WM Options History — January 2021

In January 2021, WM traded between $110.49 and $118.44. ATM implied volatility averaged 23.3%, placing in the 17.2% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 6.2% (HV 20d: 17.1%). Max pain ranged from $115.00 to $120.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 0.33.

Notable Days

  • 2021-01-15: Highest Volume — 5,663 contracts
  • 2021-01-11: Largest IV spike — 48.5% change
  • 2021-01-11: Highest IV Rank — 27.8%
  • 2021-01-29: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$115.08$110.49$118.44$114.92$111.22
Max Pain$116.58$115.00$120.00$115.00$115.00
ATM IV23.3%18.5%29.0%25.1%29.0%
Expected Move6.6%6.0%8.3%6.8%8.3%
HV 20d17.1%15.7%20.6%15.8%20.6%
HV 60d20.4%18.2%21.1%20.8%19.3%
IV Rank17.2%10.2%27.8%24.0%23.1%
IV Percentile49.0%11.1%75.0%63.1%75.0%
Term Structure-0.1%-1.4%3.3%-1.3%-1.2%
VWIV23.0%20.6%28.9%23.8%28.9%
Skew 25d2.9%0.6%4.1%4.1%2.3%
Skew 10d5.7%2.1%7.7%7.7%3.6%
Call IV 25d22.0%20.0%28.5%21.8%28.5%
Put IV 25d24.9%22.5%30.8%26.0%30.8%
Bid-Ask Spread %69.9155.3879.9955.3879.64
Gamma HHI0.240.150.440.220.15
Net GEX5.0M1.9M10.3M4.4M2.4M
Net DEX-49.8M-98.3M-13.4M-42.7M-25.4M
Net VEX-632.6K-781.9K-539.4K-541.8K-781.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.330.130.750.390.56
Total Volume2,680.8951,0635,6633,2351,346
Total OI43,548.21130,03453,45746,82941,380

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-01-04$114.92$115.0025.1%6.8%15.8%24.0%23.8%4.1%-1.3%4.4M-42.7M-541.8K0.3955.38N/AN/A2,32491127,56519,264
2021-01-05$115.24$115.0023.3%6.7%15.8%21.4%23.3%4.0%-0.6%4.9M-54.1M-539.4K0.6460.90N/AN/A1,04667427,87519,854
2021-01-06$117.44$115.0024.4%6.6%17.1%23.0%23.3%3.6%-0.6%6.9M-82.2M-580.8K0.3562.00N/AN/A2,04871228,26520,736
2021-01-07$117.94$115.0018.5%6.2%17.1%14.4%21.7%3.7%-0.2%7.5M-90.1M-593.5K0.4363.27N/AN/A1,52566228,74120,976
2021-01-08$118.44$120.0018.6%6.2%17.2%14.5%22.3%3.5%-0.1%8.4M-98.3M-599.9K0.2569.42N/AN/A1,25732029,54721,144
2021-01-11$117.02$120.0027.7%6.4%16.9%27.8%21.9%3.8%0.4%7.0M-80.5M-600.7K0.3174.31N/AN/A1,14335230,16421,145
2021-01-12$116.15$120.0026.2%6.7%17.2%25.6%23.5%3.1%-0.9%6.1M-68.7M-574.5K0.3571.88N/AN/A1,93167430,78421,096
2021-01-13$116.38$120.0022.4%6.4%17.1%20.0%22.0%3.4%-0.6%5.8M-72.8M-569.5K0.1372.17N/AN/A1,97926330,39121,308
2021-01-14$114.72$120.0022.4%6.4%17.0%12.5%22.1%3.2%1.4%6.5M-48.0M-568.3K0.3961.22N/AN/A2,45396131,11521,267
2021-01-15$114.59$120.0021.0%6.0%17.0%10.3%21.2%3.3%0.6%10.3M-30.1M-588.1K0.1369.82N/AN/A5,01464931,75221,705
2021-01-19$115.33$115.0021.4%6.1%16.5%10.9%20.6%2.9%0.2%2.7M-30.8M-605.2K0.2565.96N/AN/A3,27880718,20611,828
2021-01-20$115.45$115.0021.9%6.3%16.5%11.6%20.8%2.2%-0.2%3.4M-34.7M-652.7K0.1977.64N/AN/A89416920,19512,449
2021-01-21$114.68$115.0021.0%6.0%16.4%10.2%20.7%2.5%0.8%3.1M-29.5M-638.2K0.1465.65N/AN/A3,64749620,43112,503
2021-01-22$115.58$115.0021.3%6.1%15.7%10.8%21.3%2.5%0.1%3.9M-41.5M-692.7K0.2270.59N/AN/A1,88641921,75612,836
2021-01-25$114.15$115.0023.0%6.6%15.9%13.5%23.0%2.0%-0.4%3.2M-35.9M-697.6K0.2974.95N/AN/A1,23835822,95913,179
2021-01-26$114.34$115.0023.2%6.7%15.9%13.9%23.2%1.9%-0.6%3.5M-37.7M-704.5K0.1977.49N/AN/A1,57529523,53213,415
2021-01-27$110.49$115.0028.0%8.0%19.2%21.5%27.8%3.0%-1.4%1.9M-13.4M-711.7K0.7575.96N/AN/A2,8062,11124,37413,586
2021-01-28$112.41$115.0025.1%7.2%20.4%16.9%25.5%0.6%3.3%2.7M-29.6M-778.0K0.2979.99N/AN/A2,09961524,96215,131
2021-01-29$111.22$115.0029.0%8.3%20.6%23.1%28.9%2.3%-1.2%2.4M-25.4M-781.9K0.5679.64N/AN/A86348326,01415,366