WMT Options History — July 2008

In July 2008, WMT traded between $18.67 and $19.70. ATM implied volatility averaged 29.5%, placing in the 40.8% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 4.4% (HV 20d: 25.1%). Max pain ranged from $19.17 to $19.17. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 1.05.

Notable Days

2008-07-17: Highest Volume — 362,274 contracts
2008-07-23: Largest IV spike — 14.8% change
2008-07-28: Highest IV Rank — 53.6%
2008-07-28: Largest Expected Move — 9.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$19.11	$18.67	$19.70	$19.01	$19.54
Max Pain	$19.17	$19.17	$19.17	$19.17	$19.17
ATM IV	29.5%	25.0%	33.8%	25.0%	31.3%
Expected Move	8.5%	7.2%	9.7%	7.2%	9.0%
HV 20d	25.1%	21.0%	27.5%	26.0%	27.2%
HV 60d	22.1%	20.1%	23.9%	20.1%	23.8%
IV Rank	40.8%	27.1%	53.6%	30.5%	45.1%
IV Percentile	86.0%	59.9%	98.4%	59.9%	93.3%
Term Structure	-1.6%	-4.0%	2.4%	1.7%	-3.7%
VWIV	29.8%	25.9%	32.1%	25.9%	30.0%
Skew 25d	5.2%	3.7%	7.0%	4.0%	6.2%
Skew 10d	10.4%	6.7%	13.1%	9.5%	11.6%
Call IV 25d	27.4%	23.8%	30.2%	23.8%	27.2%
Put IV 25d	32.6%	27.9%	35.7%	27.9%	33.4%
Bid-Ask Spread %	3.84	2.33	5.69	3.28	3.32
Gamma HHI	0.14	0.12	0.19	0.14	0.15
Net GEX	10.6M	-3.6M	21.5M	10.7M	17.2M
Net DEX	-1.07B	-1.51B	-157.4M	-1.06B	-1.33B
Net VEX	-13.0M	-13.6M	-6.2M	-13.2M	-13.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.05	0.44	3.28	0.83	1.53
Total Volume	116,035.5	40,248	362,274	83,139	88,437
Total OI	3,805,301.727	1,858,197	4,142,136	3,692,376	4,062,387

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
2008-07-01	$19.01	$19.17	25.0%	7.2%	26.0%	30.5%	25.9%	4.0%	1.7%	10.7M	-1.06B	-13.2M	0.83	3.28	45,312	37,827	1,784,772	1,907,604
2008-07-02	$18.83	$19.17	25.7%	7.4%	26.2%	32.7%	26.4%	3.7%	1.6%	8.2M	-943.7M	-13.2M	0.67	3.77	36,363	24,456	1,794,498	1,922,517
2008-07-03	$18.87	$19.17	25.0%	7.2%	22.3%	30.7%	25.9%	3.7%	2.4%	8.6M	-964.1M	-13.1M	0.79	2.78	28,035	22,173	1,804,056	1,925,613
2008-07-07	$18.97	$19.17	28.5%	8.3%	21.0%	41.4%	29.6%	5.4%	-1.2%	10.0M	-1.02B	-13.1M	1.25	5.39	69,681	87,420	1,812,696	1,933,986
2008-07-08	$19.70	$19.17	25.4%	7.7%	24.1%	29.8%	28.4%	5.9%	-1.1%	21.5M	-1.51B	-12.9M	1.02	3.48	78,789	80,718	1,833,459	1,972,224
2008-07-09	$19.22	$19.17	29.1%	8.6%	25.5%	41.7%	29.8%	5.0%	-1.8%	10.7M	-1.19B	-13.3M	0.73	5.69	68,901	50,370	1,863,186	2,006,997
2008-07-10	$19.07	$19.17	30.3%	8.7%	24.6%	45.3%	30.6%	4.9%	-1.5%	9.3M	-1.07B	-13.6M	0.75	5.08	72,420	54,051	1,886,133	2,004,294
2008-07-11	$18.76	$19.17	31.0%	8.9%	24.7%	44.0%	32.1%	4.6%	-1.7%	3.8M	-893.0M	-13.6M	1.63	4.88	59,442	97,059	1,899,306	2,004,243
2008-07-14	$18.77	$19.17	31.7%	9.1%	24.7%	46.4%	31.3%	4.9%	-1.9%	-3.6M	-157.4M	-6.2M	0.44	5.41	41,547	18,192	882,258	975,939
2008-07-15	$18.75	$19.17	33.3%	9.6%	24.7%	52.0%	32.0%	5.4%	-2.4%	547.6K	-845.9M	-13.5M	0.82	4.21	58,317	47,670	1,909,470	2,042,178
2008-07-16	$18.99	$19.17	30.7%	8.8%	25.1%	43.1%	31.3%	5.7%	-1.6%	5.8M	-1.03B	-13.3M	1.31	4.62	38,175	49,845	1,919,904	2,037,792
2008-07-17	$19.23	$19.17	31.4%	9.0%	24.8%	45.2%	30.7%	5.2%	-2.8%	10.8M	-1.22B	-13.3M	0.74	5.34	207,687	154,587	1,929,273	2,056,836
2008-07-18	$19.31	$19.17	29.8%	8.5%	24.8%	39.9%	29.8%	5.5%	-2.1%	15.8M	-1.28B	-13.6M	1.51	5.01	50,445	76,329	2,024,703	2,117,433
2008-07-21	$19.10	$19.17	29.4%	8.4%	23.4%	38.5%	29.4%	4.9%	-2.0%	12.0M	-1.10B	-13.3M	0.95	2.33	49,125	46,617	1,815,561	2,019,282
2008-07-22	$19.69	$19.17	26.0%	7.5%	25.5%	27.1%	27.1%	5.2%	-0.6%	19.2M	-1.47B	-13.0M	0.82	2.39	66,285	54,360	1,828,683	2,024,667
2008-07-23	$19.36	$19.17	29.9%	8.6%	26.1%	40.2%	29.8%	5.2%	-2.3%	15.2M	-1.23B	-13.3M	1.40	2.36	57,219	80,304	1,849,215	2,040,567
2008-07-24	$18.99	$19.17	30.8%	8.8%	26.5%	43.5%	32.0%	5.5%	-2.3%	7.8M	-961.1M	-13.5M	0.73	2.43	41,985	30,495	1,856,703	2,083,635
2008-07-25	$18.94	$19.17	29.7%	8.5%	25.3%	39.7%	29.9%	5.7%	-1.8%	9.5M	-953.1M	-13.5M	0.47	3.52	40,833	19,281	1,872,837	2,069,661
2008-07-28	$18.67	$19.17	33.8%	9.7%	25.6%	53.6%	31.9%	5.5%	-4.0%	7.0M	-784.6M	-13.3M	0.62	3.13	24,906	15,342	1,894,398	2,077,914
2008-07-29	$19.15	$19.17	31.0%	8.9%	27.1%	44.1%	31.9%	6.3%	-3.3%	13.6M	-1.12B	-13.1M	0.75	3.29	41,250	30,792	1,894,008	2,080,125
2008-07-30	$19.52	$19.17	30.9%	8.9%	27.5%	43.8%	29.8%	7.0%	-3.5%	19.3M	-1.36B	-13.0M	3.28	2.66	48,969	160,770	1,903,425	2,092,200
2008-07-31	$19.54	$19.17	31.3%	9.0%	27.2%	45.1%	30.0%	6.2%	-3.7%	17.2M	-1.33B	-13.3M	1.53	3.32	34,959	53,478	1,908,306	2,154,081