WM Options History — May 2020

In May 2020, WM traded between $95.60 and $106.84. ATM implied volatility averaged 28.1%, placing in the 28.4% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded below realized volatility by 5.8% (HV 20d: 33.9%). Max pain ranged from $100.00 to $100.00. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 0.74.

Notable Days

  • 2020-05-06: Highest Volume — 4,214 contracts
  • 2020-05-18: Largest IV drop — 15.7% change
  • 2020-05-04: Highest IV Rank — 40.6%
  • 2020-05-01: Largest Expected Move — 9.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$100.00$95.60$106.84$98.14$106.84
Max Pain$100.00$100.00$100.00$100.00$100.00
ATM IV28.1%22.0%36.4%33.2%24.2%
Expected Move7.8%6.3%9.5%9.5%6.9%
HV 20d33.9%30.1%38.3%37.5%34.2%
HV 60d57.1%54.7%58.4%56.2%54.7%
IV Rank28.4%19.4%40.6%35.9%22.7%
IV Percentile80.3%75.0%87.7%85.7%75.8%
Term Structure-0.0%-2.4%1.2%-2.4%0.2%
VWIV27.6%23.4%36.2%34.2%23.8%
Skew 25d6.6%5.0%8.1%8.1%5.0%
Skew 10d13.8%9.4%18.0%17.6%10.8%
Call IV 25d25.1%21.3%32.1%32.1%21.8%
Put IV 25d31.7%26.7%40.2%40.2%26.7%
Bid-Ask Spread %28.259.9948.9917.9211.49
Gamma HHI0.160.110.280.140.16
Net GEX1.3M-2.3M3.0M1.0M3.0M
Net DEX11.6M-36.5M38.7M18.0M-36.5M
Net VEX-698.3K-764.7K-652.5K-657.8K-764.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.740.172.001.450.85
Total Volume2,294.154794,2142,5732,769
Total OI45,395.141,44050,68241,66146,094

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-05-01$98.14$100.0033.2%9.5%37.5%35.9%34.2%8.1%-2.4%1.0M18.0M-657.8K1.4517.92N/AN/A1,0511,52222,45119,210
2020-05-04$99.45$100.0036.4%9.2%36.2%40.6%32.5%7.2%-1.0%1.3M11.4M-694.4K0.1738.57N/AN/A1,06817822,65520,236
2020-05-05$98.85$100.0033.9%9.1%35.3%37.0%36.2%7.1%-0.5%1.2M14.3M-687.4K0.8548.99N/AN/A1,2461,05823,01520,302
2020-05-06$96.85$100.0033.6%8.9%36.2%36.6%30.4%6.6%0.7%267.7K31.2M-652.5K0.6047.14N/AN/A2,6311,58323,50521,057
2020-05-07$101.55$100.0028.7%8.1%38.3%29.4%27.1%7.5%0.1%2.8M-6.1M-720.4K0.2837.30N/AN/A3,14188824,81221,753
2020-05-08$101.04$100.0025.9%7.6%33.8%25.2%24.3%7.4%0.4%2.1M2.2M-702.2K0.2434.22N/AN/A3,19276924,73521,887
2020-05-11$100.73$100.0029.0%7.6%31.5%29.7%27.2%6.5%-0.1%2.5M1.5M-700.8K0.7430.47N/AN/A1,05077725,81622,229
2020-05-12$98.49$100.0029.2%7.5%31.5%30.0%27.3%6.9%0.7%1.0M22.9M-666.4K1.3336.23N/AN/A1,1881,57926,28222,603
2020-05-13$96.17$100.0031.1%8.9%31.3%32.9%30.0%6.9%-1.3%-282.5K38.7M-680.4K0.4027.17N/AN/A1,56362126,50923,424
2020-05-14$97.15$100.0031.1%8.9%31.5%32.8%29.5%7.7%-1.5%96.4K30.3M-700.3K0.5629.05N/AN/A89149726,78323,452
2020-05-15$95.60$100.0030.0%8.6%30.1%31.3%29.2%7.3%0.3%-2.3M37.8M-662.9K0.6131.27N/AN/A1,11868327,06423,618
2020-05-18$100.13$100.0025.3%7.3%34.2%24.4%26.4%6.4%0.9%1.3M14.3M-705.5K0.6028.64N/AN/A1,8761,13321,73719,703
2020-05-19$98.93$100.0025.6%7.4%33.8%24.8%27.6%6.4%0.2%1.1M24.2M-694.2K1.2733.36N/AN/A56371422,26720,257
2020-05-20$99.62$100.0024.8%7.1%33.1%23.6%25.8%6.2%0.4%1.3M18.0M-693.6K1.0025.56N/AN/A71671822,43020,288
2020-05-21$99.00$100.0025.1%7.2%33.1%24.0%25.7%6.1%0.4%1.1M23.4M-694.2K2.0025.65N/AN/A48897822,71920,605
2020-05-22$98.73$100.0023.4%6.7%33.0%21.6%24.5%5.0%1.2%937.3K28.2M-690.7K0.4329.11N/AN/A33614322,89321,397
2020-05-26$101.94$100.0025.2%7.2%33.3%24.1%23.9%6.9%-0.3%2.1M5.9M-721.3K0.6312.59N/AN/A1,40088023,03421,422
2020-05-27$104.35$100.0022.0%6.3%34.3%19.4%23.4%5.8%1.1%2.7M-13.6M-727.9K0.499.99N/AN/A1,27862523,19021,440
2020-05-28$106.47$100.0024.0%6.9%34.9%22.4%23.7%5.7%0.5%2.9M-34.7M-747.6K0.2810.20N/AN/A2,32165123,38321,645
2020-05-29$106.84$100.0024.2%6.9%34.2%22.7%23.8%5.0%0.2%3.0M-36.5M-764.7K0.8511.49N/AN/A1,4991,27024,11921,975