WM Options History — March 2020 In March 2020, WM traded between $87.89 and $120.01. ATM implied volatility averaged 54.3%, placing in the 84.1% IV rank vs the trailing year. The 30-day expected move averaged 15.1%. IV traded below realized volatility by 6.7% (HV 20d: 61.0%). Max pain ranged from $105.00 to $120.00. Net GEX was positive for 15 of 22 trading days. Term structure was in contango for 0 of 22 days. Put/call ratio averaged 0.72.
Notable Days 2020-03-23 : Highest Volume — 5,780 contracts2020-03-05 : Largest IV spike — 50.3% change2020-03-05 : Highest IV Rank — 100.0%2020-03-18 : Largest Expected Move — 22.0%Monthly Statistics Metric Avg Min Max Open Close Price $103.80 $87.89 $120.01 $116.49 $93.17 Max Pain $114.09 $105.00 $120.00 $120.00 $105.00 ATM IV 54.3% 27.7% 76.9% 29.2% 42.4% Expected Move 15.1% 7.9% 22.0% 8.4% 12.2% HV 20d 61.0% 35.9% 83.0% 35.9% 78.0% HV 60d 36.9% 21.9% 49.8% 21.9% 49.8% IV Rank 84.1% 49.4% 100.0% 81.4% 49.4% IV Percentile 98.4% 93.3% 100.0% 99.6% 93.3% Term Structure -7.7% -18.7% -1.3% -4.9% -1.5% VWIV 52.0% 28.0% 76.0% 29.1% 47.0% Skew 25d 19.7% 5.3% 39.8% 5.3% 14.0% Skew 10d 41.5% 10.7% 73.9% 10.7% 23.1% Call IV 25d 44.9% 25.5% 66.3% 26.4% 39.1% Put IV 25d 64.5% 31.7% 99.3% 31.7% 53.1% Bid-Ask Spread % 35.18 22.19 54.59 37.93 33.98 Gamma HHI 0.14 0.08 0.27 0.24 0.11 Net GEX 360.2K -489.2K 2.1M 1.2M 344.3K Net DEX 30.7M -46.9M 69.4M -16.0M 56.8M Net VEX -668.0K -810.7K -483.6K -680.6K -559.2K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.72 0.11 2.84 0.42 0.47 Total Volume 2,595.591 1,225 5,780 1,840 1,383 Total OI 40,104.909 33,046 44,034 35,670 41,994
Daily Data (22 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 2020-03-02 $116.49 $120.00 29.2% 8.4% 35.9% 81.4% 29.1% 5.3% -4.9% 1.2M -16.0M -680.6K 0.42 37.93 N/A N/A 1,295 545 21,483 14,187 2020-03-03 $113.66 $120.00 32.9% 9.4% 36.5% 96.0% 35.6% 7.7% -5.6% 673.3K 121.5K -678.5K 2.84 46.92 N/A N/A 1,265 3,595 21,992 14,347 2020-03-04 $120.01 $120.00 27.7% 7.9% 41.9% 75.4% 28.0% 6.8% -4.2% 2.1M -46.9M -730.0K 0.29 27.24 N/A N/A 1,267 369 22,208 16,849 2020-03-05 $117.42 $115.00 41.6% 9.4% 42.5% 100.0% 32.4% 10.3% -4.1% 1.4M -25.1M -776.7K 0.60 26.19 N/A N/A 1,941 1,167 22,274 17,046 2020-03-06 $116.86 $115.00 46.6% 10.4% 42.4% 100.0% 37.7% 14.0% -4.9% 1.3M -16.9M -809.4K 1.66 33.04 N/A N/A 1,026 1,700 22,641 17,549 2020-03-09 $113.10 $115.00 55.2% 13.6% 43.6% 100.0% 46.8% 20.5% -7.5% 714.6K 3.1M -810.7K 0.68 23.04 N/A N/A 1,449 979 22,826 17,544 2020-03-10 $112.60 $115.00 50.5% 11.7% 43.5% 90.0% 46.0% 19.0% -5.1% 42.3K 16.0M -771.0K 0.58 22.19 N/A N/A 1,032 594 22,799 17,490 2020-03-11 $110.39 $115.00 46.6% 13.4% 43.7% 81.5% 44.5% 18.0% -7.1% -331.5K 29.0M -746.3K 0.49 27.76 N/A N/A 820 405 23,013 17,818 2020-03-12 $99.66 $115.00 64.8% 18.6% 55.2% 100.0% 61.0% 25.2% -12.7% -489.2K 69.4M -647.8K 1.10 27.73 N/A N/A 1,469 1,615 23,304 18,060 2020-03-13 $103.95 $115.00 58.2% 16.7% 58.4% 88.2% 62.1% 31.2% -11.2% -410.1K 56.8M -675.9K 0.70 40.47 N/A N/A 1,285 895 24,457 18,281 2020-03-16 $100.77 $115.00 75.2% 21.5% 58.3% 100.0% 69.2% 39.8% -18.7% -135.0K 56.4M -679.0K 0.57 32.31 N/A N/A 1,215 697 24,803 18,258 2020-03-17 $108.10 $115.00 61.6% 17.7% 64.9% 79.6% 57.4% 28.4% -11.0% 56.7K 16.3M -766.3K 0.23 34.95 N/A N/A 2,525 588 24,702 18,396 2020-03-18 $99.94 $115.00 76.9% 22.0% 69.6% 100.0% 76.0% 33.0% -17.1% 176.6K 48.3M -688.0K 1.41 39.53 N/A N/A 697 981 25,384 18,376 2020-03-19 $99.89 $115.00 76.2% 21.9% 69.7% 99.0% 72.7% 31.7% -12.2% 89.8K 55.5M -672.8K 0.67 47.17 N/A N/A 920 620 25,401 18,376 2020-03-20 $99.35 $115.00 66.7% 19.1% 69.5% 85.0% 65.6% 23.6% -12.7% 516.5K 68.7M -633.2K 0.61 54.59 N/A N/A 1,799 1,099 25,393 18,641 2020-03-23 $87.89 $115.00 68.8% 19.7% 79.7% 88.2% 72.3% 25.6% -3.9% -188.9K 60.2M -483.6K 0.83 24.64 N/A N/A 3,157 2,623 18,709 14,337 2020-03-24 $91.35 $110.00 57.4% 16.4% 82.2% 71.3% 53.4% 18.7% -6.4% -93.8K 56.0M -528.3K 0.49 43.04 N/A N/A 2,179 1,063 20,951 15,496 2020-03-25 $92.29 $110.00 59.3% 17.0% 82.6% 74.2% 54.2% 18.5% -6.7% -78.1K 56.2M -559.9K 0.15 40.87 N/A N/A 3,294 478 21,473 16,288 2020-03-26 $95.85 $110.00 53.9% 15.4% 83.0% 66.2% 53.0% 15.3% -6.0% 319.0K 43.3M -597.4K 0.58 45.70 N/A N/A 907 528 22,708 16,528 2020-03-27 $96.14 $110.00 56.5% 16.2% 81.9% 70.1% 54.4% 14.7% -4.9% 459.3K 37.6M -622.8K 0.46 34.19 N/A N/A 1,337 617 22,700 16,631 2020-03-30 $94.77 $110.00 45.5% 13.0% 78.1% 53.9% 45.6% 11.7% -1.3% 227.2K 51.5M -578.8K 0.11 30.54 N/A N/A 3,327 356 22,892 17,703 2020-03-31 $93.17 $105.00 42.4% 12.2% 78.0% 49.4% 47.0% 14.0% -1.5% 344.3K 56.8M -559.2K 0.47 33.98 N/A N/A 941 442 24,158 17,836
« Feb 2020 | All History | Apr 2020 » Home WM History March 2020