.3%-1.9%3.3M-87.3M-640.7K0.2815.80N/AN/A99127516,01713,810
2020-02-05$123.65$120.0019.1%5.5%8.7%79.5%19.4%1.8%-2.1%3.3M-91.8M-638.8K0.2913.17N/AN/A82823916,25213,898
2020-02-06$123.74$120.0018.8%4.8%8.7%77.1%17.0%3.4%-0.7%3.3M-91.9M-632.7K0.2322.33N/AN/A70816516,36914,090
2020-02-07$124.17$120.0019.6%4.9%8.7%83.6%17.1%3.1%-1.0%3.5M-95.9M-622.3K0.0921.98N/AN/A1,23011416,60514,158
2020-02-10$124.75$120.0021.6%5.1%8.6%99.0%17.4%3.2%-1.3%4.1M-105.0M-615.5K0.2622.06N/AN/A4,3591,15317,18914,181
2020-02-11$125.00$120.0022.4%5.2%7.8%100.0%17.5%3.0%-1.2%4.7M-107.4M-644.2K0.0614.31N/AN/A3,45521920,00815,002
2020-02-12$125.44$120.0018.6%5.3%7.8%72.1%18.3%2.9%-2.1%5.6M-115.9M-649.6K0.2018.70N/AN/A4,38385821,46015,081
2020-02-13$123.88$125.0015.5%4.4%9.5%49.4%15.4%2.2%-0.2%5.5M-98.4M-646.9K0.2419.46N/AN/A5,3121,29823,61015,606
2020-02-14$125.49$125.0014.8%4.3%9.8%44.8%14.8%3.1%-0.1%7.4M-117.9M-649.6K0.8421.70N/AN/A1,8591,56523,92215,777
2020-02-18$126.24$125.0015.0%4.3%9.9%46.3%14.9%2.5%-0.4%8.0M-132.7M-614.6K0.5210.15N/AN/A1,9511,00924,60015,709
2020-02-19$125.42$125.0015.0%4.3%10.2%45.9%14.9%2.4%-0.0%8.2M-120.6M-642.4K0.4811.57N/AN/A2,02496425,15316,337
2020-02-20$123.94$125.0014.6%4.2%11.4%43.1%14.9%1.7%0.5%7.6M-95.9M-644.6K0.3712.24N/AN/A2,04076225,80816,386
2020-02-21$124.57$125.0015.4%4.4%11.4%49.3%15.5%2.0%0.0%9.3M-96.7M-659.1K0.2612.70N/AN/A1,26032825,98116,816
2020-02-24$124.38$125.0016.9%4.8%11.4%60.0%17.2%2.5%-0.3%5.1M-82.8M-656.5K0.3016.66N/AN/A1,14633920,36213,268
2020-02-25$122.58$125.0019.7%5.7%12.7%80.6%20.0%3.2%-2.3%4.0M-63.5M-673.2K0.3626.04N/AN/A1,60657820,56313,356
2020-02-26$121.60$125.0021.2%6.1%13.1%91.4%19.9%4.1%-2.1%3.4M-54.5M-677.5K0.8122.29N/AN/A77562720,62313,604
2020-02-27$115.03$125.0025.6%7.3%23.7%100.0%25.4%4.1%-2.7%533.3K-1.3M-659.4K0.5820.89N/AN/A1,43683020,59613,748
2020-02-28$109.78$125.0033.9%9.7%27.7%100.0%34.8%6.2%-6.4%-130.8K26.9M-619.0K0.5435.89N/AN/A2,4431,32320,64013,730