WM Options History — September 2023

In September 2023, WM traded between $152.40 and $160.81. ATM implied volatility averaged 15.3%, placing in the 14.6% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 5.9% (HV 20d: 9.4%). Max pain ranged from $160.00 to $160.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 1.95.

Notable Days

  • 2023-09-27: Highest Volume — 21,320 contracts
  • 2023-09-25: Largest IV spike — 21.0% change
  • 2023-09-27: Highest IV Rank — 47.3%
  • 2023-09-27: Largest Expected Move — 5.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$157.54$152.40$160.81$157.39$152.40
Max Pain$160.00$160.00$160.00$160.00$160.00
ATM IV15.3%12.5%21.2%13.9%20.7%
Expected Move4.1%3.5%5.2%3.5%4.9%
HV 20d9.4%7.8%11.0%10.9%11.0%
HV 60d15.7%14.6%16.1%16.0%14.8%
IV Rank14.6%0.0%47.3%4.9%44.7%
IV Percentile22.1%0.0%77.0%4.8%74.6%
Term Structure0.6%-1.4%3.1%0.4%-0.5%
VWIV14.4%11.5%17.5%11.5%16.3%
Skew 25d2.5%1.6%3.8%2.4%3.5%
Skew 10d4.7%2.9%6.9%4.5%6.9%
Call IV 25d14.0%11.4%19.6%12.1%18.7%
Put IV 25d16.4%13.4%23.4%14.6%22.3%
Bid-Ask Spread %45.968.8977.8667.8873.43
Gamma HHI0.240.180.360.200.22
Net GEX-13.7M-28.4M-1.7M-15.1M-21.8M
Net DEX57.2M-107.3M205.1M74.3M205.1M
Net VEX-771.0K-833.4K-713.3K-744.7K-747.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.950.157.850.170.95
Total Volume4,940.451,11221,3203,4892,338
Total OI56,952.7548,21066,81948,40466,819

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-09-01$157.39$160.0013.9%3.5%10.9%4.9%11.5%2.4%0.4%-15.1M74.3M-744.7K0.1767.88N/AN/A2,98250725,24023,164
2023-09-05$157.27$160.0014.0%4.2%10.9%5.7%15.7%2.4%0.0%-11.9M82.9M-713.3K7.8539.64N/AN/A6184,85025,16523,045
2023-09-06$156.21$160.0014.1%4.2%11.0%6.0%14.8%2.5%0.5%-16.7M113.4M-774.8K2.3937.27N/AN/A1,1332,70325,38627,510
2023-09-07$156.89$160.0014.5%4.0%10.3%8.1%13.5%2.8%-0.5%-14.6M100.8M-794.3K5.8020.36N/AN/A4522,62326,16229,663
2023-09-08$156.53$160.0013.7%4.0%8.9%4.0%14.3%2.3%0.2%-15.1M95.7M-771.5K4.3414.75N/AN/A7263,15326,43930,234
2023-09-11$157.19$160.0013.7%4.0%8.1%3.8%13.3%2.1%0.3%-17.1M74.7M-751.2K1.3329.08N/AN/A65787225,60731,315
2023-09-12$158.85$160.0012.8%3.8%9.1%0.0%13.5%2.4%0.1%-13.0M28.6M-747.8K0.5119.17N/AN/A1,45674625,98331,876
2023-09-13$160.30$160.0012.5%3.7%8.9%0.0%13.0%2.1%0.4%-9.3M-22.8M-735.2K0.5529.80N/AN/A2,6151,44826,35932,765
2023-09-14$160.32$160.0012.6%3.7%8.5%0.5%12.8%1.9%0.5%-10.6M-21.8M-734.3K0.368.89N/AN/A5,2471,88026,94233,051
2023-09-15$160.81$160.0013.1%3.8%8.0%3.3%13.3%1.6%0.2%-1.7M-107.3M-769.3K0.9076.42N/AN/A1,2671,14530,93734,496
2023-09-18$159.86$160.0013.2%3.8%8.3%3.5%13.0%1.8%3.1%-4.9M-22.4M-745.2K0.5147.35N/AN/A73637623,42728,133
2023-09-19$159.89$160.0013.4%3.8%8.3%4.8%12.8%1.8%3.1%-5.1M-20.3M-755.9K0.1576.43N/AN/A98514623,82128,344
2023-09-20$160.19$160.0013.3%3.8%7.8%4.3%13.4%2.0%2.1%-3.6M-31.1M-766.5K0.9577.86N/AN/A1,8371,74624,17728,369
2023-09-21$157.81$160.0015.2%4.2%9.6%14.8%16.4%2.4%3.0%-9.6M35.5M-807.4K4.6234.15N/AN/A2,53711,71024,92429,294
2023-09-22$156.77$160.0015.6%4.2%9.8%16.8%15.0%1.8%2.6%-17.1M72.7M-833.4K2.2632.45N/AN/A6631,49926,64930,558
2023-09-25$156.95$160.0018.9%4.4%9.5%34.7%15.4%3.5%-1.4%-20.3M71.7M-823.2K1.2868.63N/AN/A4,6195,89025,52730,963
2023-09-26$156.09$160.0020.2%4.8%9.5%42.1%15.8%3.2%-0.7%-26.9M112.8M-821.8K0.4370.92N/AN/A1,79077826,64934,190
2023-09-27$154.38$160.0021.2%5.2%10.2%47.3%17.5%3.8%-0.2%-28.4M168.4M-801.2K0.7847.47N/AN/A12,0089,31226,72434,415
2023-09-28$154.61$160.0020.4%4.9%10.2%43.2%16.6%3.2%-0.6%-11.6M132.3M-782.1K2.9547.28N/AN/A6992,06033,77330,960
2023-09-29$152.40$160.0020.7%4.9%11.0%44.7%16.3%3.5%-0.5%-21.8M205.1M-747.3K0.9573.43N/AN/A1,2021,13634,07132,748