WMT Options History — October 2007

In October 2007, WMT traded between $14.62 and $15.69. ATM implied volatility averaged 23.2%, placing in the 47.7% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 5.1% (HV 20d: 18.1%). Max pain ranged from $14.17 to $15.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 5 of 23 days. Put/call ratio averaged 0.64.

Notable Days

2007-10-11: Highest Volume — 407,610 contracts
2007-10-16: Largest IV spike — 10.2% change
2007-10-25: Highest IV Rank — 69.3%
2007-10-25: Largest Expected Move — 7.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$15.09	$14.62	$15.69	$14.82	$15.07
Max Pain	$14.86	$14.17	$15.00	$14.17	$15.00
ATM IV	23.2%	18.1%	27.6%	19.0%	26.6%
Expected Move	6.8%	5.2%	7.9%	5.5%	7.6%
HV 20d	18.1%	15.2%	21.1%	18.3%	20.2%
HV 60d	23.9%	23.1%	24.5%	24.2%	23.1%
IV Rank	47.7%	22.8%	69.3%	27.3%	64.4%
IV Percentile	79.2%	48.9%	97.1%	57.8%	94.3%
Term Structure	-0.2%	-1.7%	3.5%	2.6%	-1.6%
VWIV	23.5%	18.4%	28.5%	19.3%	26.3%
Skew 25d	4.6%	3.0%	9.4%	9.4%	5.2%
Skew 10d	10.3%	4.5%	17.5%	17.5%	14.9%
Call IV 25d	21.7%	13.9%	26.8%	13.9%	24.6%
Put IV 25d	26.4%	21.5%	31.7%	23.3%	29.8%
Bid-Ask Spread %	8.62	4.83	15.47	4.83	7.06
Gamma HHI	0.16	0.14	0.27	0.15	0.16
Net GEX	37.1M	20.1M	67.2M	28.1M	29.1M
Net DEX	-1.27B	-2.15B	-580.9M	-976.9M	-1.09B
Net VEX	-17.8M	-18.0M	-17.5M	-17.7M	-17.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.64	0.17	1.62	0.23	0.78
Total Volume	120,356.739	38,382	407,610	141,072	51,915
Total OI	5,998,338.522	5,778,267	6,182,553	5,778,267	6,077,628

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
2007-10-01	$14.82	$14.17	19.0%	5.5%	18.3%	27.3%	19.3%	9.4%	2.6%	28.1M	-976.9M	-17.7M	0.23	4.83	114,705	26,367	3,505,929	2,272,338
2007-10-02	$14.96	$14.17	18.1%	5.2%	18.3%	22.8%	18.6%	3.6%	3.5%	31.8M	-1.14B	-17.9M	0.17	6.81	195,465	32,733	3,520,548	2,277,624
2007-10-03	$15.04	$14.17	18.8%	5.4%	16.4%	26.0%	18.4%	3.9%	2.8%	35.8M	-1.34B	-17.9M	0.66	6.82	127,446	83,796	3,577,668	2,283,900
2007-10-04	$15.00	$14.17	18.6%	5.3%	16.5%	25.0%	20.4%	3.0%	2.9%	33.0M	-1.21B	-18.0M	1.41	6.14	15,897	22,485	3,597,513	2,307,927
2007-10-05	$15.12	$15.00	18.7%	6.1%	16.0%	25.6%	20.8%	3.8%	-0.1%	36.7M	-1.40B	-18.0M	0.21	10.52	118,191	24,711	3,591,678	2,316,282
2007-10-08	$15.09	$15.00	19.8%	6.4%	16.0%	31.2%	21.5%	4.3%	-0.6%	40.8M	-1.35B	-17.8M	0.48	8.53	29,979	14,319	3,632,154	2,309,127
2007-10-09	$15.07	$15.00	19.5%	6.4%	15.4%	29.7%	21.0%	3.8%	0.6%	40.0M	-1.30B	-17.9M	0.82	8.32	56,682	46,281	3,649,797	2,315,748
2007-10-10	$15.20	$15.00	20.7%	6.4%	15.2%	35.5%	21.3%	4.5%	-0.2%	43.4M	-1.52B	-17.7M	0.87	9.14	68,070	59,403	3,669,231	2,314,998
2007-10-11	$15.63	$15.00	21.4%	6.1%	17.6%	38.8%	21.9%	4.1%	-0.5%	50.3M	-2.05B	-17.8M	0.53	9.38	266,067	141,543	3,695,214	2,350,698
2007-10-12	$15.69	$15.00	21.3%	6.1%	17.6%	38.5%	21.3%	4.1%	-0.6%	57.0M	-2.15B	-18.0M	0.40	6.93	34,728	13,854	3,745,245	2,410,623
2007-10-15	$15.48	$15.00	22.5%	6.5%	18.5%	44.4%	23.2%	4.2%	-0.9%	51.2M	-1.88B	-17.7M	0.45	9.41	59,202	26,355	3,721,179	2,399,382
2007-10-16	$15.29	$15.00	24.8%	7.1%	17.5%	55.7%	24.6%	4.2%	-1.0%	45.2M	-1.56B	-17.8M	1.04	9.58	24,516	25,545	3,723,423	2,404,986
2007-10-17	$15.33	$15.00	25.4%	7.3%	17.4%	58.5%	24.3%	4.3%	-1.0%	45.1M	-1.60B	-17.9M	0.98	8.54	63,522	62,250	3,727,059	2,414,190
2007-10-18	$15.30	$15.00	25.1%	7.2%	16.9%	56.9%	24.4%	4.3%	-1.0%	40.9M	-1.54B	-17.9M	0.38	15.47	43,983	16,899	3,738,684	2,440,485
2007-10-19	$14.99	$15.00	27.0%	7.7%	18.6%	66.3%	26.0%	4.3%	-1.6%	67.2M	-1.15B	-18.0M	0.82	13.17	60,768	50,079	3,737,649	2,444,904
2007-10-22	$15.08	$15.00	25.7%	7.4%	18.5%	60.0%	25.2%	6.7%	-0.4%	28.9M	-1.10B	-17.9M	0.42	10.00	82,461	34,836	3,552,840	2,270,538
2007-10-23	$14.64	$15.00	26.5%	7.6%	20.4%	63.6%	26.4%	5.1%	-1.3%	22.1M	-627.4M	-17.5M	0.47	8.44	168,774	80,061	3,602,220	2,289,567
2007-10-24	$14.62	$15.00	26.5%	7.6%	20.4%	63.7%	27.2%	4.9%	-0.9%	20.1M	-580.9M	-17.5M	0.57	7.79	80,511	46,146	3,630,225	2,345,310
2007-10-25	$14.63	$15.00	27.6%	7.9%	20.2%	69.3%	28.5%	4.9%	-1.2%	21.6M	-595.1M	-17.7M	1.62	9.26	47,199	76,665	3,631,728	2,343,213
2007-10-26	$14.88	$15.00	26.3%	7.5%	21.1%	62.8%	26.7%	4.4%	-0.7%	24.7M	-873.5M	-18.0M	0.48	8.90	32,943	15,669	3,635,124	2,396,940
2007-10-29	$15.00	$15.00	26.7%	7.7%	20.3%	64.9%	26.8%	4.2%	-1.2%	28.0M	-1.05B	-17.7M	0.30	5.28	38,955	11,712	3,633,495	2,393,688
2007-10-30	$15.12	$15.00	26.9%	7.7%	20.2%	66.0%	26.1%	5.5%	-1.7%	32.1M	-1.21B	-17.7M	0.68	7.94	44,262	30,255	3,656,724	2,406,363
2007-10-31	$15.07	$15.00	26.6%	7.6%	20.2%	64.4%	26.3%	5.2%	-1.6%	29.1M	-1.09B	-17.7M	0.78	7.06	29,115	22,800	3,660,489	2,417,139