WMT Options History — April 2008

In April 2008, WMT traded between $18.03 and $19.54. ATM implied volatility averaged 23.4%, placing in the 28.2% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 3.0% (HV 20d: 20.4%). Max pain ranged from $16.67 to $18.33. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 1.22.

Notable Days

2008-04-17: Highest Volume — 258,468 contracts
2008-04-15: Largest IV drop — 7.9% change
2008-04-30: Highest IV Rank — 36.4%
2008-04-30: Largest Expected Move — 7.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$18.64	$18.03	$19.54	$18.03	$19.33
Max Pain	$17.77	$16.67	$18.33	$16.67	$18.33
ATM IV	23.4%	21.8%	26.2%	21.8%	26.2%
Expected Move	6.8%	6.3%	7.5%	6.3%	7.5%
HV 20d	20.4%	13.8%	26.2%	26.0%	14.7%
HV 60d	23.2%	20.9%	25.4%	25.4%	20.9%
IV Rank	28.2%	23.5%	36.4%	23.5%	36.4%
IV Percentile	50.9%	38.9%	73.0%	40.9%	73.0%
Term Structure	-0.8%	-3.7%	1.9%	1.9%	-3.5%
VWIV	24.7%	22.9%	26.7%	24.0%	26.4%
Skew 25d	3.7%	2.3%	5.0%	5.0%	2.8%
Skew 10d	8.8%	4.6%	11.7%	11.4%	11.7%
Call IV 25d	22.4%	21.3%	24.3%	21.4%	24.3%
Put IV 25d	26.1%	24.0%	28.2%	26.4%	27.1%
Bid-Ask Spread %	4.72	2.61	15.28	4.54	15.28
Gamma HHI	0.20	0.15	0.25	0.20	0.15
Net GEX	29.3M	20.5M	38.5M	30.8M	20.5M
Net DEX	-1.77B	-2.25B	-1.45B	-1.45B	-1.93B
Net VEX	-12.7M	-13.2M	-11.9M	-13.1M	-12.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.22	0.61	1.87	1.06	1.24
Total Volume	117,884.045	50,652	258,468	143,445	158,937
Total OI	3,833,383.636	3,586,113	4,121,808	3,586,113	4,009,950

Daily Data (22 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
2008-04-01	$18.03	$16.67	21.8%	6.3%	26.0%	23.5%	24.0%	5.0%	1.9%	30.8M	-1.45B	-13.1M	1.06	4.54	69,567	73,878	1,860,630	1,725,483
2008-04-02	$18.15	$16.67	22.6%	6.5%	26.0%	25.8%	24.4%	3.6%	1.5%	32.1M	-1.56B	-13.1M	1.43	5.84	34,728	49,632	1,900,374	1,768,071
2008-04-03	$18.31	$16.67	23.8%	6.8%	25.7%	29.3%	24.2%	4.0%	1.1%	31.5M	-1.66B	-12.9M	0.98	5.04	46,707	45,831	1,903,599	1,785,696
2008-04-04	$18.13	$17.50	23.7%	7.2%	26.2%	29.1%	26.7%	5.0%	-1.0%	31.0M	-1.48B	-13.2M	1.55	5.25	21,900	33,939	1,918,554	1,808,256
2008-04-07	$18.08	$17.50	23.5%	7.1%	26.2%	28.3%	25.8%	4.7%	-1.0%	31.1M	-1.50B	-12.9M	1.13	6.60	27,759	31,404	1,921,350	1,818,981
2008-04-08	$18.15	$17.50	22.6%	6.9%	24.4%	25.7%	25.9%	4.6%	-0.8%	33.5M	-1.55B	-12.8M	0.64	4.63	30,972	19,680	1,932,240	1,827,201
2008-04-09	$18.05	$17.50	23.1%	7.0%	23.2%	27.4%	24.9%	4.4%	-0.8%	33.2M	-1.50B	-12.9M	1.87	4.90	37,413	70,125	1,944,870	1,826,433
2008-04-10	$18.22	$17.50	23.8%	6.8%	23.2%	29.4%	24.3%	4.2%	-0.7%	34.4M	-1.63B	-12.7M	0.76	4.44	94,110	71,607	1,952,409	1,854,834
2008-04-11	$18.27	$17.50	24.5%	7.0%	23.2%	31.4%	26.0%	4.0%	-0.7%	35.6M	-1.68B	-12.7M	0.96	5.02	37,944	36,432	1,969,932	1,863,852
2008-04-14	$18.38	$17.50	25.1%	7.2%	22.0%	33.1%	24.6%	3.9%	-1.2%	37.2M	-1.77B	-12.6M	0.78	4.85	31,797	24,816	1,966,929	1,854,267
2008-04-15	$18.76	$17.50	23.1%	6.6%	22.7%	27.2%	24.4%	4.2%	-0.7%	37.6M	-2.04B	-12.2M	0.88	3.51	91,599	80,661	1,974,333	1,856,082
2008-04-16	$19.02	$17.50	23.1%	6.6%	22.2%	27.1%	24.3%	3.5%	-0.9%	38.5M	-2.25B	-11.9M	1.81	3.49	70,725	127,770	2,011,524	1,890,054
2008-04-17	$18.89	$18.33	23.3%	6.7%	22.4%	27.7%	23.9%	3.4%	-1.0%	31.9M	-2.12B	-12.2M	1.77	3.64	93,453	165,015	2,006,676	1,966,494
2008-04-18	$18.77	$18.33	22.3%	6.4%	16.5%	24.8%	24.0%	3.6%	-0.6%	23.0M	-1.94B	-13.1M	1.69	3.64	44,472	75,105	2,033,271	2,088,537
2008-04-21	$18.79	$18.33	22.3%	6.4%	16.4%	24.9%	23.2%	3.6%	-0.6%	20.9M	-1.66B	-12.6M	1.04	3.41	67,248	69,966	1,855,179	1,931,010
2008-04-22	$18.85	$18.33	22.5%	6.4%	15.7%	25.4%	24.4%	3.4%	-0.5%	22.1M	-1.70B	-12.7M	1.33	3.03	27,504	36,642	1,857,471	1,925,736
2008-04-23	$18.97	$18.33	22.5%	6.4%	15.5%	25.4%	24.5%	3.3%	-0.6%	22.5M	-1.78B	-12.8M	1.20	2.61	28,557	34,236	1,887,642	1,982,523
2008-04-24	$19.15	$18.33	22.4%	6.4%	14.8%	25.0%	22.9%	2.8%	-0.5%	24.1M	-1.90B	-12.4M	0.61	4.34	62,199	37,866	1,890,495	1,973,685
2008-04-25	$19.22	$18.33	23.4%	6.7%	14.3%	28.0%	24.0%	2.6%	-1.6%	25.0M	-1.92B	-12.7M	1.34	2.99	42,585	56,868	1,906,344	1,983,276
2008-04-28	$19.12	$18.33	24.7%	7.1%	14.6%	32.0%	25.6%	2.7%	-2.6%	23.4M	-1.86B	-12.5M	1.21	3.98	64,887	78,228	1,913,010	2,020,134
2008-04-29	$19.54	$18.33	25.4%	7.3%	13.8%	34.2%	25.6%	2.3%	-3.7%	24.4M	-2.14B	-12.2M	1.60	2.88	72,495	116,190	1,914,996	2,052,057
2008-04-30	$19.33	$18.33	26.2%	7.5%	14.7%	36.4%	26.4%	2.8%	-3.5%	20.5M	-1.93B	-12.5M	1.24	15.28	71,055	87,882	1,917,204	2,092,746