WM Options History — February 2021

In February 2021, WM traded between $109.94 and $114.21. ATM implied volatility averaged 23.1%, placing in the 12.9% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 5.1% (HV 20d: 18.0%). Max pain ranged from $105.00 to $115.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 0.39.

Notable Days

  • 2021-02-18: Highest Volume — 5,348 contracts
  • 2021-02-18: Largest IV drop — 15.0% change
  • 2021-02-01: Highest IV Rank — 19.1%
  • 2021-02-01: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$112.57$109.94$114.21$112.17$111.32
Max Pain$108.68$105.00$115.00$115.00$105.00
ATM IV23.1%20.9%26.5%26.5%23.6%
Expected Move6.5%6.0%7.6%7.6%6.8%
HV 20d18.0%14.1%20.7%20.7%14.1%
HV 60d15.9%15.2%17.3%17.2%16.4%
IV Rank12.9%6.7%19.1%19.1%10.8%
IV Percentile45.1%28.6%67.5%67.5%46.8%
Term Structure-0.1%-1.3%0.7%0.6%-0.4%
VWIV23.2%19.9%27.8%27.8%22.4%
Skew 25d2.6%0.1%3.5%0.1%2.9%
Skew 10d4.7%0.0%9.7%0.0%3.4%
Call IV 25d22.0%18.9%27.9%27.9%21.9%
Put IV 25d24.7%22.3%28.0%28.0%24.8%
Bid-Ask Spread %70.5530.9385.0784.6977.74
Gamma HHI0.200.160.240.170.22
Net GEX4.1M2.5M6.5M3.0M4.8M
Net DEX-47.8M-71.2M-30.3M-30.3M-54.7M
Net VEX-808.1K-879.1K-742.6K-799.5K-879.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.390.091.440.170.42
Total Volume2,667.7896295,3487131,608
Total OI47,104.42142,09254,51042,09250,350

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-02-01$112.17$115.0026.5%7.6%20.7%19.1%27.8%0.1%0.6%3.0M-30.3M-799.5K0.1784.69N/AN/A60710626,42315,669
2021-02-02$113.42$115.0023.8%6.8%19.6%14.8%24.5%1.4%0.3%3.7M-43.2M-803.3K0.2685.07N/AN/A49813126,66515,703
2021-02-03$112.51$115.0023.5%6.7%19.7%14.2%23.8%1.4%-0.1%3.2M-30.7M-758.9K0.4981.78N/AN/A66032226,79115,774
2021-02-04$112.77$110.0022.8%6.5%18.3%13.1%23.3%3.1%-0.1%3.3M-32.1M-742.6K0.2441.82N/AN/A61714827,11315,920
2021-02-05$113.78$110.0023.4%6.4%18.6%14.1%21.9%2.8%0.2%4.1M-44.9M-750.1K0.3076.18N/AN/A1,48043827,34415,958
2021-02-08$114.21$110.0023.7%6.3%18.6%14.6%22.7%3.5%-0.3%4.7M-48.5M-756.0K0.2177.87N/AN/A1,61034227,95716,167
2021-02-09$113.83$110.0025.1%6.5%18.2%16.9%22.1%2.5%-0.3%4.6M-46.9M-787.6K0.3530.93N/AN/A77027028,97216,246
2021-02-10$113.55$110.0023.2%6.6%18.0%13.8%23.0%2.4%0.1%4.4M-46.9M-780.2K0.0954.14N/AN/A2,77925528,97316,449
2021-02-11$113.26$110.0022.9%6.6%18.0%13.4%26.6%2.5%-0.4%3.9M-46.7M-799.3K0.2970.15N/AN/A2,33767029,58316,594
2021-02-12$113.04$110.0024.4%7.0%17.3%15.7%25.5%2.9%-1.3%3.8M-44.7M-818.1K0.3973.19N/AN/A2,7401,07830,43917,088
2021-02-16$112.74$110.0023.6%6.8%17.4%14.5%26.5%3.0%-0.6%3.5M-44.0M-823.5K0.2272.46N/AN/A4,08691331,24417,587
2021-02-17$112.42$105.0024.8%7.1%17.1%16.4%24.7%3.4%-0.6%4.0M-58.0M-839.1K0.7176.34N/AN/A2,0541,45134,41817,552
2021-02-18$113.53$105.0021.1%6.1%17.6%10.5%19.9%3.0%0.5%6.5M-71.2M-839.6K0.3657.91N/AN/A3,9281,42035,02017,886
2021-02-19$111.53$105.0020.9%6.0%18.5%10.1%21.4%3.1%0.7%2.5M-46.3M-832.8K0.7267.99N/AN/A2,6741,92437,02217,488
2021-02-22$110.50$105.0021.0%6.0%18.4%9.0%20.7%2.9%0.4%3.8M-42.6M-803.4K0.3574.43N/AN/A3,6651,28731,13814,822
2021-02-23$109.94$105.0021.2%6.1%18.0%7.1%20.8%2.2%0.0%3.9M-42.1M-834.0K0.2679.12N/AN/A1,46938533,23615,732
2021-02-24$111.81$105.0021.1%6.0%19.2%6.7%20.0%3.4%-0.4%5.2M-63.5M-851.9K0.2078.73N/AN/A1,74534833,81115,987
2021-02-25$112.58$105.0022.6%6.5%14.8%9.2%23.4%3.4%-0.8%5.7M-70.8M-854.6K1.4479.84N/AN/A1,5892,28433,71116,152
2021-02-26$111.32$105.0023.6%6.8%14.1%10.8%22.4%2.9%-0.4%4.8M-54.7M-879.1K0.4277.74N/AN/A1,13347533,65216,698