WMT Options History — May 2007 In May 2007, WMT traded between $15.44 and $16.20. ATM implied volatility averaged 18.0%. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 4.9% (HV 20d: 13.1%). Max pain ranged from $15.83 to $15.83. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 0.66.
Notable Days 2007-05-15 : Highest Volume — 472,014 contracts2007-05-31 : Largest IV drop — 12.1% change2007-05-03 : Largest Expected Move — 6.0%Monthly Statistics Metric Avg Min Max Open Close Price $15.84 $15.44 $16.20 $16.11 $15.87 Max Pain $15.83 $15.83 $15.83 $15.83 $15.83 ATM IV 18.0% 14.0% 21.5% 20.3% 14.0% Expected Move 5.1% 4.0% 6.0% 5.8% 4.0% HV 20d 13.1% 8.9% 17.1% 17.1% 9.8% HV 60d 16.3% 14.1% 17.7% 17.7% 14.1% Term Structure -0.2% -2.0% 1.4% -0.7% 1.4% VWIV 17.9% 14.1% 20.8% 20.4% 14.1% Skew 25d 1.5% -0.7% 3.3% 2.1% 0.9% Skew 10d 3.4% -5.4% 8.4% 7.2% 2.1% Call IV 25d 17.5% 15.8% 19.8% 18.7% 15.8% Put IV 25d 19.1% 16.2% 21.8% 20.7% 16.7% Bid-Ask Spread % 5.97 3.71 15.49 4.49 4.00 Gamma HHI 0.17 0.14 0.21 0.18 0.18 Net GEX 47.5M 26.5M 64.4M 56.0M 62.5M Net DEX -1.88B -2.40B -1.44B -2.21B -2.04B Net VEX -19.5M -20.1M -18.8M -19.7M -19.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.66 0.11 1.40 0.27 0.15 Total Volume 134,677.909 27,780 472,014 92,160 295,335 Total OI 5,530,374.818 5,347,290 5,735,592 5,403,561 5,529,687
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 2007-05-01 $16.11 $15.83 20.3% 5.8% 17.1% 0.0% 20.4% 2.1% -0.7% 56.0M -2.21B -19.7M 0.27 4.49 72,381 19,779 3,388,395 2,015,166 2007-05-02 $16.09 $15.83 20.8% 6.0% 16.3% 0.0% 20.8% 2.2% -1.0% 58.7M -2.23B -19.8M 0.43 11.42 90,759 39,297 3,418,461 1,993,332 2007-05-03 $16.12 $15.83 20.9% 6.0% 16.3% 0.0% 20.6% 1.7% -1.1% 60.4M -2.26B -20.0M 0.18 5.62 36,801 6,747 3,462,195 2,019,690 2007-05-04 $16.09 $15.83 20.6% 5.7% 16.2% 0.0% 19.4% 3.3% -1.7% 59.9M -2.22B -19.9M 1.05 15.49 27,477 28,881 3,468,549 2,021,400 2007-05-07 $16.20 $15.83 21.4% 5.8% 16.4% 0.0% 19.0% 3.3% -2.0% 64.4M -2.40B -19.8M 0.50 7.87 74,847 37,467 3,481,332 2,031,594 2007-05-08 $16.03 $15.83 21.5% 5.8% 16.3% 0.0% 19.9% 2.6% -1.7% 59.5M -2.19B -19.6M 0.93 4.08 14,394 13,386 3,492,030 2,046,429 2007-05-09 $15.98 $15.83 19.9% 5.6% 15.5% 0.0% 19.3% 2.3% -0.6% 58.1M -2.07B -19.9M 1.40 4.87 43,527 60,966 3,486,426 2,050,203 2007-05-10 $15.92 $15.83 19.4% 5.6% 15.6% 0.0% 19.2% 1.9% -1.3% 49.3M -2.03B -20.1M 0.49 5.40 58,095 28,521 3,502,779 2,087,439 2007-05-11 $15.93 $15.83 18.8% 5.4% 15.6% 0.0% 18.9% 2.2% -0.4% 52.1M -1.97B -19.7M 0.77 4.89 87,063 67,194 3,532,092 2,097,666 2007-05-14 $15.95 $15.83 18.9% 5.4% 14.7% 0.0% 18.8% 2.5% -0.2% 52.3M -1.99B -19.7M 0.80 4.31 84,138 67,398 3,550,650 2,142,042 2007-05-15 $15.87 $15.83 17.0% 4.9% 14.8% 0.0% 16.7% 2.4% 1.1% 46.2M -1.81B -19.8M 0.11 5.99 424,335 47,679 3,563,568 2,172,024 2007-05-16 $15.73 $15.83 17.5% 5.0% 15.1% 0.0% 17.7% 2.1% 0.2% 35.5M -1.57B -19.4M 1.15 5.56 79,587 91,419 3,539,391 2,187,789 2007-05-17 $15.70 $15.83 17.3% 5.0% 14.7% 0.0% 17.6% 1.2% 0.6% 37.9M -1.62B -19.7M 0.53 7.23 49,002 25,929 3,528,861 2,188,512 2007-05-18 $15.76 $15.83 16.7% 4.8% 9.7% 0.0% 16.9% 1.6% 0.9% 42.9M -1.63B -19.1M 0.71 5.54 46,215 32,712 3,510,399 2,156,817 2007-05-21 $15.54 $15.83 16.3% 4.7% 9.2% 0.0% 16.6% 0.6% 0.3% 32.9M -1.47B -19.1M 0.90 5.21 83,253 74,883 3,327,984 2,019,306 2007-05-22 $15.51 $15.83 16.3% 4.7% 9.1% 0.0% 16.7% -0.0% 0.3% 29.7M -1.44B -18.8M 1.24 4.73 49,908 62,031 3,345,177 2,057,748 2007-05-23 $15.44 $15.83 16.4% 4.7% 9.0% 0.0% 16.9% 0.3% 0.2% 26.5M -1.45B -18.9M 1.33 5.18 78,441 104,334 3,367,260 2,043,324 2007-05-24 $15.55 $15.83 16.2% 4.7% 9.6% 0.0% 16.8% 0.9% 0.0% 36.1M -1.58B -19.5M 0.87 4.55 34,200 29,727 3,400,635 2,026,464 2007-05-25 $15.64 $15.83 15.0% 4.3% 9.7% 0.0% 15.0% 0.2% 0.8% 41.2M -1.70B -19.0M 0.21 5.46 80,229 17,082 3,416,154 2,030,901 2007-05-29 $15.65 $15.83 15.4% 4.4% 9.4% 0.0% 15.6% 0.6% 0.4% 39.9M -1.71B -18.9M 0.16 5.69 175,965 27,366 3,435,534 2,021,247 2007-05-30 $15.71 $15.83 15.9% 4.6% 8.9% 0.0% 16.0% -0.7% -0.3% 43.0M -1.78B -19.2M 0.35 3.71 69,861 24,303 3,479,943 2,031,651 2007-05-31 $15.87 $15.83 14.0% 4.0% 9.8% 0.0% 14.1% 0.9% 1.4% 62.5M -2.04B -19.3M 0.15 4.00 256,020 39,315 3,508,842 2,020,845
« Apr 2007 | All History | Jun 2007 » Home WMT History May 2007