WMT Options History — November 2007

In November 2007, WMT traded between $14.30 and $15.97. ATM implied volatility averaged 28.9%, placing in the 55.6% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 2.7% (HV 20d: 26.2%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.89.

Notable Days

  • 2007-11-13: Highest Volume — 336,939 contracts
  • 2007-11-13: Largest IV drop — 39.9% change
  • 2007-11-08: Highest IV Rank — 100.0%
  • 2007-11-12: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.09$14.30$15.97$14.68$15.97
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV28.9%23.2%47.5%27.9%23.3%
Expected Move7.7%6.6%9.4%8.0%6.7%
HV 20d26.2%19.0%31.1%22.3%29.1%
HV 60d21.7%18.3%23.5%22.8%23.1%
IV Rank55.6%28.5%100.0%70.5%28.9%
IV Percentile91.0%72.8%100.0%98.1%73.0%
Term Structure0.1%-1.7%1.4%-1.7%0.9%
VWIV27.4%23.9%33.0%28.9%24.3%
Skew 25d4.4%3.3%5.8%3.6%5.1%
Skew 10d8.9%5.9%15.0%7.4%15.0%
Call IV 25d25.2%21.5%29.2%27.6%21.5%
Put IV 25d29.6%26.1%35.0%31.2%26.6%
Bid-Ask Spread %9.677.3015.0610.967.45
Gamma HHI0.160.140.210.150.18
Net GEX27.5M10.8M46.0M21.4M44.7M
Net DEX-1.11B-2.17B-185.7M-654.8M-2.17B
Net VEX-17.3M-17.8M-16.7M-17.5M-16.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.890.302.211.150.62
Total Volume127,287.57150,655336,93954,108123,327
Total OI6,198,1566,051,0756,360,1536,098,1936,274,233

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-11-01$14.68$15.0027.9%8.0%22.3%70.5%28.9%3.6%-1.7%21.4M-654.8M-17.5M1.1510.9625,12528,9833,671,6702,426,523
2007-11-02$14.73$15.0027.1%7.8%22.1%66.7%29.3%4.6%-0.9%21.0M-695.1M-17.7M0.5611.4246,34425,9173,673,4732,440,224
2007-11-05$14.68$15.0030.1%7.8%22.1%81.6%28.1%3.3%-0.3%19.4M-669.5M-17.2M1.399.5621,23729,4183,666,6932,443,467
2007-11-06$14.76$15.0028.6%7.5%22.2%74.1%27.4%4.2%-0.2%20.6M-728.1M-17.4M0.797.3037,35929,5683,678,4922,449,587
2007-11-07$14.64$15.0032.4%7.9%22.1%92.8%28.1%3.6%-0.4%18.9M-608.9M-17.2M0.309.7983,01324,6333,701,8682,464,062
2007-11-08$14.54$15.0036.7%8.8%19.0%100.0%30.0%3.3%-0.4%19.1M-509.4M-17.4M1.2114.5865,19378,6993,739,7732,461,257
2007-11-09$14.30$15.0036.7%8.9%19.4%100.0%33.0%4.3%-0.7%10.8M-185.7M-17.1M2.219.3231,86070,4943,721,9832,474,937
2007-11-12$14.44$15.0047.5%9.4%19.7%100.0%32.2%5.8%-1.3%17.5M-531.2M-17.2M0.6314.31153,48697,2693,742,2662,541,018
2007-11-13$15.32$15.0028.5%7.4%29.5%44.3%24.9%4.3%0.5%43.4M-1.46B-17.6M0.508.58224,847112,0923,765,9002,539,614
2007-11-14$15.50$15.0025.1%6.9%29.7%34.3%24.6%4.3%0.6%46.0M-1.61B-17.5M0.538.00101,40053,8863,763,9202,542,002
2007-11-15$15.40$15.0026.9%7.7%29.8%39.4%25.7%4.7%0.3%42.2M-1.52B-17.7M0.737.8789,61965,5593,770,1302,566,968
2007-11-16$15.45$15.0024.1%6.9%28.8%31.1%25.3%5.8%1.4%40.1M-1.53B-17.8M0.887.3080,43971,1843,775,9982,584,155
2007-11-19$15.16$15.0026.9%7.7%29.7%39.3%26.4%4.6%1.4%23.7M-1.15B-17.4M0.977.4439,47138,2983,606,7982,444,277
2007-11-20$15.17$15.0027.1%7.8%27.5%40.0%27.3%5.1%0.7%23.6M-1.13B-17.5M0.6115.0661,75837,5963,617,2952,459,265
2007-11-21$14.95$15.0026.9%7.7%28.1%39.5%27.9%3.5%0.9%19.3M-886.6M-17.4M1.128.0045,94551,2733,647,3732,471,091
2007-11-23$15.24$15.0027.0%7.7%28.8%39.8%26.3%4.6%0.6%24.0M-1.18B-17.3M0.4511.9036,57016,4073,667,5182,490,123
2007-11-26$15.01$15.0028.5%8.2%28.8%44.3%28.6%3.5%0.3%21.3M-970.3M-17.2M0.948.3370,32366,3573,675,5642,487,087
2007-11-27$15.28$15.0027.2%7.8%29.4%40.3%26.0%5.0%-0.1%24.3M-1.25B-17.1M1.299.5749,90264,5723,683,1572,509,431
2007-11-28$15.74$15.0023.2%6.6%31.1%28.5%23.9%4.5%0.7%36.7M-1.83B-17.0M0.608.03144,41486,1663,701,5502,535,867
2007-11-29$15.85$15.0024.4%7.0%31.0%32.0%26.5%4.0%-0.2%40.2M-1.95B-17.1M1.118.4144,15748,8793,732,6722,551,995
2007-11-30$15.97$15.0023.3%6.7%29.1%28.9%24.3%5.1%0.9%44.7M-2.17B-16.7M0.627.4576,17347,1543,723,7502,550,483