WM Options History — April 2020

In April 2020, WM traded between $87.23 and $101.97. ATM implied volatility averaged 37.4%, placing in the 42.1% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded below realized volatility by 26.1% (HV 20d: 63.6%). Max pain ranged from $90.00 to $105.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.67.

Notable Days

  • 2020-04-09: Highest Volume — 4,575 contracts
  • 2020-04-02: Largest IV drop — 14.2% change
  • 2020-04-01: Highest IV Rank — 66.6%
  • 2020-04-01: Largest Expected Move — 15.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$96.76$87.23$101.97$87.23$99.89
Max Pain$94.52$90.00$105.00$105.00$100.00
ATM IV37.4%29.8%54.1%54.1%31.5%
Expected Move10.7%8.5%15.5%15.5%9.0%
HV 20d63.6%38.4%81.5%76.5%38.4%
HV 60d54.6%51.4%56.2%51.4%56.1%
IV Rank42.1%30.9%66.6%66.6%33.5%
IV Percentile89.2%84.1%95.2%95.2%85.3%
Term Structure-1.5%-3.7%0.8%-3.7%-1.4%
VWIV37.0%29.6%50.6%50.6%31.7%
Skew 25d8.9%5.5%12.0%11.1%5.5%
Skew 10d18.5%11.9%24.6%17.9%11.9%
Call IV 25d33.8%26.1%48.4%48.4%30.1%
Put IV 25d42.7%33.4%59.5%59.5%35.6%
Bid-Ask Spread %34.8211.3455.1126.5016.30
Gamma HHI0.150.090.660.100.14
Net GEX1.5M-105.3K9.3M-105.3K1.3M
Net DEX26.9M-4.9M71.2M71.2M9.6M
Net VEX-637.4K-704.2K-495.6K-495.6K-668.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.670.092.060.200.09
Total Volume1,967.4295864,5754,0092,472
Total OI43,243.85736,36050,19842,64240,618

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-04-01$87.23$105.0054.1%15.5%76.5%66.6%50.6%11.1%-3.7%-105.3K71.2M-495.6K0.2026.50N/AN/A3,33667324,51918,123
2020-04-02$90.61$90.0046.4%12.6%78.8%55.3%40.8%12.0%-3.1%164.3K63.5M-549.0K0.3946.96N/AN/A1,00139325,50718,449
2020-04-03$88.59$90.0043.7%12.4%78.8%51.3%46.0%9.7%-2.9%-1.0K69.5M-521.1K1.8945.96N/AN/A7671,44825,68518,528
2020-04-06$91.28$90.0038.7%11.3%79.9%44.0%37.1%9.1%-0.8%227.5K61.7M-541.2K2.0651.66N/AN/A1,0652,19625,71318,952
2020-04-07$92.24$90.0039.8%11.8%80.3%45.6%39.1%9.3%-3.2%340.9K58.2M-573.4K0.6655.11N/AN/A1,25682426,20920,119
2020-04-08$95.24$90.0037.9%10.9%81.5%42.7%38.7%9.5%-1.5%908.9K44.7M-608.4K0.3550.29N/AN/A1,53154126,47819,943
2020-04-09$100.29$90.0037.6%10.8%75.9%42.4%38.2%8.8%-2.6%1.5M10.1M-704.2K0.3345.23N/AN/A3,4351,14027,00420,159
2020-04-13$97.06$95.0039.6%11.4%75.1%45.3%37.4%8.6%-3.2%1.5M31.6M-651.6K1.1536.42N/AN/A1,1421,31227,88320,292
2020-04-14$99.41$95.0034.8%10.0%74.9%38.3%35.3%8.7%-1.4%2.2M17.3M-683.0K0.3743.87N/AN/A1,31148528,20921,198
2020-04-15$96.95$95.0039.0%11.2%70.4%44.3%38.2%8.2%-2.4%1.7M32.4M-657.5K0.4637.70N/AN/A97745328,41521,402
2020-04-16$97.38$95.0039.5%11.3%65.0%45.1%38.5%11.4%-2.6%1.9M30.0M-664.1K0.3047.28N/AN/A1,28337928,66321,535
2020-04-17$100.17$95.0034.8%10.0%65.8%38.2%35.4%10.3%-1.6%9.3M4.8M-683.4K0.5833.60N/AN/A1,36979228,56021,448
2020-04-20$98.49$95.0037.4%10.7%66.1%42.1%38.9%9.0%-0.9%903.4K11.4M-675.1K0.7131.58N/AN/A85260719,29617,064
2020-04-21$96.72$95.0039.8%11.4%48.5%45.6%37.4%9.9%0.2%715.1K18.6M-650.2K0.5933.32N/AN/A65938919,79817,433
2020-04-22$98.65$95.0035.8%10.3%47.3%39.7%36.1%9.0%0.5%993.0K8.4M-683.2K0.3733.47N/AN/A56920919,91317,578
2020-04-23$97.94$95.0034.8%10.0%47.3%38.2%37.1%7.2%-0.1%936.3K13.4M-676.9K0.6323.76N/AN/A41626120,22217,723
2020-04-24$98.65$95.0030.5%8.7%45.6%32.0%31.6%7.4%0.8%1.0M13.5M-656.2K0.4825.07N/AN/A39718920,40017,809
2020-04-27$101.62$95.0029.8%8.5%46.7%30.9%29.6%7.3%0.3%1.8M289.9K-677.1K0.8115.60N/AN/A1,07587220,53017,944
2020-04-28$101.97$95.0030.7%8.8%46.2%32.2%30.4%8.0%-1.0%1.9M-4.9M-682.9K1.1211.34N/AN/A84895020,86218,079
2020-04-29$101.57$100.0029.8%8.5%45.7%30.9%29.7%7.0%-1.1%1.7M51.1K-684.0K0.6320.20N/AN/A88355921,10818,751
2020-04-30$99.89$100.0031.5%9.0%38.4%33.5%31.7%5.5%-1.4%1.3M9.6M-668.1K0.0916.30N/AN/A2,25921321,46019,158