WM Options History — November 2020 In November 2020, WM traded between $110.16 and $122.98. ATM implied volatility averaged 22.1%, placing in the 19.6% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded below realized volatility by 6.0% (HV 20d: 28.1%). Max pain ranged from $110.00 to $120.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 0.57.
Notable Days 2020-11-04 : Highest Volume — 2,978 contracts2020-11-04 : Largest IV drop — 24.6% change2020-11-03 : Highest IV Rank — 34.2%2020-11-03 : Largest Expected Move — 9.2%Monthly Statistics Metric Avg Min Max Open Close Price $119.76 $110.16 $122.98 $110.16 $118.78 Max Pain $115.25 $110.00 $120.00 $115.00 $120.00 ATM IV 22.1% 18.7% 32.0% 32.0% 22.4% Expected Move 6.2% 5.3% 9.2% 9.2% 6.4% HV 20d 28.1% 22.5% 30.7% 23.5% 22.6% HV 60d 22.4% 19.7% 22.8% 19.7% 22.0% IV Rank 19.6% 14.6% 34.2% 34.2% 20.0% IV Percentile 43.9% 24.6% 81.0% 81.0% 48.0% Term Structure -0.4% -5.0% 1.0% -4.3% -0.8% VWIV 21.3% 17.8% 30.4% 30.4% 20.4% Skew 25d 2.9% -0.1% 5.4% 5.4% -0.1% Skew 10d 6.9% 2.6% 15.5% 12.5% 7.4% Call IV 25d 20.1% 17.0% 29.9% 29.9% 20.2% Put IV 25d 23.0% 19.1% 35.4% 35.4% 20.1% Bid-Ask Spread % 47.01 25.87 63.19 43.34 29.28 Gamma HHI 0.28 0.22 0.40 0.22 0.22 Net GEX 6.3M 2.7M 8.9M 2.7M 4.7M Net DEX -124.7M -166.9M -32.0M -32.0M -92.7M Net VEX -581.6K -655.9K -549.3K -621.2K -555.2K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.57 0.10 2.91 0.16 0.50 Total Volume 1,692.2 526 2,978 2,534 610 Total OI 43,752.55 40,438 47,830 42,317 41,849
Daily Data (20 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 2020-11-02 $110.16 $115.00 32.0% 9.2% 23.5% 34.2% 30.4% 5.4% -4.3% 2.7M -32.0M -621.2K 0.16 43.34 N/A N/A 2,184 350 24,762 17,555 2020-11-03 $114.97 $115.00 32.0% 9.2% 28.1% 34.2% 29.1% 1.3% -5.0% 4.3M -74.7M -655.9K 0.21 44.17 N/A N/A 2,069 440 24,762 17,555 2020-11-04 $116.12 $115.00 24.1% 6.9% 28.2% 22.6% 24.0% 3.1% -0.0% 5.0M -86.5M -651.6K 0.21 25.87 N/A N/A 2,455 523 25,124 17,904 2020-11-05 $119.89 $110.00 22.7% 6.3% 30.3% 20.5% 22.8% 3.4% 0.7% 6.3M -132.3M -638.9K 0.15 62.23 N/A N/A 2,102 317 25,188 18,037 2020-11-06 $119.67 $110.00 21.7% 6.2% 30.3% 19.0% 22.1% 4.2% -0.5% 6.7M -131.1M -604.0K 0.78 62.16 N/A N/A 478 372 25,362 18,107 2020-11-09 $121.80 $110.00 25.3% 5.9% 30.6% 24.3% 19.7% 3.3% -0.2% 7.4M -161.3M -555.0K 0.31 63.19 N/A N/A 1,939 595 25,463 18,104 2020-11-10 $122.98 $110.00 20.8% 5.7% 30.3% 17.7% 19.9% 3.7% 0.2% 7.2M -166.9M -567.9K 0.56 46.96 N/A N/A 1,053 585 25,614 18,185 2020-11-11 $122.71 $110.00 20.1% 5.8% 30.2% 16.8% 20.9% 3.4% 0.8% 7.2M -164.9M -564.5K 1.86 35.61 N/A N/A 648 1,208 25,688 18,333 2020-11-12 $121.19 $110.00 22.1% 6.3% 30.7% 19.6% 22.8% 3.9% 0.1% 7.1M -144.2M -565.3K 2.91 57.96 N/A N/A 565 1,645 25,697 18,339 2020-11-13 $122.22 $115.00 20.9% 6.0% 30.7% 17.9% 20.7% 3.5% -0.3% 7.2M -161.0M -557.0K 0.31 49.25 N/A N/A 701 220 25,872 19,627 2020-11-16 $121.79 $115.00 21.2% 6.1% 29.7% 18.4% 21.7% 3.2% -0.8% 7.6M -156.1M -558.2K 0.46 57.17 N/A N/A 727 338 26,308 19,730 2020-11-17 $121.35 $115.00 20.8% 5.9% 29.8% 17.7% 20.4% 2.9% -0.2% 7.7M -150.3M -550.7K 0.35 49.31 N/A N/A 685 241 26,388 19,852 2020-11-18 $120.90 $115.00 20.1% 5.8% 29.9% 16.8% 19.4% 3.1% 0.4% 7.9M -139.6M -571.8K 0.32 54.76 N/A N/A 1,582 506 26,417 19,824 2020-11-19 $120.75 $120.00 20.6% 5.9% 29.6% 17.5% 20.1% 3.4% 0.6% 8.9M -140.6M -573.5K 0.64 53.96 N/A N/A 1,146 733 27,024 20,020 2020-11-20 $120.72 $120.00 19.1% 5.5% 29.6% 15.3% 18.3% 2.9% 0.6% 7.0M -149.6M -573.2K 0.17 33.47 N/A N/A 1,631 272 27,231 20,599 2020-11-23 $120.26 $120.00 18.7% 5.3% 27.1% 14.6% 18.3% 3.4% 1.0% 5.3M -106.4M -549.3K 0.10 39.14 N/A N/A 2,227 212 23,081 17,357 2020-11-24 $120.27 $120.00 19.0% 5.4% 25.5% 15.1% 17.8% 3.0% 0.7% 5.2M -108.4M -569.1K 0.23 38.81 N/A N/A 730 166 23,747 17,388 2020-11-25 $119.45 $120.00 19.0% 5.4% 22.5% 15.0% 18.9% 0.7% -0.6% 5.1M -100.2M -580.8K 0.40 48.52 N/A N/A 757 306 23,865 17,484 2020-11-27 $119.31 $120.00 18.7% 5.4% 22.7% 14.7% 19.4% 1.2% -0.1% 5.0M -95.6M -569.7K 0.71 44.99 N/A N/A 307 219 24,029 17,580 2020-11-30 $118.78 $120.00 22.4% 6.4% 22.6% 20.0% 20.4% -0.1% -0.8% 4.7M -92.7M -555.2K 0.50 29.28 N/A N/A 407 203 24,166 17,683
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