WMT Options History — April 2007 In April 2007, WMT traded between $15.75 and $16.59. ATM implied volatility averaged 18.0%. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 2.2% (HV 20d: 15.8%). Max pain ranged from $15.83 to $15.83. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 0.85.
Notable Days 2007-04-11 : Highest Volume — 1,042,992 contracts2007-04-12 : Largest IV spike — 17.6% change2007-04-17 : Largest Expected Move — 5.8%Monthly Statistics Metric Avg Min Max Open Close Price $16.06 $15.75 $16.59 $15.80 $15.97 Max Pain $15.83 $15.83 $15.83 $15.83 $15.83 ATM IV 18.0% 14.5% 20.3% 15.2% 19.6% Expected Move 5.3% 4.3% 5.8% 4.4% 5.6% HV 20d 15.8% 13.5% 18.1% 15.7% 17.1% HV 60d 16.9% 16.2% 17.7% 16.2% 17.6% Term Structure 0.0% -1.7% 3.2% 2.6% -0.8% VWIV 18.2% 14.4% 20.3% 14.4% 19.8% Skew 25d 2.4% -2.1% 7.6% 7.6% 2.1% Skew 10d 4.5% -3.9% 12.1% 12.1% 6.3% Call IV 25d 16.9% 10.5% 18.9% 10.5% 18.9% Put IV 25d 19.3% 13.9% 21.5% 18.1% 20.9% Bid-Ask Spread % 5.84 3.65 11.07 5.93 7.51 Gamma HHI 0.21 0.17 0.37 0.22 0.18 Net GEX 65.2M 53.1M 99.8M 62.3M 55.6M Net DEX -2.20B -2.90B -1.54B -1.73B -2.08B Net VEX -19.0M -20.9M -17.9M -18.1M -19.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.85 0.11 3.23 0.87 1.55 Total Volume 159,457.95 25,674 1,042,992 54,210 105,930 Total OI 5,185,428.9 4,859,865 5,748,963 4,859,865 5,320,893
Daily Data (20 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 2007-04-02 $15.80 $15.83 15.2% 4.4% 15.7% 0.0% 14.4% 7.6% 2.6% 62.3M -1.73B -18.1M 0.87 5.93 28,920 25,290 3,078,303 1,781,562 2007-04-03 $16.03 $15.83 15.5% 4.4% 16.0% 0.0% 15.5% -1.7% 3.1% 69.7M -1.99B -18.3M 0.67 6.29 125,403 83,658 3,080,352 1,780,452 2007-04-04 $16.02 $15.83 15.7% 4.5% 16.0% 0.0% 15.7% -2.1% 2.6% 69.3M -1.96B -18.2M 2.22 5.81 16,620 36,891 3,146,178 1,831,698 2007-04-05 $16.09 $15.83 15.2% 4.3% 16.1% 0.0% 15.2% -1.1% 3.2% 63.0M -2.02B -18.0M 0.75 5.55 14,694 10,980 3,092,412 1,857,756 2007-04-09 $16.16 $15.83 17.5% 5.6% 15.7% 0.0% 17.5% 3.6% -0.8% 64.5M -2.08B -18.0M 0.48 4.00 71,925 34,659 3,096,360 1,863,003 2007-04-10 $15.98 $15.83 16.5% 5.4% 16.2% 0.0% 18.4% 3.1% 0.2% 62.7M -1.93B -18.0M 2.02 4.08 19,134 38,655 3,134,013 1,873,977 2007-04-11 $15.76 $15.83 14.5% 5.2% 14.7% 0.0% 18.3% 2.9% 0.2% 57.7M -1.54B -17.9M 0.11 5.92 943,752 99,240 3,127,422 1,889,766 2007-04-12 $15.75 $15.83 17.1% 4.9% 14.1% 0.0% 16.8% 3.3% 0.9% 63.7M -2.40B -20.9M 0.26 5.13 79,413 20,328 3,812,481 1,936,482 2007-04-13 $15.80 $15.83 16.7% 4.8% 14.0% 0.0% 16.4% 3.1% 0.9% 83.1M -2.31B -20.5M 0.33 5.92 46,689 15,585 3,696,141 1,908,099 2007-04-16 $16.02 $15.83 19.5% 5.6% 14.7% 0.0% 19.2% 2.9% -1.2% 77.3M -2.28B -19.0M 0.15 4.61 241,734 36,744 3,388,146 1,894,593 2007-04-17 $16.06 $15.83 20.3% 5.8% 14.5% 0.0% 20.2% 2.8% -1.4% 61.7M -2.24B -19.1M 0.32 4.22 82,521 26,202 3,340,821 1,909,521 2007-04-18 $15.99 $15.83 19.9% 5.7% 13.7% 0.0% 19.8% 3.0% -1.0% 63.9M -2.21B -19.2M 3.23 5.26 21,948 70,803 3,372,111 1,914,051 2007-04-19 $16.11 $15.83 20.3% 5.8% 13.5% 0.0% 20.1% 3.6% -1.4% 53.1M -2.27B -19.1M 1.01 4.98 35,511 36,009 3,334,227 1,940,796 2007-04-20 $16.59 $15.83 18.8% 5.4% 16.8% 0.0% 19.6% 4.2% -1.0% 99.8M -2.90B -18.5M 0.25 5.51 233,022 58,872 3,334,029 1,947,360 2007-04-23 $16.31 $15.83 18.9% 5.4% 18.0% 0.0% 19.7% 2.0% -1.7% 60.4M -2.48B -19.2M 0.50 3.65 70,773 35,202 3,270,066 1,826,706 2007-04-24 $16.23 $15.83 20.3% 5.8% 18.1% 0.0% 20.3% 2.1% -1.2% 58.4M -2.36B -19.1M 1.37 6.98 78,306 107,397 3,269,226 1,838,010 2007-04-25 $16.27 $15.83 18.9% 5.4% 17.9% 0.0% 19.3% 1.7% -1.1% 59.2M -2.42B -19.6M 0.35 3.71 49,467 17,076 3,322,953 1,904,676 2007-04-26 $16.23 $15.83 20.2% 5.8% 16.4% 0.0% 18.7% 2.0% -1.4% 60.0M -2.43B -19.2M 0.40 11.07 63,645 25,557 3,345,726 1,917,783 2007-04-27 $16.11 $15.83 18.9% 5.4% 16.8% 0.0% 18.9% 2.0% 0.1% 59.6M -2.33B -19.8M 0.20 10.75 66,948 13,656 3,391,239 1,939,188 2007-04-30 $15.97 $15.83 19.6% 5.6% 17.1% 0.0% 19.8% 2.1% -0.8% 55.6M -2.08B -19.9M 1.55 7.51 41,532 64,398 3,377,346 1,943,547
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