WM Options History — May 2021

In May 2021, WM traded between $138.53 and $143.72. ATM implied volatility averaged 17.1%, placing in the 15.2% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 1.8% (HV 20d: 15.3%). Max pain ranged from $130.00 to $145.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 0.50.

Notable Days

  • 2021-05-11: Highest Volume — 4,751 contracts
  • 2021-05-11: Largest IV spike — 18.6% change
  • 2021-05-11: Highest IV Rank — 32.7%
  • 2021-05-12: Largest Expected Move — 5.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$140.92$138.53$143.72$140.26$140.87
Max Pain$142.75$130.00$145.00$130.00$145.00
ATM IV17.1%13.9%20.7%15.9%13.9%
Expected Move4.9%4.0%5.9%4.5%4.0%
HV 20d15.3%10.2%18.5%10.6%17.7%
HV 60d17.3%16.4%18.1%16.5%17.3%
IV Rank15.2%0.0%32.7%8.5%0.0%
IV Percentile10.3%0.0%38.9%1.6%0.0%
Term Structure0.5%-0.7%1.8%0.5%1.8%
VWIV17.2%13.9%20.1%16.0%13.9%
Skew 25d2.7%1.1%4.0%2.0%2.1%
Skew 10d4.8%2.1%7.4%4.0%2.5%
Call IV 25d16.3%13.3%19.5%15.2%13.3%
Put IV 25d19.0%15.4%23.5%17.2%15.4%
Bid-Ask Spread %77.0124.4186.9684.5879.72
Gamma HHI0.160.140.190.190.14
Net GEX8.1M6.5M9.5M9.3M6.7M
Net DEX-229.8M-279.6M-179.4M-244.7M-193.7M
Net VEX-999.0K-1.1M-901.3K-901.3K-1.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.500.141.020.201.01
Total Volume1,711.655574,7512,143712
Total OI54,405.4548,59859,48750,33050,984

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-05-03$140.26$130.0015.9%4.5%10.6%8.5%16.0%2.0%0.5%9.3M-244.7M-901.3K0.2084.58N/AN/A1,79035330,36919,961
2021-05-04$140.65$130.0018.3%5.2%10.6%19.2%19.0%1.1%0.9%8.5M-240.5M-992.6K0.2686.43N/AN/A1,66543830,34020,024
2021-05-05$141.51$130.0016.8%4.8%10.6%13.8%16.7%2.8%-0.2%9.1M-253.8M-929.5K0.7586.21N/AN/A2,1581,61130,50720,292
2021-05-06$141.27$145.0017.2%5.0%10.8%15.6%17.5%2.5%0.1%8.5M-243.8M-1.0M0.1478.81N/AN/A1,94728031,57821,610
2021-05-07$141.36$145.0015.5%4.8%10.2%7.4%17.0%2.1%0.7%8.8M-250.2M-971.9K0.3581.35N/AN/A79127832,69321,723
2021-05-10$143.72$145.0017.5%5.4%11.4%17.0%18.0%2.8%0.4%8.7M-279.6M-955.6K0.1582.32N/AN/A2,68441532,80621,822
2021-05-11$140.81$145.0020.7%5.4%14.1%32.7%19.0%3.0%-0.4%8.3M-236.8M-983.3K1.0283.10N/AN/A2,3492,40233,48221,946
2021-05-12$138.53$145.0020.5%5.9%15.4%31.4%20.1%4.0%-0.7%7.2M-200.2M-1.1M0.5179.54N/AN/A1,33467933,96623,173
2021-05-13$141.76$145.0019.2%5.5%17.1%25.4%18.8%2.7%-0.0%8.5M-246.7M-1.0M0.3379.48N/AN/A1,03833934,47523,481
2021-05-14$142.26$145.0018.3%5.2%17.1%20.9%17.6%3.0%-0.1%9.3M-264.6M-972.5K0.2281.61N/AN/A1,37330434,66923,665
2021-05-17$141.57$145.0018.6%5.3%17.0%22.6%18.3%3.1%-0.0%9.5M-251.6M-1.0M0.4280.26N/AN/A39316435,14523,757
2021-05-18$141.03$145.0017.5%5.0%17.2%17.2%17.8%2.8%-0.0%9.0M-239.5M-1.0M0.5678.25N/AN/A76743235,22023,837
2021-05-19$138.81$145.0018.2%5.2%18.2%20.7%18.8%3.6%0.5%8.4M-203.4M-1.0M0.2678.09N/AN/A94824335,42424,063
2021-05-20$140.61$145.0017.3%5.0%18.5%16.2%17.2%2.8%0.6%8.4M-233.3M-1.0M0.5978.21N/AN/A42024735,28024,095
2021-05-21$140.90$145.0016.7%4.8%18.5%13.1%16.9%2.4%0.6%7.2M-243.1M-1.0M0.3683.44N/AN/A85030635,31924,101
2021-05-24$141.39$145.0015.4%4.4%17.7%7.2%15.3%2.8%0.8%6.8M-202.8M-962.2K0.6924.41N/AN/A43229630,32418,274
2021-05-25$140.83$145.0015.7%4.5%17.8%8.2%15.5%2.6%0.9%6.9M-196.5M-947.5K0.9953.43N/AN/A1,1801,16830,38418,270
2021-05-26$139.77$145.0014.7%4.2%17.9%3.6%15.4%2.5%1.3%6.6M-179.4M-1.1M0.5173.90N/AN/A47524331,15419,262
2021-05-27$140.47$145.0014.4%4.1%17.7%2.3%14.7%2.3%1.8%6.5M-191.7M-1.0M0.6886.96N/AN/A43329631,23519,399
2021-05-28$140.87$145.0013.9%4.0%17.7%0.0%13.9%2.1%1.8%6.7M-193.7M-1.0M1.0179.72N/AN/A35435831,44619,538