WM Options History — June 2020

In June 2020, WM traded between $101.68 and $113.24. ATM implied volatility averaged 28.2%, placing in the 28.5% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded below realized volatility by 6.5% (HV 20d: 34.7%). Max pain ranged from $100.00 to $110.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 0.63.

Notable Days

  • 2020-06-05: Highest Volume — 11,202 contracts
  • 2020-06-11: Largest IV spike — 25.1% change
  • 2020-06-12: Highest IV Rank — 37.3%
  • 2020-06-12: Largest Expected Move — 9.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$105.94$101.68$113.24$106.36$105.74
Max Pain$107.05$100.00$110.00$100.00$105.00
ATM IV28.2%23.4%34.1%25.1%24.4%
Expected Move8.0%6.7%9.8%7.2%7.0%
HV 20d34.7%32.8%38.7%33.4%34.0%
HV 60d44.8%34.2%55.3%54.5%34.2%
IV Rank28.5%21.5%37.3%24.0%23.1%
IV Percentile77.6%68.3%85.7%76.6%68.3%
Term Structure-0.3%-3.9%2.6%-0.4%2.6%
VWIV28.6%23.2%35.3%25.8%25.0%
Skew 25d4.4%1.9%6.0%5.9%4.3%
Skew 10d9.9%5.6%14.0%11.5%9.6%
Call IV 25d27.1%22.6%33.3%22.9%23.0%
Put IV 25d31.5%26.8%38.9%28.8%27.3%
Bid-Ask Spread %32.7610.0957.2310.7133.24
Gamma HHI0.150.110.240.160.15
Net GEX2.7M830.7K6.4M3.0M2.6M
Net DEX-28.0M-116.7M10.6M-30.3M-24.8M
Net VEX-855.0K-930.7K-757.7K-762.8K-855.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.630.142.950.380.51
Total Volume3,321.1361,03211,2021,6502,173
Total OI54,980.77347,17861,41047,17855,024

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-06-01$106.36$100.0025.1%7.2%33.4%24.0%25.8%5.9%-0.4%3.0M-30.3M-762.8K0.3810.71N/AN/A1,19945124,63522,543
2020-06-02$107.12$100.0024.8%7.1%33.2%23.6%25.3%4.1%0.3%3.4M-41.7M-757.7K2.9515.97N/AN/A1,2643,72624,90322,748
2020-06-03$110.49$105.0023.4%6.7%34.4%21.5%23.2%4.3%0.4%3.2M-74.6M-804.9K0.2510.09N/AN/A4,4511,12725,44124,444
2020-06-04$107.59$110.0023.9%6.9%35.1%22.2%24.8%4.9%1.0%3.2M-42.8M-816.2K1.0922.31N/AN/A1,4371,57125,75223,769
2020-06-05$111.94$110.0025.8%7.3%33.9%25.1%24.7%2.5%0.0%4.1M-94.3M-840.3K0.1435.96N/AN/A9,8591,34326,04324,069
2020-06-08$113.24$110.0027.8%7.3%33.8%28.0%26.9%3.8%-0.1%6.4M-116.7M-904.1K0.3142.05N/AN/A3,5121,09930,29324,186
2020-06-09$111.55$110.0028.9%7.9%34.5%29.6%28.1%1.9%-0.5%6.2M-98.0M-905.1K0.9049.06N/AN/A2,2121,99331,31724,603
2020-06-10$109.29$110.0027.2%7.8%34.3%27.1%27.8%2.3%1.2%4.7M-61.9M-930.7K0.2049.63N/AN/A2,32447531,94926,107
2020-06-11$103.72$110.0034.0%9.8%38.7%37.1%35.3%5.9%-3.9%2.0M-2.2M-908.9K0.5057.23N/AN/A2,5651,29332,66426,205
2020-06-12$103.24$110.0034.1%9.8%38.7%37.3%34.6%5.6%-3.3%1.6M4.9M-893.8K0.7248.66N/AN/A1,35197933,06026,629
2020-06-15$104.01$110.0033.5%9.6%38.0%36.3%34.2%5.6%-3.1%2.0M-4.3M-899.8K0.4750.55N/AN/A1,20857233,38526,887
2020-06-16$105.56$110.0033.4%9.6%34.9%36.2%33.9%6.0%-3.6%2.9M-20.4M-906.2K0.3347.06N/AN/A1,42947233,74427,041
2020-06-17$105.96$110.0033.0%9.5%34.5%35.6%32.8%5.2%-3.9%3.4M-26.3M-894.1K0.4641.53N/AN/A98445433,94027,250
2020-06-18$104.25$110.0031.8%9.1%35.2%33.8%32.0%5.6%-0.7%3.4M-827.9K-860.5K0.9234.68N/AN/A98490433,99227,140
2020-06-19$103.03$105.0027.9%8.0%35.4%28.1%29.3%5.1%0.5%830.7K10.6M-848.5K0.3638.08N/AN/A4,4671,62234,29227,118
2020-06-22$103.42$105.0025.9%7.4%35.4%25.2%27.6%4.3%1.3%1.1M150.7K-828.2K0.5225.98N/AN/A2,0701,08527,61423,137
2020-06-23$104.03$105.0024.6%7.1%33.6%23.4%25.3%3.6%2.2%1.5M-8.4M-840.8K0.9911.45N/AN/A1,9591,94928,57023,744
2020-06-24$101.68$105.0028.8%8.2%33.6%29.4%29.1%2.5%0.6%951.2K9.0M-834.9K0.4732.56N/AN/A1,33763029,05823,889
2020-06-25$102.45$105.0028.3%8.1%32.8%28.7%27.8%4.8%1.1%1.3M2.2M-844.7K0.4425.79N/AN/A1,04346229,60824,247
2020-06-26$102.69$105.0027.1%7.8%32.8%27.0%27.8%4.4%0.9%1.3M2.7M-840.2K0.2620.52N/AN/A82021230,03924,259
2020-06-29$103.22$105.0026.1%7.5%32.8%25.5%27.0%3.8%1.2%1.4M958.1K-831.2K0.5617.60N/AN/A1,27772129,96924,270
2020-06-30$105.74$105.0024.4%7.0%34.0%23.1%25.0%4.3%2.6%2.6M-24.8M-855.7K0.5133.24N/AN/A1,43573830,26024,764