WMT Options History — July 2007

In July 2007, WMT traded between $15.31 and $16.38. ATM implied volatility averaged 19.1%, placing in the 51.6% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 4.3% (HV 20d: 14.9%). 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 5 of 21 days. Put/call ratio averaged 0.71.

Notable Days

2007-07-27: Highest Volume — 269,307 contracts
2007-07-12: Largest IV spike — 15.6% change
2007-07-30: Highest IV Rank — 100.0%
2007-07-30: Largest Expected Move — 7.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$15.97	$15.31	$16.38	$16.11	$15.32
Max Pain	$15.83	$15.83	$15.83	$15.83	$15.83
ATM IV	19.1%	15.1%	25.3%	15.8%	25.3%
Expected Move	5.6%	4.4%	7.3%	4.5%	7.3%
HV 20d	14.9%	11.4%	18.6%	13.6%	18.5%
HV 60d	17.3%	16.7%	18.0%	17.2%	18.0%
IV Rank	51.6%	14.0%	100.0%	16.9%	100.0%
IV Percentile	72.9%	17.3%	100.0%	27.0%	99.3%
Term Structure	-0.3%	-3.0%	3.5%	2.8%	-2.6%
VWIV	19.4%	14.4%	24.9%	14.4%	24.9%
Skew 25d	1.9%	1.0%	3.1%	2.8%	1.5%
Skew 10d	3.5%	-2.0%	9.3%	8.2%	1.9%
Call IV 25d	18.8%	13.8%	24.2%	14.0%	24.2%
Put IV 25d	20.6%	16.0%	25.7%	16.8%	25.7%
Bid-Ask Spread %	6.79	5.08	8.67	7.03	7.21
Gamma HHI	0.16	0.12	0.36	0.17	0.12
Net GEX	41.0M	16.0M	82.8M	47.7M	16.0M
Net DEX	-1.72B	-2.36B	-958.1M	-1.92B	-958.1M
Net VEX	-18.6M	-19.7M	-11.4M	-19.1M	-19.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.71	0.14	1.40	0.36	0.60
Total Volume	107,684.286	15,618	269,307	39,897	183,408
Total OI	5,420,144.286	3,224,772	5,748,648	5,425,710	5,686,971

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
2007-07-02	$16.11	$15.83	15.8%	4.5%	13.6%	0.0%	14.4%	2.8%	2.8%	47.7M	-1.92B	-19.1M	0.36	7.03	29,280	10,617	3,410,985	2,014,725
2007-07-03	$16.16	$15.83	15.7%	4.5%	13.1%	0.0%	15.4%	2.1%	2.9%	50.1M	-1.98B	-19.0M	0.49	7.24	10,515	5,103	3,422,622	1,999,542
2007-07-05	$16.03	$15.83	15.4%	4.4%	13.0%	16.9%	15.1%	1.7%	3.5%	46.8M	-1.90B	-18.7M	0.55	6.57	25,545	14,088	3,423,318	1,993,650
2007-07-06	$16.13	$15.83	15.1%	5.4%	11.7%	14.0%	17.8%	2.3%	-0.5%	49.1M	-1.99B	-18.6M	0.31	6.61	55,536	17,253	3,425,166	1,993,608
2007-07-09	$16.17	$15.83	16.4%	5.4%	11.4%	25.0%	18.4%	1.7%	-0.9%	53.9M	-2.02B	-19.0M	1.40	6.90	19,689	27,519	3,457,647	2,004,195
2007-07-10	$15.86	$15.83	16.2%	5.5%	13.0%	23.5%	18.8%	1.9%	0.2%	29.7M	-1.60B	-19.1M	0.65	5.08	67,374	43,578	3,464,283	2,028,045
2007-07-11	$15.89	$15.83	16.0%	5.3%	11.6%	21.8%	17.5%	2.6%	0.1%	29.5M	-1.62B	-18.9M	1.16	6.06	47,418	54,951	3,477,402	2,017,014
2007-07-12	$16.28	$15.83	18.5%	5.3%	13.9%	43.3%	18.7%	2.2%	-0.2%	61.5M	-2.19B	-18.8M	0.14	6.68	201,684	28,254	3,474,666	2,029,344
2007-07-13	$16.38	$15.83	18.5%	5.3%	14.1%	43.6%	18.5%	2.0%	-0.6%	82.8M	-2.36B	-18.8M	0.33	7.29	73,446	24,243	3,583,182	2,036,709
2007-07-16	$16.31	$15.83	18.9%	5.4%	14.1%	46.8%	21.8%	2.5%	-0.7%	65.0M	-1.16B	-11.4M	0.53	7.88	26,433	13,932	2,145,609	1,079,163
2007-07-17	$16.12	$15.83	19.8%	5.7%	14.7%	54.5%	19.2%	1.8%	-1.6%	52.0M	-2.00B	-18.4M	1.13	7.39	52,377	59,211	3,588,327	2,043,114
2007-07-18	$16.01	$15.83	19.2%	5.5%	14.7%	49.2%	18.8%	1.5%	-0.6%	37.6M	-1.84B	-18.6M	1.05	5.66	88,128	92,211	3,592,512	2,073,150
2007-07-19	$16.26	$15.83	19.4%	5.6%	15.7%	50.7%	19.5%	1.3%	-0.8%	46.0M	-2.17B	-18.6M	0.60	7.58	61,797	36,921	3,613,077	2,101,878
2007-07-20	$16.02	$15.83	19.8%	5.7%	16.6%	54.6%	19.5%	1.0%	-0.8%	34.4M	-1.87B	-18.8M	0.85	5.55	67,332	57,009	3,637,107	2,111,541
2007-07-23	$16.04	$15.83	20.1%	5.8%	16.0%	57.4%	19.9%	1.9%	-0.8%	33.7M	-1.79B	-18.8M	0.50	5.56	45,261	22,689	3,309,228	2,055,201
2007-07-24	$16.01	$15.83	19.8%	5.7%	16.0%	54.7%	19.8%	1.0%	-0.2%	33.6M	-1.78B	-18.9M	0.75	8.67	42,399	31,890	3,332,808	2,070,573
2007-07-25	$15.96	$15.83	20.1%	5.8%	16.0%	57.2%	20.2%	1.0%	-0.8%	31.2M	-1.68B	-19.0M	0.39	5.33	72,135	28,401	3,344,259	2,083,488
2007-07-26	$15.61	$15.83	22.0%	6.3%	17.3%	73.3%	22.4%	1.3%	-0.3%	24.7M	-1.31B	-19.3M	1.27	8.43	84,069	106,569	3,381,042	2,092,857
2007-07-27	$15.31	$15.83	24.4%	7.0%	18.4%	94.0%	23.9%	1.9%	-1.7%	18.5M	-998.6M	-19.2M	1.37	7.69	113,550	155,757	3,419,595	2,120,859
2007-07-30	$15.40	$15.83	25.3%	7.3%	18.6%	100.0%	23.7%	3.1%	-3.0%	16.9M	-1.05B	-19.4M	0.58	6.16	40,377	23,421	3,468,327	2,216,241
2007-07-31	$15.32	$15.83	25.3%	7.3%	18.5%	100.0%	24.9%	1.5%	-2.6%	16.0M	-958.1M	-19.7M	0.60	7.21	114,564	68,844	3,483,900	2,203,071