WMT Options History — January 2007

In January 2007, WMT traded between $15.67 and $16.20. ATM implied volatility averaged 16.4%. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 4.2% (HV 20d: 12.3%). Max pain ranged from $15.00 to $15.83. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.06.

Notable Days

  • 2007-01-03: Highest Volume — 283,164 contracts
  • 2007-01-11: Largest IV spike — 11.3% change
  • 2007-01-08: Largest Expected Move — 5.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.93$15.67$16.20$15.85$15.90
Max Pain$15.63$15.00$15.83$15.00$15.83
ATM IV16.4%15.3%17.6%17.5%15.5%
Expected Move4.8%4.4%5.1%5.0%4.4%
HV 20d12.3%12.1%12.6%12.2%12.2%
Term Structure1.2%0.5%1.9%0.5%1.2%
VWIV16.6%15.2%17.8%17.1%15.2%
Skew 25d1.4%-2.3%2.5%1.1%-2.3%
Skew 10d4.2%-4.3%8.4%2.0%-4.3%
Call IV 25d16.2%13.9%17.5%17.5%15.7%
Put IV 25d17.6%13.4%19.1%18.6%13.4%
Bid-Ask Spread %6.393.2411.2910.064.71
Gamma HHI0.240.190.290.230.27
Net GEX45.7M27.7M69.6M55.5M28.7M
Net DEX-2.08B-2.64B-1.62B-2.07B-1.75B
Net VEX-15.9M-16.9M-15.1M-16.9M-15.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.060.172.060.450.69
Total Volume100,329.918,876283,164283,164108,348
Total OI5,042,899.653,835,3535,868,8165,602,2604,094,526

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-01-03$15.85$15.0017.5%5.0%0.0%0.0%17.1%1.1%0.5%55.5M-2.07B-16.9M0.4510.06195,32187,8433,536,6102,065,650
2007-01-04$15.93$15.0016.5%4.7%0.0%0.0%16.8%1.5%1.3%61.6M-2.20B-16.7M0.4611.2972,81033,3033,589,5632,084,586
2007-01-05$15.80$15.0015.9%5.1%0.0%0.0%17.5%2.2%0.8%54.1M-2.07B-16.5M1.494.5647,48770,7733,618,7772,081,883
2007-01-08$15.67$15.0016.3%5.1%0.0%0.0%17.7%2.0%1.0%47.2M-1.91B-16.3M1.825.1931,12256,7603,634,5662,079,840
2007-01-09$15.80$15.0015.5%5.0%0.0%0.0%17.5%1.7%1.1%49.9M-2.05B-16.3M1.635.0555,98991,2843,628,5212,108,118
2007-01-10$15.76$15.8315.3%5.0%0.0%0.0%17.8%2.0%0.9%47.0M-2.00B-16.5M2.067.9442,53487,5313,635,5982,127,003
2007-01-11$15.87$15.8317.1%4.9%0.0%0.0%17.0%2.0%1.3%56.3M-2.23B-16.0M1.905.1630,18657,4353,680,3432,109,822
2007-01-12$15.99$15.8317.1%4.9%0.0%0.0%16.8%2.1%0.9%69.6M-2.40B-16.1M1.475.5227,98141,2653,690,7712,119,785
2007-01-16$16.10$15.8317.6%5.1%0.0%0.0%17.3%1.3%0.9%61.3M-2.56B-15.6M0.286.0439,87611,0373,689,6102,131,932
2007-01-17$16.07$15.8317.6%5.0%0.0%0.0%17.5%1.3%1.0%60.9M-2.52B-15.6M1.227.1739,77148,3453,692,4662,133,714
2007-01-18$16.13$15.8317.5%5.0%0.0%0.0%17.3%0.8%1.1%39.2M-2.64B-15.6M0.1710.6156,0409,4833,695,7992,173,017
2007-01-19$16.10$15.8316.7%4.8%0.0%0.0%16.3%1.5%1.7%57.8M-2.53B-15.6M0.964.7351,53749,2483,697,9112,161,143
2007-01-22$15.99$15.8316.6%4.8%0.0%0.0%16.6%1.3%1.0%33.3M-1.83B-15.8M0.9810.5857,10856,0192,440,2691,395,084
2007-01-23$15.94$15.8316.1%4.6%0.0%0.0%16.0%1.3%1.7%32.3M-1.78B-15.8M0.968.2236,17134,7372,472,1651,429,578
2007-01-24$16.20$15.8316.6%4.7%0.0%0.0%15.2%2.5%0.9%36.3M-2.06B-15.1M1.904.1032,12161,0802,489,1901,447,788
2007-01-25$16.05$15.8316.3%4.7%12.2%0.0%15.5%2.3%1.9%33.9M-1.92B-15.6M0.746.2510,8668,0102,502,7171,458,096
2007-01-26$15.89$15.8315.4%4.4%12.6%0.0%15.2%2.0%1.9%31.6M-1.74B-15.5M0.583.8563,86736,9722,479,8661,443,126
2007-01-29$15.88$15.8315.5%4.5%12.2%0.0%15.5%1.9%1.0%29.3M-1.73B-15.6M0.673.4640,56627,0932,517,6631,474,563
2007-01-30$15.76$15.8315.9%4.6%12.1%0.0%16.0%0.0%0.9%27.7M-1.62B-15.7M0.803.2454,80443,8752,545,3381,500,996
2007-01-31$15.90$15.8315.5%4.4%12.2%0.0%15.2%-2.3%1.2%28.7M-1.75B-15.8M0.694.7164,08944,2592,566,0531,528,473