WM Options History — November 2021

In November 2021, WM traded between $159.42 and $167.30. ATM implied volatility averaged 19.1%, placing in the 41.1% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 0.0% (HV 20d: 19.0%). Max pain ranged from $155.00 to $160.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.87.

Notable Days

  • 2021-11-30: Highest Volume — 40,813 contracts
  • 2021-11-26: Largest IV spike — 28.9% change
  • 2021-11-30: Highest IV Rank — 75.0%
  • 2021-11-30: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$162.59$159.42$167.30$159.42$161.27
Max Pain$159.76$155.00$160.00$160.00$160.00
ATM IV19.1%17.0%24.7%17.4%24.7%
Expected Move5.4%4.9%7.1%5.0%7.1%
HV 20d19.0%14.1%20.7%19.9%19.8%
HV 60d15.2%14.8%17.7%14.8%17.7%
IV Rank41.1%24.2%75.0%24.2%75.0%
IV Percentile60.1%37.7%96.0%42.5%96.0%
Term Structure0.6%-1.8%2.0%0.0%-1.8%
VWIV19.0%15.9%23.8%18.1%23.8%
Skew 25d4.0%2.9%5.6%3.6%4.6%
Skew 10d7.8%3.2%11.1%7.4%9.2%
Call IV 25d18.0%15.8%22.7%16.9%22.7%
Put IV 25d22.0%19.8%27.3%20.5%27.3%
Bid-Ask Spread %71.0654.2179.6470.2976.62
Gamma HHI0.300.270.340.340.34
Net GEX10.3M8.1M13.8M8.2M8.1M
Net DEX-289.2M-404.4M-225.3M-229.5M-225.3M
Net VEX-1.2M-1.3M-1.1M-1.3M-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.870.292.010.981.01
Total Volume4,794.7141,48840,8132,30540,813
Total OI64,362.09553,24669,47266,69356,027

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-11-01$159.42$160.0017.4%5.0%19.9%24.2%18.1%3.6%0.0%8.2M-229.5M-1.3M0.9870.29N/AN/A1,1631,14238,77927,914
2021-11-02$161.44$160.0017.9%5.1%20.2%30.0%17.5%5.1%-0.1%9.1M-272.4M-1.3M0.7654.21N/AN/A1,6291,24339,03528,049
2021-11-03$159.78$160.0018.3%5.2%20.7%31.8%18.6%3.9%-0.4%8.4M-239.9M-1.3M0.7457.63N/AN/A1,11882239,02027,990
2021-11-04$160.61$155.0019.4%5.6%20.1%43.8%19.5%3.3%-0.1%8.4M-257.9M-1.3M0.3579.64N/AN/A2,09974239,07727,940
2021-11-05$160.08$160.0019.6%5.6%20.1%45.5%20.5%4.4%1.1%8.5M-243.7M-1.3M0.6677.52N/AN/A1,20780039,66828,041
2021-11-08$160.15$160.0020.9%5.7%20.0%52.9%21.1%5.0%0.1%9.0M-246.7M-1.3M0.5472.89N/AN/A1,22566039,75228,156
2021-11-09$159.57$160.0021.0%5.5%20.0%53.4%20.1%4.3%0.5%8.8M-245.0M-1.2M0.4368.00N/AN/A1,43562240,00228,217
2021-11-10$161.91$160.0019.3%5.5%20.5%43.4%18.0%3.7%0.4%10.4M-296.1M-1.2M0.3672.58N/AN/A2,09275140,19128,263
2021-11-11$161.26$160.0018.6%5.3%19.7%39.4%18.7%3.8%0.5%11.0M-290.0M-1.2M0.4971.87N/AN/A1,13656140,55328,256
2021-11-12$163.24$160.0017.6%5.0%20.1%33.5%19.0%4.3%0.8%12.6M-341.3M-1.2M0.6870.39N/AN/A1,21882940,51528,267
2021-11-15$162.57$160.0017.5%5.0%19.9%32.8%19.1%3.3%1.2%12.0M-327.5M-1.2M0.5672.42N/AN/A95353540,61428,459
2021-11-16$164.65$160.0017.0%4.9%20.1%29.8%17.3%4.2%1.7%13.6M-377.9M-1.1M0.2975.62N/AN/A2,28665240,69328,470
2021-11-17$165.80$160.0017.5%5.0%19.9%32.8%18.4%3.4%1.3%13.8M-404.4M-1.1M0.3473.63N/AN/A1,82862640,79128,543
2021-11-18$164.48$160.0017.4%5.0%20.0%32.6%17.8%4.2%1.5%13.3M-384.8M-1.1M0.7871.28N/AN/A4,3203,36140,89828,518
2021-11-19$163.26$160.0017.5%5.0%19.4%33.3%18.7%3.3%1.5%11.8M-330.0M-1.1M0.8174.02N/AN/A2,6662,15340,91528,557
2021-11-22$163.34$160.0017.8%5.1%17.9%34.6%18.2%2.9%1.5%9.6M-249.5M-1.1M1.7965.40N/AN/A1,1572,07531,70821,538
2021-11-23$164.71$160.0018.4%5.3%17.8%38.2%15.9%3.6%1.2%9.8M-268.4M-1.1M1.2872.73N/AN/A1,4981,92331,94021,675
2021-11-24$165.61$160.0017.7%5.1%14.1%34.1%18.2%3.3%2.0%10.5M-277.1M-1.1M2.0170.05N/AN/A1,2542,51632,41521,753
2021-11-26$164.01$160.0022.8%6.5%14.6%64.0%21.4%5.6%-0.2%8.8M-262.9M-1.1M1.9173.21N/AN/A1,1092,12332,70922,323
2021-11-29$167.30$160.0021.9%6.3%14.4%58.6%19.3%3.8%-0.5%10.2M-302.5M-1.1M1.5872.16N/AN/A1,6822,66532,79222,581
2021-11-30$161.27$160.0024.7%7.1%19.8%75.0%23.8%4.6%-1.8%8.1M-225.3M-1.1M1.0176.62N/AN/A20,26520,54832,97223,055