WM Options History — March 2021 In March 2021, WM traded between $112.61 and $130.32. ATM implied volatility averaged 19.6%, placing in the 4.5% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded below realized volatility by 0.7% (HV 20d: 20.3%). Max pain ranged from $105.00 to $120.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 20 of 23 days. Put/call ratio averaged 0.59.
Notable Days 2021-03-10 : Highest Volume — 13,301 contracts2021-03-04 : Largest IV spike — 32.3% change2021-03-04 : Highest IV Rank — 18.2%2021-03-04 : Largest Expected Move — 6.3%Monthly Statistics Metric Avg Min Max Open Close Price $122.00 $112.61 $130.32 $112.61 $128.93 Max Pain $115.22 $105.00 $120.00 $105.00 $120.00 ATM IV 19.6% 17.2% 28.0% 19.4% 18.5% Expected Move 5.5% 4.9% 6.3% 5.6% 5.3% HV 20d 20.3% 14.1% 24.5% 14.1% 22.1% HV 60d 18.7% 16.5% 19.9% 16.6% 19.3% IV Rank 4.5% 0.2% 18.2% 3.9% 3.7% IV Percentile 14.3% 0.4% 72.6% 9.9% 4.8% Term Structure 1.3% -0.8% 4.0% 0.7% 1.7% VWIV 19.4% 16.8% 21.5% 20.0% 18.1% Skew 25d 1.3% -0.7% 3.0% 2.2% -0.7% Skew 10d 3.6% 1.5% 8.7% 3.3% 2.4% Call IV 25d 18.9% 16.2% 22.1% 19.1% 18.1% Put IV 25d 20.2% 17.4% 22.3% 21.3% 17.4% Bid-Ask Spread % 70.32 23.84 87.64 87.64 23.84 Gamma HHI 0.27 0.21 0.37 0.24 0.21 Net GEX 10.4M 5.5M 13.9M 5.5M 11.0M Net DEX -156.2M -243.4M -64.4M -64.4M -220.4M Net VEX -922.0K -995.0K -828.6K -828.6K -978.6K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.59 0.03 1.30 0.73 0.28 Total Volume 4,232.217 1,082 13,301 1,149 1,653 Total OI 55,615 50,938 60,257 50,985 59,005
Daily Data (23 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 2021-03-01 $112.61 $105.00 19.4% 5.6% 14.1% 3.9% 20.0% 2.2% 0.7% 5.5M -64.4M -828.6K 0.73 87.64 N/A N/A 663 486 33,929 17,056 2021-03-02 $114.47 $105.00 19.1% 5.5% 15.0% 3.3% 20.0% 1.6% 0.5% 7.2M -89.2M -840.7K 1.30 82.87 N/A N/A 1,926 2,495 33,962 16,976 2021-03-03 $114.35 $110.00 21.1% 6.1% 14.5% 6.8% 21.5% 0.6% -0.5% 5.8M -84.3M -869.1K 0.72 83.05 N/A N/A 3,119 2,240 34,464 18,672 2021-03-04 $115.45 $110.00 28.0% 6.3% 14.5% 18.2% 21.4% -0.5% 1.0% 6.8M -91.9M -879.4K 0.62 75.92 N/A N/A 3,416 2,110 35,400 19,226 2021-03-05 $118.75 $110.00 20.8% 5.7% 17.4% 6.3% 20.6% 1.6% 1.0% 9.4M -148.4M -915.8K 0.15 65.76 N/A N/A 4,572 670 35,275 20,222 2021-03-08 $121.86 $110.00 23.4% 5.8% 19.1% 10.5% 21.0% 1.7% -0.1% 12.3M -202.8M -910.2K 0.22 71.51 N/A N/A 5,154 1,149 36,329 20,194 2021-03-09 $120.03 $110.00 22.0% 6.2% 20.2% 8.2% 21.2% 2.1% -0.8% 11.5M -161.7M -907.0K 0.41 76.20 N/A N/A 3,167 1,286 36,773 20,711 2021-03-10 $121.49 $115.00 20.3% 5.8% 20.4% 5.3% 20.1% 1.3% 0.7% 12.5M -184.4M -921.9K 0.03 76.52 N/A N/A 12,947 354 36,836 21,470 2021-03-11 $120.15 $115.00 19.6% 5.6% 20.9% 4.2% 20.5% 1.8% 1.0% 10.7M -118.2M -944.1K 0.72 75.22 N/A N/A 1,686 1,210 33,096 21,429 2021-03-12 $121.53 $115.00 19.8% 5.7% 21.0% 4.5% 19.9% 1.6% 1.5% 12.0M -140.7M -968.8K 0.12 71.96 N/A N/A 2,016 247 33,666 22,261 2021-03-15 $122.24 $115.00 19.4% 5.6% 21.0% 3.9% 19.8% 1.8% 1.5% 13.4M -150.3M -938.0K 1.28 71.72 N/A N/A 1,111 1,427 33,910 21,957 2021-03-16 $122.87 $115.00 18.4% 5.3% 20.8% 2.2% 19.1% 2.1% 1.8% 13.9M -160.4M -928.5K 0.88 54.88 N/A N/A 1,235 1,088 34,344 22,486 2021-03-17 $119.25 $115.00 18.4% 5.3% 24.0% 2.2% 18.6% 1.0% 2.0% 11.0M -98.4M -895.7K 1.27 83.29 N/A N/A 2,628 3,349 34,990 22,793 2021-03-18 $121.47 $120.00 19.5% 5.6% 24.5% 4.0% 19.7% 1.6% 0.7% 13.5M -142.5M -953.6K 0.53 79.35 N/A N/A 2,031 1,079 36,129 24,128 2021-03-19 $122.23 $120.00 18.7% 5.3% 23.2% 2.6% 19.2% 0.4% 4.0% 10.3M -144.7M -938.5K 1.24 79.46 N/A N/A 2,290 2,838 35,686 23,930 2021-03-22 $123.12 $120.00 17.2% 4.9% 22.7% 0.2% 18.2% 1.5% 2.2% 9.7M -142.4M -922.0K 0.52 78.84 N/A N/A 711 371 31,854 19,695 2021-03-23 $123.83 $120.00 17.5% 5.0% 22.3% 0.8% 18.1% 0.6% 1.9% 10.2M -157.8M -902.4K 0.88 78.95 N/A N/A 976 860 31,916 19,788 2021-03-24 $125.22 $120.00 17.5% 5.0% 22.0% 1.0% 18.1% 1.1% 1.9% 10.5M -178.3M -894.9K 0.14 79.66 N/A N/A 5,912 800 32,016 20,297 2021-03-25 $127.17 $120.00 18.6% 5.3% 22.3% 3.5% 16.8% 3.0% 1.1% 11.0M -204.0M -950.8K 0.60 72.32 N/A N/A 2,167 1,300 33,750 20,848 2021-03-26 $129.49 $120.00 18.4% 5.3% 21.7% 3.4% 18.6% 0.8% 1.5% 9.8M -234.5M -963.4K 0.30 42.91 N/A N/A 5,398 1,612 33,779 21,882 2021-03-29 $130.32 $120.00 18.0% 5.2% 21.7% 2.3% 18.2% 0.7% 2.4% 10.1M -243.4M -995.0K 0.33 61.02 N/A N/A 2,604 849 35,186 22,393 2021-03-30 $129.18 $120.00 17.8% 5.1% 22.1% 1.8% 17.8% 0.9% 2.5% 10.9M -228.8M -958.6K 0.23 44.50 N/A N/A 1,733 406 35,610 22,826 2021-03-31 $128.93 $120.00 18.5% 5.3% 22.1% 3.7% 18.1% -0.7% 1.7% 11.0M -220.4M -978.6K 0.28 23.84 N/A N/A 1,287 366 36,024 22,981
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