WM Options History — December 2023

In December 2023, WM traded between $172.39 and $179.16. ATM implied volatility averaged 12.7%, placing in the 11.8% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded below realized volatility by 0.3% (HV 20d: 13.0%). Max pain ranged from $160.00 to $165.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.54.

Notable Days

  • 2023-12-13: Highest Volume — 2,535 contracts
  • 2023-12-14: Largest IV spike — 16.5% change
  • 2023-12-21: Highest IV Rank — 21.1%
  • 2023-12-26: Largest Expected Move — 4.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$175.85$172.39$179.16$173.69$179.16
Max Pain$161.00$160.00$165.00$165.00$165.00
ATM IV12.7%11.2%13.9%11.2%13.3%
Expected Move3.7%3.4%4.0%3.4%3.6%
HV 20d13.0%8.9%16.2%9.8%15.4%
HV 60d17.0%16.4%17.7%16.5%16.9%
IV Rank11.8%0.0%21.1%0.0%16.2%
IV Percentile10.2%0.0%21.8%0.0%16.3%
Term Structure0.6%-0.4%2.0%0.3%2.0%
VWIV13.0%11.9%14.8%11.9%12.6%
Skew 25d2.3%1.8%2.7%1.9%1.8%
Skew 10d5.3%4.3%7.0%5.0%4.4%
Call IV 25d11.9%10.6%13.1%10.6%12.0%
Put IV 25d14.2%12.5%15.6%12.5%13.9%
Bid-Ask Spread %41.1812.1862.6158.7139.93
Gamma HHI0.290.220.350.330.23
Net GEX12.9M11.4M16.1M12.4M16.1M
Net DEX-175.7M-228.2M-135.1M-181.7M-212.2M
Net VEX-673.2K-692.1K-623.3K-641.2K-671.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.540.181.011.010.58
Total Volume1,269.96012,5352,3581,026
Total OI38,722.9537,19440,80039,28240,800

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-12-01$173.69$165.0011.2%3.4%9.8%0.0%11.9%1.9%0.3%12.4M-181.7M-641.2K1.0158.71N/AN/A1,1761,18223,27616,006
2023-12-04$174.18$160.0012.0%3.7%8.9%6.2%13.2%2.1%0.1%12.9M-163.0M-675.4K0.7750.22N/AN/A82263422,37215,212
2023-12-05$173.24$160.0012.0%3.6%9.2%5.9%12.8%2.4%0.4%12.9M-151.6M-679.2K0.4960.55N/AN/A65532222,63015,431
2023-12-06$173.89$160.0012.0%3.6%9.2%6.4%14.8%2.4%0.6%12.9M-156.2M-692.1K0.7062.61N/AN/A50835722,49415,565
2023-12-07$173.03$160.0012.1%3.6%9.5%6.8%12.6%2.3%0.5%12.0M-144.6M-686.3K0.9856.46N/AN/A39138422,61215,742
2023-12-08$172.39$160.0012.8%3.7%9.6%12.4%12.2%2.7%0.5%11.8M-135.1M-678.5K0.8212.18N/AN/A38431522,74116,012
2023-12-11$173.13$160.0011.9%3.5%9.4%5.7%12.8%2.5%0.2%12.9M-146.4M-675.1K0.7253.63N/AN/A34925222,50315,544
2023-12-12$176.48$160.0012.4%3.7%11.5%9.6%12.4%2.1%0.3%14.0M-198.9M-633.1K0.2828.08N/AN/A1,43239522,63615,699
2023-12-13$179.05$160.0011.7%3.5%12.4%3.8%12.7%2.1%0.6%12.3M-228.2M-623.3K0.2353.46N/AN/A2,06047523,06815,923
2023-12-14$176.32$160.0013.6%3.9%13.6%19.0%13.0%2.3%-0.0%13.5M-190.1M-664.6K0.4823.92N/AN/A90643323,46616,185
2023-12-15$174.20$160.0013.4%3.8%14.4%17.0%13.5%2.2%0.1%12.9M-155.0M-687.8K0.3059.91N/AN/A1,27938123,73316,245
2023-12-18$177.86$160.0013.1%3.8%15.9%14.9%13.0%2.5%-0.4%11.4M-185.1M-673.7K0.4646.73N/AN/A1,13552622,31514,879
2023-12-19$176.56$160.0013.0%3.7%16.2%14.0%12.9%2.0%0.8%11.9M-172.0M-682.1K0.4930.99N/AN/A57928322,70215,143
2023-12-20$176.36$160.0013.7%3.9%16.2%19.4%13.4%2.4%0.9%11.7M-170.2M-680.1K0.1835.68N/AN/A56410322,90215,184
2023-12-21$176.79$160.0013.9%3.9%16.2%21.1%13.5%2.5%1.1%12.2M-174.4M-688.4K0.9123.60N/AN/A41237423,03215,196
2023-12-22$177.14$160.0013.8%3.9%16.2%20.3%13.0%2.2%0.5%12.0M-179.0M-682.9K0.3045.06N/AN/A1,20236623,14315,416
2023-12-26$177.64$160.0013.7%4.0%16.2%19.3%13.5%2.5%1.3%12.7M-185.9M-678.5K0.2942.87N/AN/A1,39840023,28815,349
2023-12-27$177.56$165.0011.6%3.8%15.5%3.0%13.3%2.6%1.4%14.2M-185.0M-686.2K0.4817.06N/AN/A52525124,20315,622
2023-12-28$178.43$165.0013.1%3.8%15.5%14.5%12.3%2.2%0.8%14.5M-198.8M-683.8K0.3621.89N/AN/A85430824,39315,797
2023-12-29$179.16$165.0013.3%3.6%15.4%16.2%12.6%1.8%2.0%16.1M-212.2M-671.1K0.5839.93N/AN/A64937724,90815,892