WMT Options History — February 2007 In February 2007, WMT traded between $15.91 and $16.75. ATM implied volatility averaged 15.7%. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 1.9% (HV 20d: 13.8%). Max pain ranged from $15.83 to $15.83. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 0.65.
Notable Days 2007-02-20 : Highest Volume — 463,101 contracts2007-02-27 : Largest IV spike — 28.5% change2007-02-27 : Largest Expected Move — 5.5%Monthly Statistics Metric Avg Min Max Open Close Price $16.21 $15.91 $16.75 $15.93 $16.10 Max Pain $15.83 $15.83 $15.83 $15.83 $15.83 ATM IV 15.7% 13.5% 19.0% 15.1% 18.4% Expected Move 4.6% 3.9% 5.5% 4.3% 5.3% HV 20d 13.8% 11.1% 20.8% 11.9% 20.5% Term Structure -0.3% -1.3% 1.7% 1.7% 0.3% VWIV 15.9% 13.7% 19.0% 15.0% 18.3% Skew 25d 2.4% -2.6% 5.8% -2.6% 3.3% Skew 10d 5.1% -5.1% 10.0% -5.1% 8.9% Call IV 25d 14.5% 10.1% 17.5% 15.5% 16.6% Put IV 25d 16.9% 12.9% 19.9% 12.9% 19.9% Bid-Ask Spread % 6.12 3.10 11.91 3.20 5.01 Gamma HHI 0.25 0.18 0.30 0.25 0.18 Net GEX 38.5M 27.2M 48.0M 31.4M 43.8M Net DEX -2.10B -2.56B -1.77B -1.78B -1.92B Net VEX -16.0M -18.2M -14.6M -16.0M -18.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.65 0.21 1.02 0.77 1.02 Total Volume 107,510.053 37,833 463,101 37,833 95,835 Total OI 4,337,519.053 4,096,122 4,736,964 4,128,213 4,736,964
Daily Data (19 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Vol Put Vol Call OI Put OI 2007-02-01 $15.93 $15.83 15.1% 4.3% 11.9% 0.0% 15.0% -2.6% 1.7% 31.4M -1.78B -16.0M 0.77 3.20 21,399 16,434 2,591,604 1,536,609 2007-02-02 $16.03 $15.83 14.8% 5.0% 12.0% 0.0% 17.5% 2.8% -0.2% 33.5M -1.89B -15.9M 0.49 5.37 44,742 21,882 2,590,719 1,541,682 2007-02-05 $16.17 $15.83 15.5% 5.0% 12.0% 0.0% 16.1% 2.6% -0.5% 40.3M -2.06B -15.4M 0.44 5.25 61,440 26,919 2,611,824 1,546,611 2007-02-06 $16.19 $15.83 15.1% 5.0% 11.4% 0.0% 16.8% 2.3% -0.9% 40.6M -2.13B -15.1M 0.80 6.21 28,404 22,761 2,639,184 1,562,040 2007-02-07 $16.19 $15.83 13.9% 4.9% 11.2% 0.0% 15.8% 2.1% -0.5% 35.9M -2.07B -15.5M 0.76 6.78 38,853 29,379 2,650,929 1,571,400 2007-02-08 $16.10 $15.83 16.6% 4.7% 11.4% 0.0% 16.2% 2.1% -0.7% 38.4M -2.04B -15.5M 0.55 6.72 26,604 14,547 2,662,908 1,593,096 2007-02-09 $15.99 $15.83 16.2% 4.7% 11.5% 0.0% 16.0% 2.4% 0.3% 31.9M -1.86B -15.9M 0.96 5.77 23,835 22,887 2,675,178 1,598,712 2007-02-12 $15.91 $15.83 16.9% 4.8% 11.3% 0.0% 16.3% 1.9% -0.4% 27.2M -1.77B -15.9M 0.98 6.01 20,382 19,995 2,678,802 1,611,108 2007-02-13 $15.99 $15.83 16.5% 4.7% 11.1% 0.0% 15.5% 3.1% -0.5% 29.1M -1.85B -16.1M 0.30 8.80 82,557 24,756 2,685,867 1,624,842 2007-02-14 $15.96 $15.83 16.6% 4.7% 11.1% 0.0% 16.4% 1.4% -0.7% 30.3M -1.86B -16.1M 0.67 7.40 46,620 31,407 2,746,275 1,636,239 2007-02-15 $16.12 $15.83 16.4% 4.7% 11.7% 0.0% 15.7% 3.2% -0.1% 32.0M -2.07B -15.8M 0.75 5.16 60,024 45,063 2,730,426 1,643,967 2007-02-16 $16.16 $15.83 15.9% 4.6% 11.7% 0.0% 15.0% 2.3% -0.8% 41.6M -2.13B -15.5M 0.35 5.61 48,525 16,773 2,757,657 1,628,307 2007-02-20 $16.75 $15.83 14.4% 4.1% 17.0% 0.0% 14.7% 1.2% -0.8% 43.8M -2.56B -14.6M 0.71 11.91 270,954 192,147 2,581,089 1,515,033 2007-02-21 $16.66 $15.83 14.2% 4.1% 17.1% 0.0% 14.5% 0.7% -0.6% 45.4M -2.55B -15.9M 0.33 3.29 70,329 22,896 2,766,138 1,672,878 2007-02-22 $16.56 $15.83 13.5% 3.9% 16.4% 0.0% 13.7% 3.7% -0.1% 48.0M -2.42B -16.1M 0.88 3.10 34,617 30,399 2,772,513 1,652,097 2007-02-23 $16.52 $15.83 14.2% 4.1% 16.0% 0.0% 14.3% 4.4% 0.1% 46.5M -2.34B -16.3M 0.61 5.73 67,869 41,526 2,788,812 1,667,997 2007-02-26 $16.66 $15.83 14.8% 4.2% 15.6% 0.0% 15.2% 5.8% 0.5% 47.3M -2.51B -16.3M 0.21 3.41 162,060 33,609 2,813,931 1,698,243 2007-02-27 $16.07 $15.83 19.0% 5.5% 20.8% 0.0% 19.0% 2.2% -1.3% 45.3M -2.01B -17.7M 0.78 11.47 126,150 98,112 2,922,399 1,708,782 2007-02-28 $16.10 $15.83 18.4% 5.3% 20.5% 0.0% 18.3% 3.3% 0.3% 43.8M -1.92B -18.2M 1.02 5.01 47,451 48,384 2,987,346 1,749,618
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