WM Options History — August 2020

In August 2020, WM traded between $108.59 and $114.21. ATM implied volatility averaged 19.7%, placing in the 16.2% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 4.2% (HV 20d: 15.6%). Max pain ranged from $105.00 to $110.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.55.

Notable Days

  • 2020-08-21: Highest Volume — 4,998 contracts
  • 2020-08-10: Largest IV spike — 15.1% change
  • 2020-08-13: Highest IV Rank — 19.3%
  • 2020-08-11: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$111.55$108.59$114.21$108.86$114.05
Max Pain$108.57$105.00$110.00$105.00$110.00
ATM IV19.7%17.1%21.9%20.6%19.5%
Expected Move5.7%4.9%6.4%5.9%5.6%
HV 20d15.6%13.0%17.9%17.2%13.0%
HV 60d24.2%19.8%26.8%26.8%19.8%
IV Rank16.2%12.3%19.3%17.5%15.8%
IV Percentile48.3%31.0%57.1%54.4%47.2%
Term Structure1.3%0.4%2.5%1.3%2.0%
VWIV20.2%17.7%22.8%20.1%19.9%
Skew 25d3.3%1.8%5.2%3.5%1.8%
Skew 10d6.5%3.8%9.1%9.1%5.6%
Call IV 25d19.0%16.7%20.8%19.8%19.1%
Put IV 25d22.2%19.6%24.8%23.3%21.0%
Bid-Ask Spread %25.7715.0838.7323.7717.62
Gamma HHI0.310.230.580.250.28
Net GEX8.2M5.3M16.8M5.3M7.3M
Net DEX-102.1M-124.4M-65.2M-68.5M-116.3M
Net VEX-779.1K-847.0K-731.2K-831.6K-738.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.550.143.320.140.32
Total Volume1,948.1437534,9982,5591,645
Total OI53,734.38146,86557,87553,66949,256

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-08-03$108.86$105.0020.6%5.9%17.2%17.5%20.1%3.5%1.3%5.3M-68.5M-831.6K0.1423.77N/AN/A2,24531429,86523,804
2020-08-04$108.59$105.0019.9%5.7%17.0%16.5%20.3%3.1%1.4%5.4M-65.2M-828.9K0.3015.95N/AN/A57917430,22723,928
2020-08-05$109.25$105.0019.1%5.5%16.0%15.2%19.4%3.5%2.0%6.2M-73.9M-828.9K0.5315.26N/AN/A1,46577230,24424,019
2020-08-06$110.03$105.0018.5%6.1%15.5%14.4%21.5%4.8%1.0%7.0M-84.1M-831.8K0.3034.28N/AN/A66620230,42824,541
2020-08-07$112.86$105.0018.6%5.9%16.9%14.5%20.8%5.2%1.1%7.5M-124.4M-847.0K0.1824.67N/AN/A2,82850030,67824,579
2020-08-10$111.34$105.0021.4%6.3%17.9%18.7%21.7%4.1%0.5%8.1M-106.7M-817.0K0.3224.78N/AN/A1,28140831,14224,554
2020-08-11$111.57$110.0020.7%6.4%17.6%17.6%21.9%3.4%1.0%8.3M-111.3M-818.4K0.4126.33N/AN/A87136031,56324,600
2020-08-12$112.31$110.0021.5%6.2%17.4%18.8%20.7%4.0%1.1%8.9M-123.0M-810.5K0.4828.67N/AN/A70033631,81924,636
2020-08-13$111.26$110.0021.9%6.3%17.9%19.3%22.8%4.0%0.6%8.7M-105.8M-796.2K1.7519.05N/AN/A56498531,84624,517
2020-08-14$111.29$110.0021.3%6.1%17.2%18.5%20.8%4.0%0.9%9.4M-108.6M-794.6K0.5825.60N/AN/A59434532,27324,723
2020-08-17$110.80$110.0021.3%6.1%15.0%18.4%20.4%3.5%0.4%10.1M-101.3M-765.7K0.2729.89N/AN/A1,21833032,43524,855
2020-08-18$110.90$110.0020.3%5.8%14.8%16.9%22.5%2.9%1.2%10.8M-104.2M-761.8K3.3234.21N/AN/A5751,91132,82525,050
2020-08-19$110.47$110.0019.5%5.6%14.8%15.8%19.4%2.7%1.3%13.1M-97.7M-744.0K0.4229.87N/AN/A82134733,00323,822
2020-08-20$110.33$110.0019.6%5.6%14.7%16.0%19.8%2.0%1.1%16.8M-95.9M-734.3K0.4333.80N/AN/A86636932,95623,868
2020-08-21$111.28$110.0019.4%5.6%14.8%15.7%19.4%3.1%1.3%5.7M-123.0M-732.0K0.1931.07N/AN/A4,19380533,46723,868
2020-08-24$112.31$110.0018.7%5.4%14.8%14.7%17.7%3.3%0.9%6.2M-91.9M-731.2K0.5015.08N/AN/A1,24662826,69120,174
2020-08-25$113.03$110.0017.1%4.9%14.7%12.3%17.9%2.7%2.5%6.3M-100.8M-740.0K0.3933.58N/AN/A1,32250926,98020,424
2020-08-26$113.98$110.0017.6%5.0%13.3%13.0%18.2%2.5%1.7%6.9M-111.4M-736.4K0.2338.73N/AN/A2,31353327,24020,584
2020-08-27$114.21$110.0018.5%5.3%13.1%14.4%19.0%2.6%2.1%7.1M-117.6M-735.0K0.1923.72N/AN/A2,91955127,64420,662
2020-08-28$113.90$110.0019.0%5.4%13.2%15.1%19.3%2.1%1.5%6.8M-112.2M-736.5K0.2815.16N/AN/A1,26835327,74420,888
2020-08-31$114.05$110.0019.5%5.6%13.0%15.8%19.9%1.8%2.0%7.3M-116.3M-738.7K0.3217.62N/AN/A1,24739828,29520,961