WMT Options History — June 2007 In June 2007, WMT traded between $15.94 and $17.07. ATM implied volatility averaged 17.1%. The 30-day expected move averaged 4.7%. IV traded below realized volatility by 5.3% (HV 20d: 22.4%). Max pain ranged from $15.83 to $15.83. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.74.
Notable Days 2007-06-01 : Highest Volume — 652,344 contracts2007-06-04 : Largest IV spike — 16.4% change2007-06-07 : Largest Expected Move — 5.6%Monthly Statistics Metric Avg Min Max Open Close Price $16.38 $15.94 $17.07 $16.49 $16.04 Max Pain $15.83 $15.83 $15.83 $15.83 $15.83 ATM IV 17.1% 14.0% 22.0% 17.4% 16.5% Expected Move 4.7% 4.0% 5.6% 5.0% 4.7% HV 20d 22.4% 17.0% 23.8% 17.0% 18.9% HV 60d 17.5% 16.2% 18.0% 16.2% 17.2% Term Structure 1.4% -1.0% 2.6% -1.0% 1.9% VWIV 16.5% 14.2% 19.8% 17.1% 16.0% Skew 25d 1.4% -1.8% 2.5% -1.8% 2.5% Skew 10d 4.4% -3.5% 8.0% -3.5% 6.3% Call IV 25d 16.0% 13.7% 18.7% 18.5% 15.0% Put IV 25d 17.4% 15.5% 20.5% 16.7% 17.5% Bid-Ask Spread % 6.61 3.12 11.80 3.12 8.09 Gamma HHI 0.21 0.15 0.33 0.27 0.16 Net GEX 70.3M 41.8M 104.2M 97.4M 44.7M Net DEX -2.57B -3.81B -1.82B -3.10B -1.85B Net VEX -19.6M -20.4M -18.2M -18.2M -19.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.74 0.27 1.56 0.37 1.06 Total Volume 167,521.714 48,609 652,344 652,344 66,162 Total OI 5,646,039.429 5,093,871 6,067,257 5,619,465 5,420,193
Daily Data (21 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 2007-06-01 $16.49 $15.83 17.4% 5.0% 17.0% 0.0% 17.1% -1.8% -1.0% 97.4M -3.10B -18.2M 0.37 3.12 476,874 175,470 3,578,070 2,041,395 2007-06-04 $17.07 $15.83 20.3% 5.4% 20.7% 0.0% 18.5% 1.5% -0.6% 104.2M -3.81B -19.1M 0.39 6.72 432,765 170,844 3,733,098 2,106,864 2007-06-05 $16.84 $15.83 19.3% 5.2% 21.4% 0.0% 18.2% 1.0% 0.3% 95.9M -3.40B -19.5M 0.58 5.81 239,436 138,576 3,721,266 2,137,905 2007-06-06 $16.92 $15.83 20.6% 5.3% 20.9% 0.0% 18.0% 1.5% 0.5% 93.7M -3.48B -19.8M 0.42 5.85 79,017 33,252 3,754,257 2,183,502 2007-06-07 $16.59 $15.83 20.2% 5.6% 22.3% 0.0% 19.8% 1.7% 0.2% 89.8M -3.02B -20.2M 1.56 8.83 92,193 144,171 3,759,831 2,188,137 2007-06-08 $16.69 $15.83 18.1% 5.3% 22.3% 0.0% 18.7% 1.5% 0.9% 90.9M -3.12B -20.4M 0.50 8.48 44,064 22,245 3,777,930 2,256,672 2007-06-11 $16.60 $15.83 19.0% 5.2% 22.4% 0.0% 18.1% 1.3% 1.2% 97.3M -2.99B -20.3M 0.71 9.87 65,055 46,041 3,770,661 2,234,784 2007-06-12 $16.30 $15.83 22.0% 5.2% 23.6% 0.0% 17.7% 1.6% 1.1% 80.6M -2.60B -20.2M 1.27 7.24 61,008 77,328 3,786,894 2,248,566 2007-06-13 $16.50 $15.83 18.5% 4.8% 23.8% 0.0% 16.9% 1.4% 1.6% 102.0M -2.90B -19.8M 1.02 11.80 37,350 38,280 3,798,681 2,246,847 2007-06-14 $16.43 $15.83 16.2% 4.6% 23.5% 0.0% 16.8% 1.3% 1.5% 93.3M -2.75B -19.8M 1.44 5.91 25,125 36,111 3,803,703 2,245,716 2007-06-15 $16.45 $15.83 15.4% 4.4% 23.5% 0.0% 15.7% 1.7% 2.0% 77.8M -2.70B -19.4M 0.44 6.46 71,577 31,545 3,806,394 2,260,863 2007-06-18 $16.37 $15.83 14.6% 4.2% 23.6% 0.0% 14.7% 1.0% 1.7% 49.0M -2.29B -19.2M 0.43 4.24 65,187 28,176 3,215,652 1,878,219 2007-06-19 $16.27 $15.83 14.0% 4.0% 23.1% 0.0% 15.2% 0.9% 2.1% 48.8M -2.23B -19.2M 1.40 4.88 35,772 49,911 3,250,800 1,891,317 2007-06-20 $16.20 $15.83 15.4% 4.4% 23.2% 0.0% 15.1% 0.6% 2.3% 44.0M -2.10B -19.5M 0.96 4.50 40,212 38,586 3,264,678 1,925,436 2007-06-21 $16.13 $15.83 15.6% 4.5% 23.1% 0.0% 14.3% 2.0% 2.2% 42.2M -1.99B -19.6M 0.27 4.98 184,254 50,010 3,277,905 1,940,850 2007-06-22 $15.94 $15.83 15.2% 4.4% 23.6% 0.0% 14.9% 2.2% 1.7% 46.2M -1.95B -19.8M 0.53 5.35 31,698 16,911 3,419,709 1,968,231 2007-06-25 $15.94 $15.83 15.3% 4.4% 23.5% 0.0% 14.2% 2.1% 2.3% 42.5M -1.82B -19.6M 0.58 6.69 56,658 33,135 3,422,142 1,963,440 2007-06-26 $15.99 $15.83 15.2% 4.4% 23.5% 0.0% 15.2% 1.0% 2.5% 41.8M -1.87B -19.5M 0.64 6.76 38,574 24,681 3,427,506 1,978,071 2007-06-27 $16.15 $15.83 15.3% 4.4% 23.7% 0.0% 15.2% 2.3% 2.6% 48.9M -2.02B -19.4M 0.46 6.90 74,931 34,221 3,429,822 1,988,697 2007-06-28 $16.07 $15.83 15.5% 4.4% 23.6% 0.0% 15.3% 2.1% 2.5% 45.5M -1.97B -19.6M 0.53 6.40 72,255 38,295 3,456,231 2,005,893 2007-06-29 $16.04 $15.83 16.5% 4.7% 18.9% 0.0% 16.0% 2.5% 1.9% 44.7M -1.85B -19.5M 1.06 8.09 32,160 34,002 3,419,076 2,001,117
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