WM Options History — October 2021

In October 2021, WM traded between $149.29 and $164.24. ATM implied volatility averaged 17.6%, placing in the 25.4% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 3.2% (HV 20d: 14.4%). Max pain ranged from $150.00 to $160.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.63.

Notable Days

  • 2021-10-19: Highest Volume — 12,169 contracts
  • 2021-10-11: Largest IV spike — 14.3% change
  • 2021-10-04: Highest IV Rank — 33.5%
  • 2021-10-04: Largest Expected Move — 6.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$156.36$149.29$164.24$149.99$160.18
Max Pain$154.76$150.00$160.00$150.00$160.00
ATM IV17.6%15.6%19.5%17.9%17.3%
Expected Move5.2%4.7%6.0%5.1%5.0%
HV 20d14.4%11.2%19.9%11.8%19.9%
HV 60d12.5%11.4%14.8%12.0%14.8%
IV Rank25.4%16.4%33.5%26.5%24.0%
IV Percentile43.3%20.2%60.3%44.0%41.7%
Term Structure0.5%-0.8%2.1%2.1%1.0%
VWIV18.5%17.0%21.2%18.0%17.8%
Skew 25d4.2%3.3%5.4%3.3%3.7%
Skew 10d9.4%7.1%11.1%8.5%9.1%
Call IV 25d17.2%15.7%19.3%17.3%16.6%
Put IV 25d21.4%19.5%23.9%20.5%20.3%
Bid-Ask Spread %68.9455.1382.4482.4462.97
Gamma HHI0.260.180.400.190.33
Net GEX5.8M228.2K9.8M1.1M8.5M
Net DEX-195.6M-300.8M-98.2M-111.8M-249.6M
Net VEX-976.7K-1.3M-768.6K-951.1K-1.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.630.133.930.220.50
Total Volume3,693.90539412,1697852,895
Total OI56,176.38145,76066,18953,61166,189

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-10-01$149.99$150.0017.9%5.1%11.8%26.5%18.0%3.3%2.1%1.1M-111.8M-951.1K0.2282.44N/AN/A64114427,36326,248
2021-10-04$149.29$150.0019.5%6.0%11.8%33.5%21.2%4.5%-0.7%228.2K-98.2M-947.0K0.6667.00N/AN/A76250027,39926,328
2021-10-05$150.09$150.0017.9%5.7%11.2%26.4%20.7%5.4%-0.3%690.5K-113.1M-897.3K0.8561.09N/AN/A21418127,47426,313
2021-10-06$151.30$150.0018.6%5.9%11.4%29.3%20.3%4.9%-0.8%2.2M-137.8M-856.8K0.5263.00N/AN/A25913527,67226,330
2021-10-07$153.90$150.0016.2%5.3%13.1%18.8%19.6%3.9%0.2%5.0M-180.0M-832.8K3.9370.68N/AN/A4361,71327,71926,400
2021-10-08$154.95$150.0015.6%5.2%13.3%16.4%19.2%4.7%0.1%6.1M-196.4M-813.5K0.5264.98N/AN/A30615927,79426,401
2021-10-11$154.43$150.0017.8%5.2%13.3%26.1%18.8%4.5%-0.1%6.7M-192.0M-784.3K0.5567.94N/AN/A66436327,91626,040
2021-10-12$154.11$150.0018.7%5.3%13.3%30.0%18.5%4.5%0.2%6.8M-183.4M-834.8K0.8472.42N/AN/A1,4931,25127,97726,054
2021-10-13$154.84$150.0019.3%5.5%13.0%32.4%18.9%4.2%0.2%8.3M-200.0M-768.6K0.9177.14N/AN/A1,5581,42028,20326,126
2021-10-14$157.73$155.0017.8%5.1%13.9%26.0%18.2%4.4%-0.1%7.5M-235.8M-826.5K0.1374.00N/AN/A6,03076428,87727,019
2021-10-15$158.29$155.0016.4%4.7%13.5%20.0%17.3%4.5%1.8%4.5M-239.7M-878.8K0.2875.13N/AN/A2,12559729,36927,291
2021-10-18$157.01$155.0018.5%5.3%13.8%29.1%18.8%3.8%1.7%4.9M-178.1M-859.9K0.1670.27N/AN/A2,85344824,60521,155
2021-10-19$158.52$155.0017.3%4.9%14.1%23.7%17.5%4.1%1.3%5.2M-192.9M-860.8K0.3170.85N/AN/A9,2952,87424,52321,457
2021-10-20$160.33$160.0017.1%4.9%14.5%22.9%17.7%3.5%0.1%8.9M-239.6M-1.2M0.2070.73N/AN/A5,0241,01133,72724,296
2021-10-21$161.64$160.0017.3%5.0%14.6%24.1%17.3%4.4%1.8%9.1M-263.3M-1.1M0.4370.54N/AN/A2,25297234,34624,389
2021-10-22$164.24$160.0016.5%4.7%15.4%20.2%17.0%4.1%0.7%9.8M-300.8M-1.1M0.4166.50N/AN/A2,4631,01733,97724,703
2021-10-25$161.02$160.0018.2%5.2%16.6%27.9%18.2%3.5%-0.4%8.7M-258.6M-1.1M0.5355.13N/AN/A6,8933,66233,56924,897
2021-10-26$159.60$160.0016.8%4.8%16.0%21.4%17.8%4.0%0.6%6.6M-220.9M-1.2M0.2864.63N/AN/A4,9121,35135,77926,609
2021-10-27$155.29$160.0018.5%5.3%19.2%29.0%18.8%4.4%-0.2%5.2M-141.5M-1.2M0.6870.14N/AN/A2,4901,70336,20426,756
2021-10-28$156.83$160.0017.6%5.0%18.8%25.0%18.0%3.6%0.8%6.4M-175.2M-1.2M0.2570.20N/AN/A2,99874436,73827,472
2021-10-29$160.18$160.0017.3%5.0%19.9%24.0%17.8%3.7%1.0%8.5M-249.6M-1.3M0.5062.97N/AN/A1,92696938,74927,440