WMT Options History — December 2007

In December 2007, WMT traded between $15.84 and $16.48. ATM implied volatility averaged 23.9%, placing in the 30.7% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 1.9% (HV 20d: 22.0%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.87.

Notable Days

  • 2007-12-11: Highest Volume — 445,227 contracts
  • 2007-12-20: Largest IV spike — 7.3% change
  • 2007-12-17: Highest IV Rank — 34.7%
  • 2007-12-17: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.11$15.84$16.48$15.96$15.84
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV23.9%21.6%25.3%24.8%25.1%
Expected Move6.8%6.3%7.2%7.1%7.2%
HV 20d22.0%14.4%29.3%29.2%14.8%
HV 60d22.8%22.5%23.0%23.0%22.7%
IV Rank30.7%23.9%34.7%33.4%34.1%
IV Percentile74.6%65.5%82.2%77.9%80.8%
Term Structure0.8%-0.3%2.2%-0.3%0.0%
VWIV24.7%23.0%27.1%25.0%26.3%
Skew 25d3.9%2.1%6.5%4.5%6.3%
Skew 10d8.1%4.8%16.1%13.3%16.1%
Call IV 25d22.3%20.7%24.4%22.5%23.0%
Put IV 25d26.2%24.6%29.3%27.0%29.3%
Bid-Ask Spread %7.714.8211.846.717.13
Gamma HHI0.200.160.260.190.21
Net GEX40.8M17.5M59.6M46.4M17.5M
Net DEX-2.14B-2.93B-1.60B-2.20B-1.60B
Net VEX-15.2M-16.4M-14.3M-16.4M-14.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.870.202.180.960.45
Total Volume126,338.446,701445,22788,74072,957
Total OI6,172,332.35,622,0036,436,7856,313,1765,726,055

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-12-03$15.96$15.0024.8%7.1%29.2%33.4%25.0%4.5%-0.3%46.4M-2.20B-16.4M0.966.7145,21043,5303,753,8612,559,315
2007-12-04$16.06$15.0024.0%6.9%29.0%31.1%25.5%2.9%-0.0%49.2M-2.34B-16.3M1.957.5542,11781,9693,730,8032,562,195
2007-12-05$16.30$15.0022.6%6.5%29.3%26.9%24.6%4.1%0.9%51.3M-2.64B-16.0M0.266.39125,15732,7753,732,4712,617,221
2007-12-06$16.42$15.0022.1%6.3%28.9%25.3%23.5%3.1%0.3%55.0M-2.77B-15.9M0.896.4451,67845,8583,757,2752,622,339
2007-12-07$16.34$15.0021.6%6.4%28.7%23.9%23.1%3.6%0.7%55.2M-2.70B-15.6M0.677.8843,09528,8153,758,1932,641,809
2007-12-10$16.48$15.0022.9%6.3%27.5%27.6%23.1%3.5%0.8%59.6M-2.93B-15.3M0.444.8279,70434,8393,767,2982,653,221
2007-12-11$16.34$15.0023.9%6.5%28.0%30.7%23.2%2.9%0.2%56.1M-2.75B-15.3M0.209.01371,52073,7073,774,2882,661,465
2007-12-12$16.08$15.0024.8%7.0%20.9%33.2%25.1%3.4%0.4%47.4M-2.08B-15.9M2.188.1356,325123,0123,570,7772,698,089
2007-12-13$16.11$15.0024.3%7.0%20.6%31.7%25.2%3.4%1.2%43.6M-2.02B-15.4M1.516.6534,00551,4353,541,0442,744,376
2007-12-14$15.88$15.0023.7%6.8%21.3%30.0%23.5%2.5%1.4%36.6M-1.72B-15.4M0.806.9625,87820,8233,525,8612,770,146
2007-12-17$15.94$15.0025.3%7.2%21.3%34.7%25.9%2.1%1.1%38.5M-1.79B-15.2M0.498.4973,41635,7273,521,7182,740,527
2007-12-18$16.08$15.0024.9%7.1%20.0%33.5%24.6%2.9%1.2%39.9M-1.95B-15.0M0.7010.4573,16751,5703,529,4942,754,777
2007-12-19$16.03$15.0023.4%6.7%20.1%29.3%23.0%3.0%2.2%47.6M-1.92B-14.9M0.7811.8434,17326,7423,564,5612,771,859
2007-12-20$15.95$15.0025.1%7.2%19.3%34.3%25.3%3.6%1.2%47.3M-1.79B-15.1M1.018.55123,438124,4073,559,9652,782,356
2007-12-21$16.07$15.0024.1%6.9%18.4%31.3%24.1%4.2%1.3%29.1M-2.03B-14.8M0.978.4449,65948,2763,593,6522,843,133
2007-12-24$16.25$15.0023.5%6.7%17.3%29.5%23.0%4.1%0.9%27.5M-2.10B-14.4M0.487.5532,37915,4653,211,1402,410,863
2007-12-26$16.13$15.0023.7%6.8%17.0%30.2%25.6%5.6%0.6%24.4M-1.93B-14.4M0.436.92100,22443,2393,218,9852,417,925
2007-12-27$15.92$15.0024.1%6.9%14.4%31.3%27.1%5.9%1.1%20.5M-1.71B-14.4M0.867.0974,16363,7953,240,1262,427,231
2007-12-28$16.03$15.0024.2%6.9%14.4%31.6%26.9%6.5%0.7%23.1M-1.83B-14.5M1.317.2831,36241,1573,244,5092,445,723
2007-12-31$15.84$15.0025.1%7.2%14.8%34.1%26.3%6.3%0.0%17.5M-1.60B-14.3M0.457.1350,18122,7763,269,2622,456,793