WMT Options History — March 2008

In March 2008, WMT traded between $16.28 and $17.88. ATM implied volatility averaged 24.2%, placing in the 31.2% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 1.8% (HV 20d: 22.4%). Max pain ranged from $15.83 to $16.67. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.82.

Notable Days

  • 2008-03-11: Highest Volume — 962,979 contracts
  • 2008-03-10: Largest IV spike — 14.9% change
  • 2008-03-17: Highest IV Rank — 42.4%
  • 2008-03-17: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.01$16.28$17.88$16.63$17.56
Max Pain$16.50$15.83$16.67$15.83$16.67
ATM IV24.2%21.7%27.9%22.4%24.7%
Expected Move7.1%6.2%8.0%6.4%7.1%
HV 20d22.4%18.8%27.1%22.3%24.7%
HV 60d23.8%22.4%25.4%22.6%25.1%
IV Rank31.2%24.3%42.4%26.1%32.0%
IV Percentile60.8%46.8%86.5%50.8%62.3%
Term Structure1.2%-0.4%2.6%1.7%1.6%
VWIV24.9%22.0%29.2%22.9%24.8%
Skew 25d4.8%3.8%5.7%5.3%4.9%
Skew 10d10.6%8.5%13.4%12.2%10.8%
Call IV 25d22.5%20.2%25.4%20.2%22.7%
Put IV 25d27.3%24.9%30.7%25.5%27.6%
Bid-Ask Spread %9.653.9416.979.634.91
Gamma HHI0.190.170.300.180.18
Net GEX27.2M18.5M47.5M21.7M24.9M
Net DEX-1.05B-1.75B-685.7M-946.7M-1.13B
Net VEX-13.2M-13.5M-12.9M-13.2M-13.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.820.031.590.870.77
Total Volume170,364.353,481962,979167,28668,289
Total OI3,940,270.53,398,5624,217,4214,087,6323,570,828

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-03-03$16.63$15.8322.4%6.4%22.3%26.1%22.9%5.3%1.7%21.7M-946.7M-13.2M0.879.6389,68277,6042,151,4351,936,197
2008-03-04$16.62$15.8322.4%6.4%21.0%26.3%23.0%3.8%1.9%25.3M-986.3M-13.5M0.779.2249,23037,9952,200,4941,939,434
2008-03-05$16.52$15.8321.7%6.2%20.8%24.3%22.0%4.5%1.9%24.8M-880.2M-13.0M0.697.7471,56549,4342,177,2171,923,228
2008-03-06$16.66$15.8322.9%6.6%20.2%27.9%22.7%4.0%2.0%27.0M-1.01B-13.2M0.816.9265,92853,2382,185,0681,938,795
2008-03-07$16.63$16.6722.4%7.2%18.9%26.1%24.4%4.2%0.1%26.0M-980.0M-13.4M0.469.8273,89633,9242,205,0871,971,321
2008-03-10$16.28$16.6725.7%7.4%18.8%35.9%26.9%5.3%-0.1%18.5M-685.7M-13.2M1.016.6452,64153,1422,240,1481,977,273
2008-03-11$16.75$16.6722.0%7.1%20.5%25.1%25.1%5.0%0.2%28.4M-1.06B-13.1M0.0311.23932,61630,3632,219,9401,974,147
2008-03-12$16.76$16.6722.3%7.3%19.9%26.1%24.8%4.6%-0.2%28.0M-887.9M-13.2M1.0414.5331,80333,1202,064,1021,984,239
2008-03-13$16.87$16.6725.4%7.3%19.9%35.1%25.8%5.0%0.7%31.0M-968.3M-13.2M0.949.0956,27452,9322,070,7591,984,413
2008-03-14$16.61$16.6725.9%7.4%20.0%36.6%27.5%5.5%1.6%22.9M-771.2M-13.3M1.3414.1285,212114,2432,093,0251,984,644
2008-03-17$16.65$16.6727.9%8.0%19.7%42.4%29.2%5.3%-0.4%26.2M-781.5M-13.2M1.0113.7754,30954,9782,081,5712,009,070
2008-03-18$16.99$16.6725.0%7.2%20.9%34.0%24.3%4.9%1.1%35.1M-1.11B-12.9M0.608.04116,11869,1652,087,0582,015,805
2008-03-19$16.93$16.6726.3%7.5%20.9%37.6%25.5%5.0%0.0%34.6M-1.04B-13.1M0.7916.9770,78856,2322,099,1302,047,311
2008-03-20$17.74$16.6724.5%7.0%26.6%32.5%25.1%5.3%0.7%47.5M-1.75B-12.9M0.409.97283,776114,1592,100,3992,055,183
2008-03-24$17.88$16.6725.1%7.2%26.6%34.2%23.2%5.1%1.2%26.1M-1.34B-12.9M0.7412.6571,54452,6921,767,7471,630,815
2008-03-25$17.68$16.6724.4%7.0%27.1%32.0%27.1%4.3%2.1%25.7M-1.26B-13.1M1.429.1058,55482,9321,810,9321,660,710
2008-03-26$17.63$16.6724.1%6.9%26.2%30.1%22.7%5.7%2.6%24.0M-1.20B-13.4M0.377.2051,59118,9781,834,3081,705,659
2008-03-27$17.46$16.6724.2%6.9%26.5%30.6%25.0%4.0%2.5%22.8M-1.09B-13.4M0.707.4431,44922,0321,852,8331,707,972
2008-03-28$17.37$16.6723.7%6.8%26.0%29.1%25.5%4.4%2.2%22.9M-1.04B-13.4M1.593.9432,73052,1281,857,3211,689,792
2008-03-31$17.56$16.6724.7%7.1%24.7%32.0%24.8%4.9%1.6%24.9M-1.13B-13.3M0.774.9138,55929,7301,855,3441,715,484