WM Options History — October 2020

In October 2020, WM traded between $107.32 and $116.77. ATM implied volatility averaged 23.6%, placing in the 21.8% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 4.5% (HV 20d: 19.1%). Max pain ranged from $110.00 to $115.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 0.45.

Notable Days

  • 2020-10-28: Highest Volume — 3,840 contracts
  • 2020-10-30: Largest IV spike — 20.4% change
  • 2020-10-30: Highest IV Rank — 38.1%
  • 2020-10-30: Largest Expected Move — 9.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$113.57$107.32$116.77$112.62$107.38
Max Pain$114.09$110.00$115.00$110.00$115.00
ATM IV23.6%17.5%34.7%20.6%34.7%
Expected Move7.2%5.8%9.9%5.9%9.9%
HV 20d19.1%13.9%23.1%23.1%21.2%
HV 60d17.7%16.9%19.8%17.7%19.7%
IV Rank21.8%12.9%38.1%17.4%38.1%
IV Percentile55.5%26.6%85.7%46.0%85.7%
Term Structure-0.6%-3.6%5.1%4.3%-3.6%
VWIV24.8%20.6%32.0%21.3%32.0%
Skew 25d4.6%2.0%6.6%2.5%5.3%
Skew 10d8.8%4.7%11.3%7.9%11.3%
Call IV 25d23.4%20.2%31.4%20.5%31.4%
Put IV 25d27.9%22.2%36.7%23.0%36.7%
Bid-Ask Spread %37.658.7058.2918.8141.43
Gamma HHI0.290.130.560.260.16
Net GEX4.9M836.4K11.6M4.9M1.4M
Net DEX-69.8M-126.2M2.8M-65.2M-3.8M
Net VEX-632.0K-674.0K-592.5K-667.2K-637.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.450.111.010.390.22
Total Volume1,550.0454813,8401,0812,132
Total OI44,723.13635,31151,52149,35641,428

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-10-01$112.62$110.0020.6%5.9%23.1%17.4%21.3%2.5%4.3%4.9M-65.2M-667.2K0.3918.81N/AN/A77730427,76821,588
2020-10-02$114.14$110.0020.3%5.8%21.2%17.0%20.7%2.0%5.1%5.5M-90.1M-674.0K0.258.70N/AN/A97124127,95321,654
2020-10-05$114.40$110.0020.2%7.3%21.2%16.9%25.6%5.4%-0.9%6.1M-91.1M-656.9K0.6852.54N/AN/A61842228,01721,669
2020-10-06$113.33$110.0019.5%7.3%21.5%15.8%25.3%4.9%-0.6%5.8M-77.6M-653.5K0.6158.29N/AN/A54332928,03721,738
2020-10-07$114.06$115.0019.0%7.0%20.6%15.1%24.3%5.9%-0.9%6.3M-85.2M-647.6K0.3352.70N/AN/A86128228,10521,849
2020-10-08$114.69$115.0017.8%6.9%20.4%13.3%24.9%5.1%-1.0%6.9M-93.8M-629.7K0.1145.61N/AN/A2,47727928,14121,820
2020-10-09$115.35$115.0017.5%6.6%20.1%12.9%22.7%4.3%-0.2%7.6M-100.4M-641.7K0.4852.50N/AN/A57427328,60821,890
2020-10-12$116.77$115.0019.2%6.8%18.1%15.4%22.6%4.4%-0.2%7.5M-122.5M-621.6K0.2845.07N/AN/A1,35937528,71021,918
2020-10-13$115.57$115.0019.9%6.8%18.2%16.5%22.6%4.7%-0.6%8.5M-107.1M-633.1K0.3044.77N/AN/A1,47344328,66821,959
2020-10-14$114.74$115.0023.9%6.9%18.3%22.3%23.9%5.1%-1.2%9.7M-90.0M-614.4K0.1725.09N/AN/A1,12919229,03022,155
2020-10-15$115.38$115.0024.3%7.0%17.4%22.9%24.0%4.5%-1.3%11.6M-104.6M-639.3K0.1835.73N/AN/A2,19839929,28922,115
2020-10-16$115.98$115.0023.0%6.6%17.5%21.0%20.6%4.2%0.0%4.2M-126.2M-615.4K1.0134.25N/AN/A1,1181,13429,46322,058
2020-10-19$113.77$115.0024.6%7.1%18.4%23.3%24.2%4.3%-1.3%2.8M-49.8M-606.5K0.7635.12N/AN/A86666120,68414,627
2020-10-20$114.58$115.0024.1%6.9%18.2%22.6%25.5%4.0%-0.9%3.0M-56.9M-629.3K0.8631.20N/AN/A58450321,19815,157
2020-10-21$114.44$115.0024.0%6.9%14.8%22.4%23.4%4.1%-0.7%2.9M-56.1M-633.7K0.6421.49N/AN/A43527821,51315,518
2020-10-22$115.90$115.0024.6%7.1%15.0%23.4%23.5%4.4%-1.3%3.3M-68.7M-636.0K0.3038.34N/AN/A49514821,60415,676
2020-10-23$116.58$115.0025.3%7.3%13.9%24.3%24.9%4.7%-1.0%3.6M-74.0M-640.9K0.9139.20N/AN/A25222921,86615,737
2020-10-26$113.03$115.0026.8%7.7%17.8%26.6%26.6%4.0%-1.1%2.7M-46.2M-614.6K0.4222.33N/AN/A1,00542721,95115,856
2020-10-27$110.61$115.0027.4%7.9%19.2%27.5%27.5%3.4%-1.7%1.7M-24.6M-608.9K0.5431.30N/AN/A1,06257221,73716,303
2020-10-28$107.32$115.0032.5%9.3%21.8%34.9%30.6%6.6%-3.0%836.4K2.8M-592.5K0.3245.49N/AN/A2,90793321,93116,753
2020-10-29$107.94$115.0028.8%8.3%22.0%29.5%29.4%6.6%-1.3%1.2M-4.0M-610.5K0.1548.40N/AN/A1,60523622,83017,338
2020-10-30$107.38$115.0034.7%9.9%21.2%38.1%32.0%5.3%-3.6%1.4M-3.8M-637.4K0.2241.43N/AN/A1,75437823,94817,480