WMT Options History — January 2008

In January 2008, WMT traded between $15.24 and $16.91. ATM implied volatility averaged 28.8%, placing in the 45.2% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 6.8% (HV 20d: 22.0%). Max pain ranged from $15.00 to $15.83. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.82.

Notable Days

2008-01-10: Highest Volume — 352,641 contracts
2008-01-04: Largest IV spike — 17.8% change
2008-01-08: Highest IV Rank — 55.8%
2008-01-25: Largest Expected Move — 9.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$15.96	$15.24	$16.91	$15.63	$16.91
Max Pain	$15.28	$15.00	$15.83	$15.00	$15.83
ATM IV	28.8%	25.9%	32.5%	26.5%	27.9%
Expected Move	8.2%	7.4%	9.2%	7.6%	8.0%
HV 20d	22.0%	14.9%	28.3%	15.5%	28.3%
HV 60d	23.9%	22.8%	25.0%	22.9%	25.0%
IV Rank	45.2%	36.6%	55.8%	38.4%	42.5%
IV Percentile	93.0%	84.1%	98.0%	88.4%	90.1%
Term Structure	-0.4%	-2.3%	0.6%	0.0%	0.1%
VWIV	28.9%	25.7%	33.7%	27.7%	27.3%
Skew 25d	5.7%	3.8%	7.8%	4.9%	6.1%
Skew 10d	12.0%	7.0%	18.0%	11.4%	12.4%
Call IV 25d	26.1%	22.7%	28.8%	24.4%	25.0%
Put IV 25d	31.8%	28.4%	36.1%	29.3%	31.1%
Bid-Ask Spread %	10.51	7.47	18.02	8.27	10.40
Gamma HHI	0.18	0.13	0.25	0.19	0.20
Net GEX	17.1M	3.1M	30.7M	13.0M	28.3M
Net DEX	-1.24B	-1.89B	-792.7M	-1.36B	-1.38B
Net VEX	-13.8M	-15.7M	-13.0M	-14.1M	-13.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.82	0.37	1.81	1.81	0.37
Total Volume	166,262.286	29,082	352,641	157,623	230,145
Total OI	4,930,158.714	3,309,408	5,926,101	5,706,120	3,547,479

Daily Data (21 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
2008-01-02	$15.63	$15.00	26.5%	7.6%	15.5%	38.4%	27.7%	4.9%	0.0%	13.0M	-1.36B	-14.1M	1.81	8.27	56,046	101,577	3,255,189	2,450,931
2008-01-03	$15.46	$15.00	25.9%	7.4%	15.6%	36.6%	28.4%	4.3%	-0.0%	8.3M	-1.10B	-14.3M	1.30	7.50	68,229	88,695	3,223,206	2,482,701
2008-01-04	$15.24	$15.00	30.5%	8.4%	14.9%	50.1%	28.9%	5.0%	-0.4%	3.1M	-792.7M	-14.4M	1.01	13.91	121,530	122,409	3,239,589	2,490,939
2008-01-07	$15.52	$15.00	29.0%	7.9%	16.4%	45.8%	29.0%	5.4%	-1.0%	10.7M	-1.20B	-14.3M	1.08	9.83	67,869	73,371	3,284,469	2,504,748
2008-01-08	$15.32	$15.00	32.5%	8.7%	16.7%	55.8%	28.3%	5.3%	-1.1%	5.5M	-922.3M	-14.4M	0.73	18.02	31,899	23,388	3,319,080	2,536,464
2008-01-09	$15.63	$15.00	31.3%	8.1%	18.2%	52.3%	29.6%	6.0%	-1.1%	13.3M	-1.33B	-14.2M	1.05	9.91	95,499	100,323	3,307,770	2,523,474
2008-01-10	$16.13	$15.00	26.3%	7.5%	21.7%	37.6%	25.7%	5.7%	-0.0%	30.7M	-1.89B	-14.9M	0.85	12.64	190,263	162,378	3,338,139	2,572,443
2008-01-11	$15.91	$15.00	26.6%	7.6%	21.5%	38.5%	27.7%	5.1%	-0.2%	19.4M	-1.71B	-15.7M	0.78	9.34	122,760	96,117	3,361,581	2,564,520
2008-01-14	$15.89	$15.00	27.2%	7.8%	21.5%	40.3%	26.3%	5.6%	-0.2%	24.0M	-1.64B	-13.5M	0.60	11.02	110,241	66,567	3,324,519	2,576,805
2008-01-15	$15.66	$15.00	27.1%	7.8%	21.5%	40.1%	28.0%	4.5%	0.6%	25.7M	-1.03B	-14.1M	0.94	13.52	85,908	81,138	3,240,390	2,569,347
2008-01-16	$15.83	$15.00	28.0%	8.0%	21.8%	42.8%	28.4%	4.7%	0.4%	17.4M	-1.49B	-13.2M	0.57	9.09	59,874	33,948	3,257,070	2,588,574
2008-01-17	$15.83	$15.00	27.8%	8.0%	21.5%	42.0%	27.9%	4.9%	0.1%	13.6M	-1.52B	-13.1M	0.47	9.42	110,703	52,464	3,255,246	2,585,853
2008-01-18	$15.86	$15.00	28.0%	8.0%	21.6%	42.6%	28.4%	3.8%	0.3%	4.5M	-1.67B	-13.0M	0.60	7.47	139,713	83,391	3,248,343	2,573,919
2008-01-22	$16.40	$15.00	31.4%	9.0%	24.6%	52.6%	33.7%	7.8%	-2.3%	19.1M	-1.05B	-13.2M	0.73	8.58	182,034	132,849	1,859,703	1,449,705
2008-01-23	$16.72	$15.83	29.7%	8.5%	25.3%	47.8%	30.5%	7.1%	-0.9%	21.4M	-1.21B	-13.4M	0.42	11.57	160,599	68,124	1,919,340	1,514,967
2008-01-24	$16.30	$15.83	29.1%	8.4%	26.9%	46.0%	30.3%	6.7%	-0.7%	20.0M	-985.2M	-13.5M	0.64	8.91	60,033	38,532	1,955,364	1,536,798
2008-01-25	$16.03	$15.83	32.0%	9.2%	27.4%	54.5%	30.7%	5.8%	-1.0%	17.4M	-808.7M	-13.4M	1.24	8.50	34,524	42,933	1,961,700	1,547,520
2008-01-28	$16.24	$15.83	31.7%	9.1%	27.4%	53.6%	30.3%	7.8%	-0.9%	19.3M	-907.0M	-13.4M	0.49	12.41	19,497	9,585	1,956,714	1,568,187
2008-01-29	$16.34	$15.83	28.4%	8.1%	27.4%	43.8%	30.0%	7.6%	-0.3%	20.7M	-987.0M	-13.1M	0.44	10.84	67,962	29,808	1,951,749	1,543,275
2008-01-30	$16.39	$15.83	28.7%	8.2%	27.0%	44.9%	30.8%	6.5%	-0.7%	22.7M	-1.02B	-13.1M	1.03	9.47	33,786	34,797	1,987,944	1,557,579
2008-01-31	$16.91	$15.83	27.9%	8.0%	28.3%	42.5%	27.3%	6.1%	0.1%	28.3M	-1.38B	-13.0M	0.37	10.40	168,444	61,701	1,984,551	1,562,928