WM Options History — December 2020 In December 2020, WM traded between $114.80 and $119.52. ATM implied volatility averaged 20.4%, placing in the 17.1% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 7.2% (HV 20d: 13.2%). Max pain ranged from $110.00 to $120.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.40.
Notable Days 2020-12-02 : Highest Volume — 6,308 contracts2020-12-29 : Largest IV spike — 12.1% change2020-12-21 : Highest IV Rank — 18.7%2020-12-03 : Largest Expected Move — 6.3%Monthly Statistics Metric Avg Min Max Open Close Price $116.84 $114.80 $119.52 $119.52 $117.67 Max Pain $111.14 $110.00 $120.00 $120.00 $110.00 ATM IV 20.4% 18.6% 21.5% 19.0% 18.9% Expected Move 5.9% 5.3% 6.3% 5.5% 5.4% HV 20d 13.2% 9.1% 21.3% 21.3% 13.3% HV 60d 21.0% 20.1% 22.4% 22.0% 20.2% IV Rank 17.1% 14.5% 18.7% 15.2% 15.0% IV Percentile 33.5% 15.1% 44.0% 26.6% 16.7% Term Structure 1.6% 0.4% 3.3% 0.7% 1.9% VWIV 20.3% 19.2% 21.5% 19.4% 19.9% Skew 25d 2.9% 1.4% 3.9% 1.9% 3.1% Skew 10d 5.8% 2.8% 7.5% 4.7% 7.5% Call IV 25d 19.5% 18.4% 20.7% 18.7% 19.0% Put IV 25d 22.3% 20.6% 23.5% 20.6% 22.2% Bid-Ask Spread % 30.86 16.41 41.47 20.96 24.60 Gamma HHI 0.23 0.19 0.29 0.23 0.29 Net GEX 4.7M 3.0M 6.7M 5.0M 6.4M Net DEX -62.9M -100.8M -32.1M -100.8M -76.1M Net VEX -573.9K -600.7K -547.6K -547.6K -566.5K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.40 0.07 2.07 0.39 0.53 Total Volume 1,838.682 398 6,308 1,275 623 Total OI 44,881.182 41,521 48,908 42,134 46,735
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 2020-12-01 $119.52 $120.00 19.0% 5.5% 21.3% 15.2% 19.4% 1.9% 0.7% 5.0M -100.8M -547.6K 0.39 20.96 N/A N/A 920 355 24,334 17,800 2020-12-02 $117.21 $120.00 20.6% 5.9% 17.4% 17.5% 20.6% 1.4% 1.6% 4.1M -75.9M -556.1K 0.09 20.59 N/A N/A 5,793 515 24,691 17,665 2020-12-03 $117.20 $110.00 20.6% 6.3% 17.1% 17.5% 20.7% 3.9% 0.4% 4.1M -61.8M -566.7K 0.98 39.15 N/A N/A 1,018 993 23,630 17,891 2020-12-04 $117.42 $110.00 20.4% 6.0% 12.4% 17.2% 19.6% 3.4% 1.9% 3.7M -57.9M -564.2K 0.07 16.41 N/A N/A 1,912 139 23,884 18,624 2020-12-07 $116.56 $110.00 20.8% 6.1% 12.6% 17.8% 20.6% 2.5% 1.1% 3.8M -52.9M -570.4K 0.24 34.58 N/A N/A 861 204 24,896 18,686 2020-12-08 $116.78 $110.00 20.2% 5.9% 10.6% 16.9% 20.3% 2.7% 2.9% 3.9M -54.4M -564.4K 0.59 22.00 N/A N/A 1,057 621 24,828 18,751 2020-12-09 $116.66 $110.00 21.3% 6.1% 9.6% 18.4% 20.4% 2.8% 3.0% 3.8M -53.8M -560.4K 0.15 33.31 N/A N/A 1,831 283 24,883 18,883 2020-12-10 $115.01 $110.00 21.2% 6.1% 10.5% 18.4% 21.5% 2.4% 2.7% 3.0M -33.7M -560.7K 0.32 38.55 N/A N/A 1,733 546 25,202 19,025 2020-12-11 $115.17 $110.00 20.9% 6.0% 10.0% 17.9% 20.9% 2.6% 1.4% 3.3M -36.2M -562.5K 0.14 37.73 N/A N/A 2,112 286 25,721 19,297 2020-12-14 $114.80 $110.00 20.9% 6.0% 9.1% 17.8% 20.7% 3.4% 1.3% 3.2M -32.1M -558.4K 0.25 38.32 N/A N/A 1,062 268 26,763 19,417 2020-12-15 $116.56 $110.00 20.8% 5.9% 11.2% 17.7% 20.3% 3.1% 1.4% 4.3M -56.8M -563.5K 2.07 41.47 N/A N/A 1,089 2,258 27,024 19,253 2020-12-16 $116.29 $110.00 20.8% 6.0% 11.2% 17.8% 20.6% 2.7% 1.3% 3.9M -51.4M -598.6K 0.36 40.16 N/A N/A 681 243 27,315 20,710 2020-12-17 $117.74 $110.00 19.6% 5.6% 12.3% 15.9% 19.9% 2.2% 0.4% 5.0M -71.0M -599.5K 0.15 31.92 N/A N/A 2,118 319 27,395 20,707 2020-12-18 $117.15 $110.00 20.5% 5.9% 12.3% 17.4% 19.8% 2.5% 1.5% 5.6M -67.4M -599.7K 0.21 29.22 N/A N/A 1,387 289 28,201 20,707 2020-12-21 $116.14 $110.00 21.5% 6.2% 12.6% 18.7% 21.3% 2.8% 0.5% 5.3M -62.6M -595.6K 0.31 34.72 N/A N/A 1,920 598 25,388 18,165 2020-12-22 $117.80 $110.00 19.6% 5.6% 13.8% 16.0% 20.0% 3.7% 1.8% 6.1M -80.7M -600.7K 0.18 35.10 N/A N/A 1,019 186 25,607 18,576 2020-12-23 $116.50 $110.00 20.5% 5.9% 14.2% 17.3% 19.9% 2.9% 1.6% 5.4M -66.6M -593.3K 0.49 32.35 N/A N/A 647 317 26,019 18,652 2020-12-24 $116.70 $110.00 19.8% 5.7% 14.1% 16.2% 19.2% 2.6% 1.8% 5.7M -70.9M -579.4K 0.33 30.02 N/A N/A 299 99 26,336 18,827 2020-12-28 $117.88 $110.00 18.6% 5.3% 14.7% 14.5% 19.9% 3.2% 2.3% 6.7M -82.4M -572.4K 0.30 31.71 N/A N/A 1,174 352 26,443 18,824 2020-12-29 $116.85 $110.00 20.8% 6.0% 14.9% 17.8% 20.4% 3.6% 3.3% 6.0M -70.2M -577.2K 0.40 23.19 N/A N/A 766 309 26,726 18,962 2020-12-30 $116.77 $115.00 20.9% 6.0% 14.7% 17.8% 20.1% 3.8% 1.4% 5.9M -69.3M -568.9K 0.17 22.83 N/A N/A 1,068 181 26,862 19,081 2020-12-31 $117.67 $110.00 18.9% 5.4% 13.3% 15.0% 19.9% 3.1% 1.9% 6.4M -76.1M -566.5K 0.53 24.60 N/A N/A 406 217 27,604 19,131
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