WM Options History — September 2020

In September 2020, WM traded between $110.89 and $117.53. ATM implied volatility averaged 22.0%, placing in the 19.5% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 4.0% (HV 20d: 18.1%). 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 0.41.

Notable Days

  • 2020-09-14: Highest Volume — 4,264 contracts
  • 2020-09-09: Largest IV drop — 26.1% change
  • 2020-09-08: Highest IV Rank — 28.5%
  • 2020-09-03: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$113.73$110.89$117.53$113.52$113.03
Max Pain$106.67$105.00$110.00$110.00$110.00
ATM IV22.0%19.0%28.1%19.4%19.0%
Expected Move6.3%5.4%7.4%5.6%5.4%
HV 20d18.1%13.1%23.1%13.1%23.1%
HV 60d17.6%16.5%19.8%19.6%18.0%
IV Rank19.5%15.0%28.5%15.7%15.0%
IV Percentile54.2%36.5%75.0%46.0%36.5%
Term Structure3.0%0.8%6.0%1.7%6.0%
VWIV22.0%19.4%26.0%19.4%19.8%
Skew 25d3.5%1.7%4.8%1.7%3.0%
Skew 10d8.0%5.1%11.0%5.1%6.6%
Call IV 25d20.8%18.9%24.4%19.8%18.9%
Put IV 25d24.3%21.4%28.9%21.4%22.0%
Bid-Ask Spread %30.507.2871.0924.7215.00
Gamma HHI0.300.200.520.280.27
Net GEX7.3M4.0M13.0M7.2M5.0M
Net DEX-104.3M-168.8M-52.0M-109.9M-73.3M
Net VEX-715.0K-784.3K-673.0K-719.2K-673.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.410.101.500.260.27
Total Volume2,034.9058124,2641,2271,508
Total OI49,956.66746,13852,78349,53348,901

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-09-01$113.52$110.0019.4%5.6%13.1%15.7%19.4%1.7%1.7%7.2M-109.9M-719.2K0.2624.72N/AN/A97725028,47221,061
2020-09-02$114.17$110.0020.8%6.0%13.1%17.8%20.7%2.5%2.0%7.4M-118.9M-744.9K0.1066.90N/AN/A2,01720728,72721,086
2020-09-03$111.06$105.0026.1%7.4%16.7%25.4%25.8%4.8%2.4%5.5M-76.0M-784.3K0.2171.09N/AN/A2,56153928,59421,124
2020-09-04$111.35$105.0025.6%7.2%13.9%24.8%24.8%3.9%0.8%6.7M-82.3M-765.7K0.2164.61N/AN/A2,17445729,57921,208
2020-09-08$110.89$105.0028.1%7.3%13.1%28.5%26.0%3.5%1.0%6.9M-80.7M-745.9K0.4148.88N/AN/A1,23250330,45921,266
2020-09-09$112.92$105.0020.8%6.0%14.6%17.7%21.6%4.1%2.6%10.1M-111.7M-719.1K0.2247.52N/AN/A1,43631430,92521,325
2020-09-10$111.95$105.0024.1%6.9%14.8%22.6%23.0%4.3%1.1%8.6M-96.0M-728.0K0.1544.47N/AN/A2,94244830,76621,349
2020-09-11$113.22$105.0021.7%6.2%14.9%19.0%22.3%3.7%2.5%10.5M-116.4M-729.9K0.2448.01N/AN/A1,28631231,24121,502
2020-09-14$116.40$105.0021.5%6.2%17.7%18.7%21.7%3.7%2.8%11.6M-165.3M-719.4K0.1931.03N/AN/A3,57469031,29721,486
2020-09-15$117.26$105.0021.4%6.1%17.6%18.6%20.6%3.6%3.2%9.1M-166.1M-700.1K0.3336.29N/AN/A2,27575529,94721,621
2020-09-16$117.53$105.0020.1%5.8%17.6%16.7%21.3%3.6%3.2%8.9M-168.8M-704.1K0.1724.10N/AN/A2,26437929,98321,592
2020-09-17$115.53$105.0021.6%6.2%18.8%18.9%21.7%2.8%2.9%10.0M-139.9M-724.5K1.4013.37N/AN/A8591,19930,14221,752
2020-09-18$115.50$105.0020.3%5.8%18.8%17.0%19.4%3.4%3.5%13.0M-147.3M-697.9K1.5020.01N/AN/A1,0501,57630,26021,892
2020-09-21$114.17$105.0021.4%6.1%19.3%18.7%22.3%4.3%3.5%4.7M-83.9M-703.1K0.5114.12N/AN/A70836025,86120,277
2020-09-22$115.31$105.0020.8%6.0%19.3%17.8%20.7%3.6%3.8%5.1M-98.2M-701.3K0.377.28N/AN/A59122126,06920,466
2020-09-23$112.01$105.0023.6%6.8%22.0%21.9%22.2%3.8%3.5%4.2M-64.3M-688.5K0.6614.95N/AN/A1,21780226,24120,594
2020-09-24$111.32$110.0023.7%6.8%21.8%22.0%22.8%3.4%3.4%4.0M-52.0M-696.9K0.2914.41N/AN/A85225126,56521,084
2020-09-25$113.35$110.0021.0%6.0%22.9%18.0%23.2%4.3%4.5%4.6M-73.5M-701.0K0.537.38N/AN/A82243626,57121,143
2020-09-28$114.26$110.0020.3%5.8%23.0%17.1%20.5%3.2%4.9%5.2M-86.2M-690.2K0.2214.72N/AN/A66814626,91421,369
2020-09-29$113.67$110.0020.9%6.0%23.1%17.9%21.9%3.1%4.6%4.9M-79.9M-678.8K0.3211.65N/AN/A1,42445126,97721,402
2020-09-30$113.03$110.0019.0%5.4%23.1%15.0%19.8%3.0%6.0%5.0M-73.3M-673.0K0.2715.00N/AN/A1,19131727,46221,439