WM Options History — July 2020 In July 2020, WM traded between $102.26 and $109.90. ATM implied volatility averaged 24.3%, placing in the 22.9% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 3.7% (HV 20d: 20.6%). Max pain ranged from $100.00 to $105.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.57.
Notable Days 2020-07-29 : Highest Volume — 6,094 contracts2020-07-13 : Largest IV spike — 26.2% change2020-07-13 : Highest IV Rank — 32.1%2020-07-09 : Largest Expected Move — 8.3%Monthly Statistics Metric Avg Min Max Open Close Price $106.59 $102.26 $109.90 $105.59 $109.33 Max Pain $103.86 $100.00 $105.00 $105.00 $105.00 ATM IV 24.3% 20.3% 30.6% 25.1% 20.3% Expected Move 7.1% 5.8% 8.3% 7.2% 5.8% HV 20d 20.6% 17.0% 31.8% 31.8% 17.0% HV 60d 30.1% 28.4% 33.7% 33.7% 28.4% IV Rank 22.9% 17.0% 32.1% 24.1% 17.0% IV Percentile 65.5% 53.2% 79.8% 70.2% 53.2% Term Structure 0.2% -1.4% 3.5% 2.0% 1.5% VWIV 24.9% 20.5% 28.8% 25.2% 20.6% Skew 25d 4.3% 2.2% 6.8% 4.6% 2.9% Skew 10d 9.0% 5.5% 12.6% 9.6% 7.7% Call IV 25d 23.3% 19.3% 26.6% 23.4% 19.3% Put IV 25d 27.6% 22.0% 31.6% 28.0% 22.3% Bid-Ask Spread % 35.23 11.50 58.30 11.50 28.77 Gamma HHI 0.19 0.14 0.41 0.15 0.26 Net GEX 3.6M 1.7M 8.0M 2.6M 5.6M Net DEX -44.8M -89.4M 2.7M -25.4M -70.9M Net VEX -827.0K -878.3K -805.2K -878.3K -841.3K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.57 0.20 2.58 0.57 0.62 Total Volume 2,141.136 794 6,094 1,045 1,188 Total OI 53,556.318 44,035 59,901 56,056 53,206
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 2020-07-01 $105.59 $105.00 25.1% 7.2% 31.8% 24.1% 25.2% 4.6% 2.0% 2.6M -25.4M -878.3K 0.57 11.50 N/A N/A 666 379 30,886 25,170 2020-07-02 $105.18 $105.00 23.0% 6.6% 30.5% 21.0% 24.1% 4.0% 3.5% 2.5M -21.3M -866.2K 0.36 13.34 N/A N/A 746 267 31,074 25,194 2020-07-06 $105.24 $100.00 24.0% 7.4% 26.5% 22.4% 26.7% 5.2% -0.2% 2.9M -25.9M -835.6K 1.94 58.30 N/A N/A 1,295 2,513 31,298 25,082 2020-07-07 $104.56 $105.00 24.4% 7.7% 26.0% 23.0% 28.8% 4.8% 0.3% 2.4M -13.6M -827.5K 0.25 56.59 N/A N/A 1,072 270 31,526 25,199 2020-07-08 $103.17 $105.00 25.0% 7.6% 25.9% 23.9% 27.5% 4.5% -0.5% 2.0M -2.8M -814.3K 0.25 31.65 N/A N/A 1,499 381 31,965 25,324 2020-07-09 $102.26 $100.00 28.1% 8.3% 25.2% 28.4% 27.9% 5.1% -1.3% 1.7M 2.7M -810.9K 0.28 39.88 N/A N/A 1,394 384 32,725 25,439 2020-07-10 $103.73 $100.00 24.2% 7.5% 18.1% 22.8% 25.7% 6.0% -0.1% 2.7M -13.4M -818.9K 0.20 49.84 N/A N/A 1,474 291 33,159 25,567 2020-07-13 $104.61 $100.00 30.6% 8.0% 18.3% 32.1% 27.6% 4.3% -1.2% 3.7M -37.3M -816.5K 0.40 56.18 N/A N/A 1,361 543 33,781 24,786 2020-07-14 $105.97 $100.00 27.9% 8.0% 18.6% 28.1% 26.4% 6.8% -1.4% 4.6M -53.5M -815.7K 0.50 50.69 N/A N/A 973 491 33,964 24,663 2020-07-15 $107.00 $105.00 27.3% 7.8% 18.2% 27.3% 27.4% 5.3% -1.1% 5.5M -69.9M -811.3K 2.58 47.48 N/A N/A 1,445 3,723 34,339 24,619 2020-07-16 $107.53 $105.00 24.6% 7.0% 18.2% 23.2% 27.2% 6.0% 0.5% 4.7M -70.9M -823.4K 0.40 46.12 N/A N/A 1,586 638 34,338 25,563 2020-07-17 $109.12 $105.00 23.8% 6.8% 17.7% 22.1% 25.3% 4.7% 0.1% 8.0M -89.4M -806.5K 0.36 34.85 N/A N/A 2,875 1,038 34,471 25,427 2020-07-20 $106.69 $105.00 24.4% 7.0% 19.2% 23.0% 23.7% 3.4% -1.1% 2.7M -42.0M -805.2K 0.43 31.47 N/A N/A 1,999 865 24,253 19,782 2020-07-21 $107.69 $105.00 22.5% 6.4% 19.4% 20.2% 22.9% 3.3% 0.1% 3.1M -51.8M -830.2K 0.72 22.62 N/A N/A 918 657 25,350 20,567 2020-07-22 $108.25 $105.00 22.4% 6.4% 19.4% 20.0% 22.5% 4.2% 0.3% 3.3M -54.8M -833.5K 0.20 24.14 N/A N/A 880 175 25,551 20,979 2020-07-23 $107.85 $105.00 22.9% 6.6% 17.2% 20.9% 23.5% 3.6% -0.0% 3.1M -51.8M -826.9K 0.37 23.53 N/A N/A 760 279 26,013 21,096 2020-07-24 $107.35 $105.00 24.4% 7.0% 17.3% 23.1% 23.1% 3.9% 0.5% 2.9M -46.9M -822.7K 0.30 31.05 N/A N/A 1,402 426 25,994 21,272 2020-07-27 $106.83 $105.00 24.5% 7.0% 17.5% 23.1% 23.9% 2.8% 0.3% 2.8M -43.4M -824.5K 0.28 28.66 N/A N/A 897 248 26,800 21,498 2020-07-28 $107.68 $105.00 22.6% 6.5% 17.6% 20.3% 23.7% 3.9% 0.5% 3.4M -50.9M -821.1K 0.71 35.56 N/A N/A 463 331 27,135 21,585 2020-07-29 $109.90 $105.00 22.8% 6.5% 17.0% 20.6% 22.9% 2.5% -0.0% 4.6M -78.3M -822.0K 0.52 37.32 N/A N/A 4,012 2,082 27,238 21,757 2020-07-30 $109.38 $105.00 20.5% 5.9% 17.1% 17.4% 20.5% 2.2% 2.1% 5.0M -72.9M -840.7K 0.26 15.45 N/A N/A 1,767 452 29,083 23,521 2020-07-31 $109.33 $105.00 20.3% 5.8% 17.0% 17.0% 20.6% 2.9% 1.5% 5.6M -70.9M -841.3K 0.62 28.77 N/A N/A 733 455 29,665 23,541
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