WMT Options History — May 2008

In May 2008, WMT traded between $18.41 and $19.36. ATM implied volatility averaged 23.1%, placing in the 27.2% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 6.2% (HV 20d: 16.9%). Max pain ranged from $16.67 to $18.33. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.08.

Notable Days

  • 2008-05-13: Highest Volume — 1,875,855 contracts
  • 2008-05-12: Largest IV spike — 30.3% change
  • 2008-05-12: Highest IV Rank — 54.5%
  • 2008-05-02: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.97$18.41$19.36$19.36$19.25
Max Pain$17.82$16.67$18.33$18.33$18.33
ATM IV23.1%18.0%32.2%26.8%19.2%
Expected Move6.2%5.5%7.8%7.7%5.5%
HV 20d16.9%14.6%19.1%14.6%18.4%
HV 60d20.2%19.5%20.8%20.8%20.0%
IV Rank27.2%12.1%54.5%38.4%15.5%
IV Percentile44.4%12.7%96.8%78.2%13.1%
Term Structure0.8%-4.2%3.2%-4.2%1.0%
VWIV22.1%19.3%27.8%26.8%19.3%
Skew 25d2.5%1.6%3.4%3.4%2.9%
Skew 10d5.3%3.2%7.5%6.2%6.9%
Call IV 25d20.7%18.2%26.2%24.9%18.2%
Put IV 25d23.2%21.1%28.3%28.3%21.1%
Bid-Ask Spread %3.222.074.463.713.09
Gamma HHI0.150.140.190.150.18
Net GEX20.8M14.3M28.5M19.6M24.9M
Net DEX-1.53B-2.00B-1.03B-1.92B-1.65B
Net VEX-12.5M-13.0M-11.8M-12.6M-12.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.080.082.610.651.74
Total Volume182,640.57131,8721,875,85579,51261,020
Total OI4,034,323.4293,811,5304,248,6514,057,8183,989,919

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-05-01$19.36$18.3326.8%7.7%14.6%38.4%26.8%3.4%-4.2%19.6M-1.92B-12.6M0.653.7148,15331,3591,932,9782,124,840
2008-05-02$19.17$18.3327.2%7.8%14.6%39.4%27.8%2.1%-4.1%18.3M-1.79B-13.0M1.403.6160,02484,1921,931,9972,119,632
2008-05-05$18.99$16.6728.6%6.6%15.1%43.7%23.8%2.8%0.6%16.9M-1.67B-12.9M1.403.0727,38138,2951,942,6862,143,239
2008-05-06$18.78$16.6728.1%6.3%15.8%42.2%22.4%2.6%1.0%16.3M-1.53B-12.8M0.853.1346,76739,9121,955,0042,150,430
2008-05-07$18.94$16.6729.4%6.5%15.7%46.0%23.4%2.7%0.8%19.0M-1.65B-12.7M1.192.8528,88434,4371,961,9702,146,215
2008-05-08$19.05$16.6725.0%6.5%15.5%33.0%22.7%2.4%1.2%21.0M-1.75B-12.8M0.562.9361,95934,8361,973,1842,154,228
2008-05-09$19.06$16.6724.7%6.5%15.5%32.1%23.2%2.1%1.1%21.3M-1.77B-12.6M1.422.4517,66425,1521,985,8262,163,501
2008-05-12$19.34$16.6732.2%6.7%16.1%54.5%23.6%1.6%0.8%26.5M-2.00B-12.2M0.803.78134,175107,3071,989,5852,161,383
2008-05-13$18.88$17.5023.5%6.1%17.3%28.6%21.9%1.7%1.6%19.6M-1.60B-12.3M0.084.461,730,484145,3712,028,7502,219,901
2008-05-14$19.15$18.3318.0%5.9%17.3%12.1%20.9%1.9%2.1%25.8M-1.56B-12.2M0.763.1284,60064,5991,864,1132,248,425
2008-05-15$19.04$18.3320.1%5.8%17.2%18.2%21.2%2.3%2.3%28.5M-1.48B-11.9M1.024.0426,83827,4861,862,2382,221,890
2008-05-16$19.01$18.3319.5%5.6%17.0%16.6%20.0%2.1%3.2%24.1M-1.41B-11.8M2.613.8833,77188,1041,867,5452,218,020
2008-05-19$18.80$18.3319.3%5.5%17.5%15.7%19.8%2.3%1.1%19.7M-1.33B-12.1M1.323.0454,72672,2761,757,5052,054,025
2008-05-20$18.65$18.3320.8%6.0%17.7%20.3%21.2%2.5%1.1%16.3M-1.17B-12.5M1.532.9852,40180,4301,779,3422,091,504
2008-05-21$18.41$18.3321.2%6.1%18.0%21.5%21.8%2.3%1.1%14.3M-1.03B-12.9M1.553.4127,15642,1141,804,0352,124,423
2008-05-22$18.68$18.3320.9%6.0%18.6%20.7%20.6%2.7%1.1%18.8M-1.24B-12.6M1.033.2256,40058,0051,801,6292,113,626
2008-05-23$18.58$18.3320.9%6.0%18.5%20.7%21.2%3.0%1.4%17.1M-1.16B-12.9M1.053.6015,56116,3111,840,0502,141,910
2008-05-27$18.80$18.3319.9%5.7%19.1%17.6%22.0%3.1%1.1%19.8M-1.32B-12.4M0.992.0730,14129,9131,818,5012,116,767
2008-05-28$19.03$18.3319.6%5.6%17.8%16.9%20.2%2.8%1.2%22.6M-1.49B-12.2M0.492.4437,80618,4951,824,4742,127,111
2008-05-29$19.31$18.3319.9%5.7%18.3%17.7%20.9%3.2%1.0%25.9M-1.66B-12.3M0.292.80124,42836,5191,836,1562,132,235
2008-05-30$19.25$18.3319.2%5.5%18.4%15.5%19.3%2.9%1.0%24.9M-1.65B-12.3M1.743.0922,25738,7631,848,8672,141,052