WM Options History — September 2021

In September 2021, WM traded between $149.58 and $156.16. ATM implied volatility averaged 16.4%, placing in the 20.1% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 6.0% (HV 20d: 10.4%). Max pain ranged from $145.00 to $150.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.89.

Notable Days

  • 2021-09-01: Highest Volume — 9,052 contracts
  • 2021-09-20: Largest IV spike — 29.3% change
  • 2021-09-20: Highest IV Rank — 41.4%
  • 2021-09-20: Largest Expected Move — 6.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$153.60$149.58$156.16$156.16$149.58
Max Pain$146.43$145.00$150.00$150.00$150.00
ATM IV16.4%13.4%21.3%13.4%18.9%
Expected Move4.8%3.8%6.1%3.8%5.4%
HV 20d10.4%9.7%11.8%10.0%11.7%
HV 60d11.6%11.1%12.3%11.2%12.3%
IV Rank20.1%6.9%41.4%6.9%30.9%
IV Percentile28.2%0.4%77.4%0.4%54.4%
Term Structure2.2%0.1%3.3%2.1%0.1%
VWIV17.7%15.4%21.1%16.7%18.9%
Skew 25d3.4%0.9%5.9%0.9%3.2%
Skew 10d7.5%-0.2%11.6%-0.2%7.5%
Call IV 25d16.2%14.3%18.6%14.5%18.6%
Put IV 25d19.6%15.5%24.2%15.5%21.8%
Bid-Ask Spread %76.8169.3981.2169.3980.28
Gamma HHI0.240.160.420.240.18
Net GEX8.2M748.2K13.9M11.6M748.2K
Net DEX-177.4M-251.1M-101.3M-251.1M-101.3M
Net VEX-907.4K-978.8K-817.9K-817.9K-978.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.890.023.770.030.74
Total Volume3,044.1435489,0529,052548
Total OI51,825.28647,97855,71650,79353,361

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-09-01$156.16$150.0013.4%3.8%10.0%6.9%16.7%0.9%2.1%11.6M-251.1M-817.9K0.0369.39N/AN/A8,75929329,53821,255
2021-09-02$155.64$145.0013.5%4.5%9.9%7.1%16.1%3.2%2.6%11.3M-233.2M-921.5K0.1275.97N/AN/A4,52955329,51021,357
2021-09-03$155.61$145.0013.7%4.4%9.7%8.1%15.4%2.9%2.4%11.0M-201.8M-899.5K0.0876.69N/AN/A2,61521228,61421,819
2021-09-07$153.43$145.0015.8%4.7%11.1%17.5%17.9%2.3%2.6%8.9M-176.3M-939.6K0.9678.13N/AN/A55953829,41022,100
2021-09-08$154.42$145.0016.0%4.6%11.1%18.3%17.6%3.9%3.1%9.7M-187.8M-888.9K0.1078.71N/AN/A5,37552429,36722,207
2021-09-09$154.25$145.0016.1%4.6%10.5%18.4%16.3%3.0%1.6%9.4M-178.5M-957.8K0.2170.58N/AN/A90818929,47522,287
2021-09-10$154.57$145.0016.6%4.8%10.3%20.9%16.6%2.6%3.2%11.1M-192.5M-929.0K0.0273.95N/AN/A6,92917030,42322,551
2021-09-13$154.97$145.0017.5%5.0%10.2%24.6%18.9%3.3%2.7%12.2M-201.4M-888.9K0.1880.69N/AN/A4,48482130,80922,635
2021-09-14$154.43$145.0017.5%5.0%10.1%24.8%18.8%4.2%2.5%12.9M-193.5M-904.0K0.5280.06N/AN/A88446132,74722,756
2021-09-15$155.81$145.0016.2%4.6%10.4%19.1%16.9%3.2%2.2%13.9M-209.9M-903.3K0.9175.87N/AN/A73967431,99123,350
2021-09-16$154.09$145.0016.0%4.6%10.7%18.1%17.4%2.7%2.3%12.5M-184.8M-887.5K0.0478.75N/AN/A5,78623231,77223,454
2021-09-17$152.86$145.0016.5%4.7%10.6%20.3%19.3%4.0%2.2%5.5M-161.9M-905.0K1.1475.65N/AN/A1,7992,05731,86723,849
2021-09-20$152.36$145.0021.3%6.1%10.1%41.4%21.1%5.9%0.4%5.8M-162.9M-903.6K1.5772.55N/AN/A7041,10826,57621,402
2021-09-21$153.07$145.0018.0%5.2%9.8%27.0%18.2%3.9%1.7%5.4M-167.6M-922.2K1.4076.99N/AN/A70398126,64122,653
2021-09-22$153.43$145.0016.1%4.6%9.8%18.7%17.4%3.6%3.3%6.0M-167.5M-956.8K0.6477.05N/AN/A1,11371326,74422,751
2021-09-23$153.40$145.0014.8%4.3%9.7%13.1%15.6%3.9%2.8%5.6M-166.3M-898.0K3.7281.21N/AN/A3161,17526,87523,535
2021-09-24$154.00$150.0014.4%4.1%9.7%11.1%15.9%3.7%3.1%6.3M-175.1M-843.1K1.2277.78N/AN/A48358826,69022,998
2021-09-27$152.16$150.0016.3%4.7%10.5%19.4%16.6%3.4%2.8%4.9M-149.2M-893.7K0.8477.40N/AN/A69558726,73123,814
2021-09-28$150.09$150.0018.4%5.3%11.3%28.9%20.2%4.8%1.5%3.6M-123.2M-927.4K3.7778.24N/AN/A6932,61226,82124,135
2021-09-29$151.31$150.0018.0%5.2%11.8%27.1%19.1%3.5%1.9%4.0M-140.3M-888.2K0.4177.09N/AN/A58123727,04024,421
2021-09-30$149.58$150.0018.9%5.4%11.7%30.9%18.9%3.2%0.1%748.2K-101.3M-978.8K0.7480.28N/AN/A31523327,16026,201