WMT Options History — February 2008

In February 2008, WMT traded between $16.25 and $17.14. ATM implied volatility averaged 25.8%, placing in the 36.2% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded below realized volatility by 0.7% (HV 20d: 26.5%). Max pain ranged from $15.00 to $15.83. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 1.05.

Notable Days

2008-02-05: Highest Volume — 287,382 contracts
2008-02-19: Largest IV drop — 17.2% change
2008-02-06: Highest IV Rank — 55.9%
2008-02-05: Largest Expected Move — 8.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$16.68	$16.25	$17.14	$17.06	$16.53
Max Pain	$15.58	$15.00	$15.83	$15.83	$15.83
ATM IV	25.8%	19.2%	32.5%	26.6%	22.8%
Expected Move	7.3%	5.5%	8.8%	7.6%	6.5%
HV 20d	26.5%	22.5%	28.8%	27.8%	22.5%
HV 60d	23.7%	22.0%	26.1%	25.0%	22.7%
IV Rank	36.2%	16.9%	55.9%	38.6%	27.5%
IV Percentile	70.8%	31.3%	98.0%	81.7%	53.6%
Term Structure	-0.3%	-3.1%	2.0%	1.1%	0.8%
VWIV	25.9%	20.9%	31.6%	26.5%	24.0%
Skew 25d	4.9%	3.3%	7.3%	4.4%	3.3%
Skew 10d	9.0%	4.8%	13.5%	8.6%	9.3%
Call IV 25d	23.5%	18.7%	28.0%	23.8%	21.7%
Put IV 25d	28.5%	22.3%	34.9%	28.2%	25.0%
Bid-Ask Spread %	7.85	5.03	13.51	7.17	8.75
Gamma HHI	0.23	0.16	0.37	0.21	0.16
Net GEX	31.4M	19.9M	53.6M	31.3M	19.9M
Net DEX	-1.11B	-1.49B	-784.2M	-1.49B	-892.1M
Net VEX	-12.9M	-13.3M	-12.3M	-13.0M	-13.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.05	0.24	2.11	1.98	1.95
Total Volume	147,701.25	58,275	287,382	152,652	121,785
Total OI	3,778,140.45	3,594,396	4,073,877	3,630,153	4,073,877

Daily Data (20 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
2008-02-01	$17.06	$15.83	26.6%	7.6%	27.8%	38.6%	26.5%	4.4%	1.1%	31.3M	-1.49B	-13.0M	1.98	7.17	51,186	101,466	2,036,553	1,593,600
2008-02-04	$16.69	$15.00	27.4%	8.0%	28.6%	41.0%	25.0%	6.9%	-1.8%	26.5M	-1.23B	-12.9M	1.12	9.40	27,468	30,807	2,045,814	1,641,828
2008-02-05	$16.52	$15.00	31.9%	8.8%	28.6%	54.1%	31.3%	7.1%	-3.1%	23.8M	-1.07B	-13.1M	0.24	6.39	232,299	55,083	2,045,787	1,632,777
2008-02-06	$16.28	$15.00	32.5%	8.7%	28.8%	55.9%	31.4%	6.8%	-3.0%	27.4M	-926.0M	-13.3M	0.38	7.77	130,431	50,079	2,121,978	1,644,417
2008-02-07	$16.61	$15.00	29.9%	8.7%	28.8%	48.2%	31.6%	7.3%	-1.5%	31.6M	-1.09B	-13.2M	1.02	9.98	116,961	119,427	2,076,303	1,668,993
2008-02-08	$16.25	$15.00	28.7%	8.4%	28.0%	44.9%	30.0%	5.8%	-2.5%	25.0M	-784.2M	-13.2M	1.39	7.96	81,702	113,655	2,085,099	1,735,056
2008-02-11	$16.53	$15.83	29.9%	8.4%	28.1%	48.2%	30.3%	7.1%	-2.1%	31.9M	-1.02B	-13.0M	1.08	9.05	45,120	48,825	2,108,343	1,761,021
2008-02-12	$16.75	$15.00	31.1%	8.4%	28.3%	51.9%	27.7%	6.0%	-1.5%	37.5M	-1.20B	-12.8M	0.60	13.51	132,969	79,788	2,086,353	1,716,834
2008-02-13	$16.89	$15.83	27.7%	8.2%	27.7%	41.9%	28.3%	6.5%	-1.8%	39.5M	-1.32B	-12.7M	0.35	7.26	69,531	24,075	2,115,630	1,747,452
2008-02-14	$16.66	$15.83	28.2%	8.1%	28.2%	43.4%	28.0%	4.7%	-1.3%	53.6M	-1.12B	-13.0M	0.69	6.53	55,953	38,808	2,158,266	1,753,185
2008-02-15	$16.48	$15.83	28.1%	8.1%	28.6%	43.0%	29.1%	4.2%	-1.1%	31.7M	-932.3M	-12.9M	1.33	7.15	105,786	140,328	2,137,134	1,761,852
2008-02-19	$16.55	$15.83	23.3%	6.7%	28.6%	28.8%	23.2%	3.6%	1.0%	23.5M	-945.3M	-12.6M	0.66	6.06	120,021	79,692	1,960,248	1,634,148
2008-02-20	$16.57	$15.83	22.2%	6.4%	26.1%	25.6%	22.9%	4.0%	0.7%	28.5M	-989.8M	-12.7M	0.68	7.29	44,055	30,102	2,015,025	1,655,649
2008-02-21	$16.60	$15.83	22.1%	6.3%	25.1%	25.5%	22.2%	3.3%	1.2%	27.2M	-996.3M	-12.6M	1.12	5.91	28,863	32,199	2,004,177	1,662,234
2008-02-22	$16.66	$15.83	21.9%	6.3%	23.4%	24.8%	21.8%	3.4%	2.0%	28.4M	-1.05B	-12.7M	2.11	7.52	28,923	60,999	2,010,276	1,676,532
2008-02-25	$16.78	$15.83	21.2%	6.1%	22.5%	22.7%	21.3%	3.7%	1.9%	30.4M	-1.13B	-12.5M	0.94	12.66	37,164	35,007	2,018,487	1,719,108
2008-02-26	$17.13	$15.83	19.7%	5.6%	23.2%	18.2%	21.7%	3.5%	1.9%	36.6M	-1.41B	-12.3M	1.03	5.03	72,519	75,018	2,039,127	1,718,373
2008-02-27	$17.14	$15.83	19.2%	5.5%	23.1%	16.9%	20.9%	3.6%	1.7%	38.2M	-1.42B	-12.6M	0.67	5.56	38,082	25,521	2,080,086	1,759,662
2008-02-28	$16.90	$15.83	21.4%	6.1%	23.9%	23.4%	21.1%	3.6%	0.8%	35.7M	-1.27B	-12.7M	1.59	6.06	105,267	167,061	2,097,123	1,764,402
2008-02-29	$16.53	$15.83	22.8%	6.5%	22.5%	27.5%	24.0%	3.3%	0.8%	19.9M	-892.1M	-13.2M	1.95	8.75	41,247	80,538	2,158,113	1,915,764