WM Options History — November 2023

In November 2023, WM traded between $164.02 and $172.33. ATM implied volatility averaged 12.5%, placing in the 3.1% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded below realized volatility by 6.8% (HV 20d: 19.3%). Max pain ranged from $157.50 to $165.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.74.

Notable Days

  • 2023-11-30: Highest Volume — 2,516 contracts
  • 2023-11-03: Largest IV drop — 10.3% change
  • 2023-11-01: Highest IV Rank — 18.4%
  • 2023-11-02: Largest Expected Move — 4.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$170.28$164.02$172.33$164.02$170.75
Max Pain$163.45$157.50$165.00$157.50$165.00
ATM IV12.5%11.5%14.6%14.6%11.9%
Expected Move3.5%2.9%4.1%4.1%3.5%
HV 20d19.3%8.9%24.1%23.4%9.9%
HV 60d16.3%16.1%16.8%16.5%16.2%
IV Rank3.1%0.0%18.4%18.4%3.2%
IV Percentile2.4%0.0%14.3%14.3%2.0%
Term Structure0.3%-0.1%0.9%0.2%0.1%
VWIV12.5%10.9%15.0%15.0%12.0%
Skew 25d2.3%1.8%2.9%2.9%2.4%
Skew 10d5.1%3.5%7.6%5.5%4.7%
Call IV 25d11.4%10.2%13.6%13.6%10.5%
Put IV 25d13.7%12.3%16.5%16.5%12.9%
Bid-Ask Spread %44.3311.1281.8281.8250.03
Gamma HHI0.230.200.250.230.25
Net GEX12.2M8.3M14.6M10.9M10.8M
Net DEX-154.5M-201.2M-94.7M-101.0M-118.2M
Net VEX-678.2K-733.1K-621.1K-707.8K-633.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.740.141.170.880.17
Total Volume1,382.815702,5161,4562,516
Total OI39,394.14337,36542,23937,36538,686

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-11-01$164.02$157.5014.6%4.1%23.4%18.4%15.0%2.9%0.2%10.9M-101.0M-707.8K0.8881.82N/AN/A77668023,35314,012
2023-11-02$166.89$160.0014.0%4.1%23.9%13.2%14.1%2.6%0.5%13.5M-137.1M-724.1K0.6558.96N/AN/A1,02166223,78314,362
2023-11-03$169.06$160.0012.6%3.7%24.1%0.6%13.2%2.4%0.6%13.2M-167.0M-720.7K0.6136.17N/AN/A1,49792024,04014,710
2023-11-06$169.00$160.0012.8%3.8%24.1%2.3%13.6%2.7%0.4%13.7M-164.5M-695.5K0.8618.43N/AN/A41535824,07614,237
2023-11-07$169.61$160.0012.5%3.6%24.0%0.0%12.7%2.5%0.1%14.2M-171.0M-713.0K0.5135.88N/AN/A85443424,29814,425
2023-11-08$170.19$160.0012.4%3.6%23.9%0.0%12.3%2.6%0.2%14.6M-179.1M-714.7K1.1634.53N/AN/A69781024,50614,673
2023-11-09$170.23$165.0012.8%3.7%23.4%2.6%12.9%2.6%0.3%14.1M-174.4M-733.1K0.4112.13N/AN/A58223724,87015,314
2023-11-10$171.46$165.0012.8%3.6%22.8%2.9%13.1%2.6%-0.1%13.5M-196.6M-711.5K0.9244.98N/AN/A84978425,09915,412
2023-11-13$171.61$165.0013.1%3.8%22.7%5.7%13.2%2.1%0.5%13.2M-189.1M-700.4K1.1741.14N/AN/A81094524,65915,232
2023-11-14$172.33$165.0012.8%3.7%22.7%3.0%12.6%2.3%0.5%12.6M-201.2M-673.8K0.8056.97N/AN/A1,02581924,87616,017
2023-11-15$171.35$165.0012.8%3.7%22.7%3.1%12.5%2.4%0.5%12.2M-176.9M-715.2K1.0150.36N/AN/A35936425,15216,513
2023-11-16$171.34$165.0012.2%3.5%22.0%0.0%12.2%2.1%0.9%13.1M-182.0M-677.6K0.6268.36N/AN/A46328525,27616,662
2023-11-17$170.68$165.0012.1%3.4%22.1%0.0%11.9%1.9%0.7%12.7M-174.2M-660.0K0.9029.70N/AN/A75067625,41416,825
2023-11-20$171.64$165.0011.8%3.1%22.0%0.0%11.7%2.0%-0.0%10.3M-148.9M-638.5K0.9757.58N/AN/A58456422,87814,731
2023-11-21$171.51$165.0011.7%3.1%21.5%0.0%11.4%2.1%-0.0%10.2M-147.9M-637.7K0.8576.75N/AN/A62953523,18214,985
2023-11-22$171.62$165.0011.7%3.0%10.7%0.0%11.1%2.2%-0.0%12.2M-144.7M-651.1K0.9512.18N/AN/A67764323,57715,313
2023-11-24$171.71$165.0011.5%2.9%10.3%0.0%10.9%2.0%0.1%12.9M-144.6M-638.2K0.5856.71N/AN/A36120923,81815,951
2023-11-27$171.62$165.0011.9%3.1%8.9%3.4%10.9%2.4%0.0%10.7M-136.3M-640.4K0.6145.29N/AN/A79748423,02215,333
2023-11-28$169.75$165.0011.8%3.3%9.8%2.6%11.5%2.0%0.2%8.3M-95.9M-633.8K0.7151.80N/AN/A69249323,17815,616
2023-11-29$169.56$165.0011.9%3.4%9.7%3.5%12.7%1.8%0.1%8.3M-94.7M-621.1K0.1411.12N/AN/A1,56721623,43715,774
2023-11-30$170.75$165.0011.9%3.5%9.9%3.2%12.0%2.4%0.1%10.8M-118.2M-633.6K0.1750.03N/AN/A2,14637022,84615,840