WMT Options History — March 2007 In March 2007, WMT traded between $15.24 and $16.01. ATM implied volatility averaged 17.0%. The 30-day expected move averaged 4.8%. IV traded below realized volatility by 2.8% (HV 20d: 19.8%). Max pain ranged from $15.83 to $16.67. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 1.03.
Notable Days 2007-03-13 : Highest Volume — 439,101 contracts2007-03-13 : Largest IV spike — 56.4% change2007-03-14 : Largest Expected Move — 6.0%Monthly Statistics Metric Avg Min Max Open Close Price $15.74 $15.24 $16.01 $15.96 $15.65 Max Pain $16.21 $15.83 $16.67 $15.83 $15.83 ATM IV 17.0% 13.5% 25.1% 18.4% 15.1% Expected Move 4.8% 3.9% 6.0% 5.3% 4.3% HV 20d 19.8% 14.3% 22.6% 20.6% 15.5% HV 60d 16.4% 16.0% 16.7% 16.2% 16.1% Term Structure 1.7% -0.5% 3.8% 0.3% 2.9% VWIV 16.6% 13.2% 20.1% 18.5% 15.8% Skew 25d 2.7% -0.1% 5.8% 3.7% 5.8% Skew 10d 6.2% -3.6% 17.9% 6.9% 9.0% Call IV 25d 15.8% 11.6% 27.9% 16.5% 11.6% Put IV 25d 18.5% 14.8% 28.0% 20.2% 17.4% Bid-Ask Spread % 5.79 2.74 15.59 10.18 5.70 Gamma HHI 0.18 0.13 0.22 0.18 0.21 Net GEX 39.1M 9.0M 61.5M 37.8M 52.4M Net DEX -1.48B -1.93B -684.5M -1.69B -1.45B Net VEX -18.0M -18.6M -17.3M -18.3M -18.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.03 0.23 3.23 1.44 0.85 Total Volume 124,417.773 35,049 439,101 148,269 53,100 Total OI 4,818,099.682 4,388,523 4,941,762 4,776,378 4,887,219
Daily Data (22 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 2007-03-01 $15.96 $15.83 18.4% 5.3% 20.6% 0.0% 18.5% 3.7% 0.3% 37.8M -1.69B -18.3M 1.44 10.18 60,669 87,600 2,993,283 1,783,095 2007-03-02 $15.94 $15.83 19.0% 5.5% 20.6% 0.0% 17.3% 0.1% -0.5% 31.8M -1.83B -18.6M 2.74 4.24 17,082 46,842 2,997,759 1,826,946 2007-03-05 $15.82 $16.67 20.5% 5.5% 20.6% 0.0% 19.1% 2.3% 0.7% 30.7M -1.61B -18.6M 0.78 7.96 53,310 41,481 2,997,870 1,850,292 2007-03-06 $16.01 $16.67 18.2% 5.3% 20.8% 0.0% 16.9% 2.8% 0.5% 32.9M -1.83B -18.5M 0.50 5.38 75,549 37,461 3,000,057 1,868,145 2007-03-07 $15.98 $16.67 17.6% 5.1% 20.8% 0.0% 17.3% 2.1% 0.6% 35.5M -1.73B -17.8M 0.81 4.70 90,531 73,230 3,012,105 1,851,762 2007-03-08 $15.96 $16.67 18.0% 5.0% 20.8% 0.0% 17.4% 2.2% 1.2% 31.5M -1.60B -17.9M 0.23 5.99 120,360 27,540 3,021,078 1,875,261 2007-03-09 $15.81 $16.67 15.1% 4.9% 21.0% 0.0% 17.2% 2.7% 1.2% 30.3M -1.44B -17.9M 0.62 5.90 57,858 35,835 3,050,907 1,878,759 2007-03-12 $15.75 $16.67 16.0% 4.9% 20.9% 0.0% 17.7% 3.1% 1.2% 25.2M -1.27B -17.3M 0.66 5.25 35,025 22,998 3,017,946 1,902,381 2007-03-13 $15.39 $16.67 25.1% 5.5% 22.3% 0.0% 18.4% 2.6% 0.6% 20.3M -819.0M -17.3M 0.25 5.28 350,169 88,932 3,019,869 1,902,762 2007-03-14 $15.24 $16.67 21.3% 6.0% 22.4% 0.0% 20.1% 3.2% 0.5% 9.0M -684.5M -17.4M 1.03 4.67 87,873 90,858 2,997,888 1,943,874 2007-03-15 $15.33 $16.67 19.9% 5.7% 22.6% 0.0% 19.7% 2.8% 0.7% 24.4M -901.6M -17.6M 3.23 4.96 24,093 77,817 3,030,261 1,899,462 2007-03-16 $15.40 $16.67 20.2% 5.8% 22.2% 0.0% 19.1% 3.7% 0.7% 26.7M -1.01B -17.6M 1.08 4.84 49,806 53,634 3,030,576 1,883,457 2007-03-19 $15.53 $15.83 16.3% 4.7% 22.5% 0.0% 16.9% 3.0% 2.1% 30.8M -1.30B -17.5M 0.30 3.71 147,009 44,100 2,738,946 1,649,577 2007-03-20 $15.77 $15.83 14.2% 4.1% 18.7% 0.0% 14.7% 3.9% 2.0% 43.3M -1.55B -17.5M 0.68 3.91 137,127 93,030 2,827,740 1,663,545 2007-03-21 $15.92 $15.83 13.8% 4.0% 19.2% 0.0% 13.9% 2.5% 3.0% 55.7M -1.78B -17.7M 0.51 15.59 59,115 30,300 2,925,327 1,698,978 2007-03-22 $16.00 $15.83 13.5% 3.9% 19.3% 0.0% 13.2% 1.5% 3.8% 58.8M -1.93B -17.8M 0.80 6.25 135,459 108,999 2,949,792 1,715,055 2007-03-23 $15.97 $15.83 13.6% 3.9% 19.3% 0.0% 14.4% 2.0% 3.6% 61.2M -1.86B -18.6M 1.63 5.64 13,335 21,714 3,054,039 1,796,229 2007-03-26 $15.95 $15.83 14.6% 4.2% 19.0% 0.0% 14.2% 3.3% 2.6% 61.5M -1.87B -18.5M 0.51 2.74 25,962 13,251 3,054,156 1,796,904 2007-03-27 $15.83 $15.83 14.2% 4.1% 14.3% 0.0% 13.7% 1.1% 2.9% 59.0M -1.66B -18.4M 1.65 3.26 15,516 25,659 3,053,055 1,801,875 2007-03-28 $15.55 $15.83 14.6% 4.2% 15.5% 0.0% 15.5% -0.1% 3.2% 49.9M -1.31B -18.4M 0.70 5.16 38,133 26,616 3,058,461 1,808,994 2007-03-29 $15.57 $15.83 14.1% 4.0% 15.3% 0.0% 14.9% 4.3% 3.5% 52.1M -1.36B -18.5M 1.58 6.03 16,365 25,848 3,066,438 1,816,068 2007-03-30 $15.65 $15.83 15.1% 4.3% 15.5% 0.0% 15.8% 5.8% 2.9% 52.4M -1.45B -18.5M 0.85 5.70 28,716 24,384 3,065,658 1,821,561
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