WMT Options History — June 2008

In June 2008, WMT traded between $18.73 and $19.93. ATM implied volatility averaged 22.9%, placing in the 25.8% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded below realized volatility by 0.4% (HV 20d: 23.3%). Max pain ranged from $18.33 to $19.17. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.85.

Notable Days

  • 2008-06-05: Highest Volume — 262,803 contracts
  • 2008-06-06: Largest IV spike — 17.7% change
  • 2008-06-30: Highest IV Rank — 35.6%
  • 2008-06-30: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.33$18.73$19.93$19.07$18.73
Max Pain$19.01$18.33$19.17$18.33$19.17
ATM IV22.9%19.4%26.6%19.9%26.6%
Expected Move6.6%5.6%7.6%5.7%7.6%
HV 20d23.3%17.8%25.9%18.3%25.7%
HV 60d20.1%18.9%21.4%20.1%19.9%
IV Rank25.8%16.1%35.6%17.8%35.6%
IV Percentile41.1%14.7%75.4%19.4%75.4%
Term Structure1.2%-0.1%1.9%0.6%1.0%
VWIV23.2%19.9%25.6%20.5%25.6%
Skew 25d3.2%2.4%4.1%2.9%3.3%
Skew 10d6.4%4.2%7.8%7.1%6.6%
Call IV 25d21.9%18.5%24.7%19.3%24.7%
Put IV 25d25.1%21.7%27.9%22.3%27.9%
Bid-Ask Spread %4.102.355.963.533.56
Gamma HHI0.180.130.240.180.13
Net GEX21.1M6.1M32.1M23.0M6.1M
Net DEX-1.58B-2.12B-868.7M-1.50B-868.7M
Net VEX-12.7M-13.4M-11.7M-12.4M-13.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.850.342.090.760.64
Total Volume115,407.28648,210262,80348,21086,817
Total OI4,072,165.2863,539,1424,400,1394,019,8863,691,242

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-06-02$19.07$18.3319.9%5.7%18.3%17.8%20.5%2.9%0.6%23.0M-1.50B-12.4M0.763.5327,39320,8171,855,4882,164,398
2008-06-03$19.26$18.3320.3%5.8%18.3%18.7%20.6%3.5%0.6%26.0M-1.66B-12.2M1.112.9942,61247,5081,861,4582,168,406
2008-06-04$19.23$18.3321.1%6.0%17.8%21.2%21.4%4.1%-0.1%23.4M-1.62B-12.3M2.092.3525,64153,6131,871,0222,200,230
2008-06-05$19.93$18.3319.4%5.6%21.6%16.1%19.9%3.1%1.0%26.8M-2.12B-11.7M0.423.08185,06777,7361,872,3902,236,782
2008-06-06$19.46$19.1722.8%6.6%23.6%26.3%22.6%3.6%1.1%23.9M-1.74B-12.9M0.845.57134,814112,8331,922,7002,255,088
2008-06-09$19.86$19.1721.8%6.5%24.5%23.4%22.6%3.7%1.1%30.0M-2.09B-12.4M1.003.2181,99982,3801,966,2422,286,924
2008-06-10$19.93$19.1721.5%6.5%24.1%22.4%22.7%3.8%1.4%30.0M-2.11B-12.5M0.644.0356,93436,3781,967,6072,317,701
2008-06-11$19.51$19.1725.0%7.1%23.8%32.9%24.0%3.6%1.2%25.4M-1.78B-13.0M0.764.0478,77160,0091,983,7802,323,149
2008-06-12$19.70$19.1722.7%6.5%23.5%26.0%22.8%3.6%1.5%28.9M-1.92B-13.0M0.544.5869,04537,2571,986,9812,335,563
2008-06-13$19.73$19.1722.8%6.5%23.4%26.4%23.0%3.3%1.6%30.4M-1.96B-12.9M0.475.9253,56525,2152,005,8722,338,569
2008-06-16$19.77$19.1723.1%6.6%23.3%27.1%23.6%2.7%0.9%32.1M-2.01B-12.5M0.345.9677,87426,6702,009,8652,341,314
2008-06-17$19.56$19.1723.5%6.8%23.3%28.6%22.8%2.4%0.8%27.8M-1.88B-12.4M0.465.8538,08517,6942,016,7382,339,166
2008-06-18$19.22$19.1724.1%6.9%24.1%30.1%24.5%2.5%1.0%20.5M-1.60B-12.7M1.013.4249,79450,4782,024,5112,337,543
2008-06-19$19.23$19.1723.7%6.8%23.5%26.7%24.7%2.9%0.9%18.5M-1.61B-12.6M1.094.1054,21359,2862,025,0362,348,337
2008-06-20$18.75$19.1724.3%7.0%24.8%28.4%25.3%2.7%1.3%13.6M-1.16B-12.9M0.955.10114,060108,3242,042,5292,357,610
2008-06-23$18.88$19.1723.5%6.7%24.9%25.9%24.2%2.9%1.7%10.2M-1.02B-13.0M0.784.6836,42028,3021,717,6051,821,537
2008-06-24$19.11$19.1723.7%6.8%24.9%26.4%23.7%3.1%1.9%13.4M-1.15B-13.1M1.284.7545,43858,0951,734,9901,836,582
2008-06-25$19.37$19.1723.1%6.6%25.0%24.8%22.7%2.6%1.9%15.5M-1.32B-13.0M0.503.8073,62937,0441,748,3101,883,982
2008-06-26$18.94$19.1724.2%6.9%25.7%28.1%24.4%2.7%1.6%9.9M-1.03B-13.2M1.302.5328,53337,0081,765,9381,893,174
2008-06-27$18.77$19.1724.7%7.1%25.9%29.7%25.1%3.5%1.5%7.1M-902.2M-13.4M0.812.9547,58638,6161,765,9381,893,174
2008-06-30$18.73$19.1726.6%7.6%25.7%35.6%25.6%3.3%1.0%6.1M-868.7M-13.1M0.643.5653,09133,7261,779,2701,911,972