WMT Options History — August 2007

In August 2007, WMT traded between $14.39 and $16.14. ATM implied volatility averaged 25.7%, placing in the 68.0% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded below realized volatility by 3.4% (HV 20d: 29.1%). Max pain ranged from $15.00 to $15.83. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 20 of 23 days. Put/call ratio averaged 1.09.

Notable Days

2007-08-28: Highest Volume — 432,927 contracts
2007-08-14: Largest IV drop — 24.9% change
2007-08-01: Highest IV Rank — 100.0%
2007-08-16: Largest Expected Move — 8.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$14.93	$14.39	$16.14	$15.41	$14.54
Max Pain	$15.62	$15.00	$15.83	$15.83	$15.00
ATM IV	25.7%	20.7%	33.9%	27.7%	23.3%
Expected Move	7.0%	5.9%	8.3%	7.9%	6.7%
HV 20d	29.1%	18.6%	33.1%	18.6%	32.0%
HV 60d	22.7%	18.0%	25.0%	18.0%	22.7%
IV Rank	68.0%	35.6%	100.0%	100.0%	48.1%
IV Percentile	93.6%	83.2%	100.0%	100.0%	88.0%
Term Structure	1.0%	-3.1%	2.8%	-3.1%	1.8%
VWIV	23.7%	19.6%	27.6%	26.3%	23.0%
Skew 25d	3.9%	0.1%	7.1%	7.1%	2.0%
Skew 10d	7.5%	0.5%	16.5%	16.5%	5.1%
Call IV 25d	22.3%	18.8%	25.1%	21.2%	22.2%
Put IV 25d	26.2%	21.7%	31.5%	28.3%	24.2%
Bid-Ask Spread %	8.82	5.50	15.62	9.08	5.90
Gamma HHI	0.14	0.12	0.17	0.12	0.16
Net GEX	13.4M	469.7K	39.4M	18.1M	13.4M
Net DEX	-678.8M	-1.82B	18.1M	-1.06B	-510.4M
Net VEX	-19.4M	-20.6M	-18.3M	-19.8M	-18.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.09	0.35	2.96	1.01	0.57
Total Volume	205,804.435	86,307	432,927	223,056	130,293
Total OI	6,008,856.913	5,722,149	6,213,441	5,722,149	6,155,547

Daily Data (23 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
2007-08-01	$15.41	$15.83	27.7%	7.9%	18.6%	100.0%	26.3%	7.1%	-3.1%	18.1M	-1.06B	-19.8M	1.01	9.08	110,952	112,104	3,502,527	2,219,622
2007-08-02	$15.58	$15.83	23.4%	6.7%	19.1%	69.4%	24.1%	5.0%	-0.6%	21.4M	-1.27B	-20.1M	0.81	9.97	98,448	79,983	3,530,448	2,279,721
2007-08-03	$15.17	$15.83	27.7%	7.9%	20.8%	99.8%	27.6%	4.5%	-2.4%	12.0M	-816.5M	-20.0M	0.73	8.79	65,553	48,072	3,544,617	2,313,651
2007-08-06	$15.67	$15.83	26.3%	6.9%	24.3%	90.3%	24.1%	6.1%	1.6%	22.4M	-1.27B	-20.6M	0.64	7.18	134,724	86,088	3,560,871	2,318,160
2007-08-07	$15.69	$15.83	26.5%	6.9%	23.3%	91.6%	24.1%	4.3%	0.8%	25.1M	-1.37B	-20.4M	1.17	10.35	79,800	93,333	3,587,196	2,334,882
2007-08-08	$16.14	$15.83	26.5%	6.4%	25.5%	91.4%	22.0%	5.1%	1.0%	39.4M	-1.82B	-20.5M	0.51	9.83	90,672	46,068	3,596,586	2,350,701
2007-08-09	$15.48	$15.83	29.3%	7.2%	28.1%	100.0%	26.2%	5.0%	0.8%	19.9M	-1.18B	-20.2M	1.99	9.42	95,847	190,872	3,606,429	2,351,721
2007-08-10	$15.36	$15.83	33.2%	8.0%	28.0%	100.0%	26.2%	5.4%	0.0%	15.4M	-979.5M	-20.5M	1.66	6.86	66,345	110,199	3,618,633	2,411,592
2007-08-13	$15.39	$15.83	33.9%	7.5%	28.0%	100.0%	26.6%	4.1%	0.4%	12.9M	-903.1M	-20.4M	1.69	8.73	57,918	97,866	3,628,857	2,450,040
2007-08-14	$14.61	$15.83	25.5%	6.8%	33.0%	58.7%	24.1%	4.1%	1.9%	469.7K	-54.8M	-18.9M	0.67	10.73	219,042	146,967	3,655,230	2,417,295
2007-08-15	$14.43	$15.83	27.4%	7.3%	33.1%	68.4%	24.7%	3.2%	2.1%	2.5M	18.1M	-19.1M	0.80	10.57	167,433	133,554	3,743,550	2,463,720
2007-08-16	$14.50	$15.83	28.8%	8.3%	32.4%	75.3%	27.3%	6.4%	0.9%	7.6M	-281.1M	-19.5M	1.22	15.62	70,200	85,365	3,772,857	2,417,925
2007-08-17	$14.50	$15.83	27.0%	7.7%	32.3%	66.4%	25.7%	4.8%	0.7%	7.1M	-159.6M	-19.4M	0.88	7.43	88,920	78,054	3,789,972	2,423,469
2007-08-20	$14.53	$15.83	24.5%	7.0%	32.3%	54.1%	22.7%	4.8%	1.1%	5.8M	-298.9M	-18.9M	0.42	12.91	182,286	76,629	3,606,858	2,305,425
2007-08-21	$14.57	$15.83	23.1%	6.6%	32.4%	47.2%	20.1%	3.4%	2.8%	9.5M	-375.9M	-19.0M	2.96	9.38	74,685	221,316	3,681,210	2,300,853
2007-08-22	$14.58	$15.83	21.7%	6.2%	32.4%	40.2%	19.6%	3.0%	1.9%	9.4M	-451.4M	-18.8M	1.69	7.56	106,146	179,820	3,679,389	2,267,352
2007-08-23	$14.39	$15.83	20.7%	5.9%	32.0%	35.6%	20.4%	2.5%	2.4%	6.6M	-254.9M	-18.3M	1.10	6.79	92,055	101,577	3,670,905	2,263,014
2007-08-24	$14.58	$15.00	21.4%	6.1%	32.0%	39.1%	19.8%	2.8%	2.2%	8.6M	-469.7M	-18.6M	0.39	6.90	140,835	54,921	3,683,007	2,287,911
2007-08-27	$14.61	$15.00	21.5%	6.2%	31.9%	39.5%	21.5%	0.1%	1.3%	11.6M	-532.3M	-18.7M	0.35	7.05	71,655	25,053	3,750,006	2,305,899
2007-08-28	$14.47	$15.00	24.3%	7.0%	32.0%	53.2%	22.9%	1.5%	2.3%	11.7M	-474.8M	-18.9M	2.81	9.96	113,772	319,155	3,768,384	2,314,074
2007-08-29	$14.73	$15.00	22.4%	6.4%	32.7%	43.7%	22.4%	1.9%	1.2%	16.9M	-706.6M	-19.0M	0.55	6.32	55,611	30,696	3,799,989	2,333,394
2007-08-30	$14.44	$15.00	24.2%	6.9%	32.9%	52.6%	23.9%	2.8%	1.8%	10.7M	-386.1M	-18.6M	0.39	5.50	73,581	29,037	3,808,113	2,332,107
2007-08-31	$14.54	$15.00	23.3%	6.7%	32.0%	48.1%	23.0%	2.0%	1.8%	13.4M	-510.4M	-18.8M	0.57	5.90	83,199	47,094	3,830,613	2,324,934