WMT Options History — September 2007

In September 2007, WMT traded between $14.09 and $14.92. ATM implied volatility averaged 23.5%, placing in the 49.2% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 2.5% (HV 20d: 21.1%). Max pain ranged from $14.17 to $15.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 1.48.

Notable Days

  • 2007-09-11: Highest Volume — 356,175 contracts
  • 2007-09-25: Largest IV spike — 20.4% change
  • 2007-09-17: Highest IV Rank — 61.3%
  • 2007-09-10: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.46$14.09$14.92$14.43$14.55
Max Pain$14.30$14.17$15.00$15.00$14.17
ATM IV23.5%19.2%26.0%23.5%22.7%
Expected Move6.8%5.5%7.6%6.7%6.5%
HV 20d21.1%17.0%29.7%29.3%17.3%
HV 60d23.2%22.6%23.9%22.6%23.9%
IV Rank49.2%28.0%61.3%49.0%45.4%
IV Percentile85.0%59.9%93.8%88.7%81.7%
Term Structure0.8%-0.8%2.6%2.1%1.9%
VWIV23.5%19.9%26.8%23.6%20.8%
Skew 25d2.8%-0.0%5.5%0.7%5.0%
Skew 10d6.8%-3.0%14.5%-3.0%11.5%
Call IV 25d22.4%18.3%26.3%23.6%18.3%
Put IV 25d25.2%21.7%28.8%24.3%23.3%
Bid-Ask Spread %7.284.229.895.894.22
Gamma HHI0.160.130.190.170.15
Net GEX16.2M7.5M31.3M11.6M21.0M
Net DEX-493.4M-1.00B-105.0M-403.8M-656.1M
Net VEX-18.0M-18.5M-17.2M-18.1M-17.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.480.3010.723.940.49
Total Volume153,819.78952,533356,175216,30952,533
Total OI6,202,575.6325,598,7476,577,3956,164,7065,772,957

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-09-04$14.43$15.0023.5%6.7%29.3%49.0%23.6%0.7%2.1%11.6M-403.8M-18.1M3.945.8943,803172,5063,840,8462,323,860
2007-09-05$14.15$15.0024.9%7.1%29.7%55.7%25.3%-0.0%1.2%7.5M-131.9M-18.0M0.505.57131,14865,6163,854,5622,325,678
2007-09-06$14.25$15.0023.7%6.8%27.4%50.3%24.5%0.6%2.3%10.9M-293.4M-18.5M0.396.84106,84542,1953,931,8332,346,330
2007-09-07$14.13$14.1725.0%7.5%24.1%56.3%26.7%1.6%-0.0%10.4M-205.2M-18.3M1.136.6771,59581,0903,947,4662,362,806
2007-09-10$14.09$14.1725.9%7.6%24.0%61.0%26.8%2.8%-0.1%7.8M-105.0M-18.2M0.897.2898,55687,6513,959,5562,386,236
2007-09-11$14.31$14.1724.9%7.6%25.0%56.0%26.1%3.9%-0.8%10.1M-309.5M-18.3M10.729.2630,384325,7913,961,4942,392,530
2007-09-12$14.24$14.1724.2%7.5%17.2%52.6%26.2%2.3%-0.1%8.0M-246.4M-18.0M1.339.1465,52387,1443,964,7462,396,565
2007-09-13$14.35$14.1725.6%7.3%17.0%59.2%24.0%2.8%-0.0%9.3M-372.9M-18.2M1.037.3555,04756,6134,009,8842,417,898
2007-09-14$14.44$14.1725.0%7.2%17.1%56.6%23.6%3.1%0.1%10.8M-474.4M-18.1M0.849.8951,51643,4853,986,2742,428,104
2007-09-17$14.44$14.1726.0%7.5%17.1%61.3%25.6%3.0%0.1%9.5M-436.4M-18.4M0.827.7945,11736,8913,996,2822,446,647
2007-09-18$14.81$14.1722.4%6.4%19.4%43.7%22.8%3.1%0.4%21.6M-857.1M-18.4M0.308.24144,79843,8124,014,6182,467,362
2007-09-19$14.92$14.1722.2%6.4%19.5%42.6%21.1%3.5%0.4%31.3M-1.00B-18.2M0.547.61146,89879,5724,062,6452,486,190
2007-09-20$14.77$14.1721.7%6.2%19.8%40.5%21.9%2.8%1.2%26.2M-738.3M-18.1M0.418.6070,54229,1064,081,5122,477,598
2007-09-21$14.74$14.1720.7%5.9%19.2%35.3%20.3%2.2%1.3%27.2M-713.3M-18.2M0.568.3281,55245,5974,090,3442,487,051
2007-09-24$14.66$14.1719.2%5.5%18.8%28.0%19.9%2.7%2.6%25.4M-770.3M-17.7M0.335.3761,43120,4303,424,9952,181,468
2007-09-25$14.39$14.1723.1%6.6%19.9%47.1%22.8%4.2%0.9%20.5M-485.4M-17.2M1.526.1871,292108,5943,421,7672,176,980
2007-09-26$14.43$14.1723.6%6.8%19.7%49.5%22.7%3.5%1.3%17.6M-530.2M-17.4M1.517.2357,82287,0633,449,3402,238,831
2007-09-27$14.54$14.1722.7%6.5%18.7%45.0%21.7%5.5%1.5%20.3M-643.6M-17.7M0.786.9768,95554,0633,474,9302,260,752
2007-09-28$14.55$14.1722.7%6.5%17.3%45.4%20.8%5.0%1.9%21.0M-656.1M-17.7M0.494.2235,16017,3733,500,2952,272,662