WMT Options History — August 2008 In August 2008, WMT traded between $18.99 and $20.25. ATM implied volatility averaged 28.2%, placing in the 33.2% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded below realized volatility by 4.8% (HV 20d: 33.1%). 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 16 of 21 days. Put/call ratio averaged 0.87.
Notable Days 2008-08-12 : Highest Volume — 629,853 contracts2008-08-14 : Largest IV drop — 47.0% change2008-08-13 : Highest IV Rank — 100.0%2008-08-01 : Largest Expected Move — 8.8%Monthly Statistics Metric Avg Min Max Open Close Price $19.59 $18.99 $20.25 $19.25 $19.69 Max Pain $18.37 $18.33 $19.17 $19.17 $18.33 ATM IV 28.2% 21.2% 50.2% 30.8% 21.7% Expected Move 7.3% 6.1% 8.8% 8.8% 6.2% HV 20d 33.1% 25.4% 36.5% 27.8% 32.5% HV 60d 27.4% 23.9% 28.4% 23.9% 27.5% IV Rank 33.2% 9.8% 100.0% 43.2% 11.4% IV Percentile 60.3% 11.1% 100.0% 90.5% 14.3% Term Structure 0.9% -3.5% 3.3% -3.5% 1.9% VWIV 25.6% 22.0% 30.3% 30.3% 22.7% Skew 25d 5.2% 4.6% 6.4% 4.8% 5.4% Skew 10d 10.0% 8.8% 12.3% 9.3% 10.3% Call IV 25d 23.0% 19.3% 28.2% 28.2% 20.5% Put IV 25d 28.2% 24.4% 33.0% 33.0% 25.8% Bid-Ask Spread % 2.83 1.56 5.34 2.16 2.19 Gamma HHI 0.16 0.13 0.22 0.14 0.18 Net GEX 22.3M 9.2M 36.6M 12.3M 27.1M Net DEX -1.42B -1.93B -923.2M -1.12B -1.50B Net VEX -12.7M -13.3M -11.9M -13.3M -11.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.87 0.17 1.86 1.03 1.86 Total Volume 145,684.857 45,579 629,853 82,065 45,579 Total OI 4,182,910 4,041,072 4,346,037 4,095,747 4,215,423
Daily Data (21 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 2008-08-01 $19.25 $19.17 30.8% 8.8% 27.8% 43.2% 30.3% 4.8% -3.5% 12.3M -1.12B -13.3M 1.03 2.16 40,419 41,646 1,915,689 2,180,058 2008-08-04 $19.48 $18.33 33.5% 8.0% 28.0% 52.5% 27.1% 5.9% -0.1% 16.9M -1.29B -13.2M 0.56 3.63 39,363 22,218 1,925,583 2,186,262 2008-08-05 $20.11 $18.33 29.7% 7.4% 27.1% 39.6% 26.5% 6.4% 0.1% 26.9M -1.80B -12.7M 0.57 2.54 88,200 50,691 1,940,562 2,184,546 2008-08-06 $20.25 $18.33 29.6% 7.3% 25.4% 39.3% 25.5% 5.5% 0.6% 29.2M -1.93B -12.7M 0.59 2.29 85,485 50,037 1,960,023 2,197,188 2008-08-07 $18.99 $18.33 30.2% 8.0% 34.7% 41.5% 28.0% 4.8% -0.3% 9.2M -923.2M -13.3M 1.52 4.45 114,921 175,134 1,977,264 2,211,222 2008-08-08 $19.29 $18.33 29.6% 7.9% 34.6% 39.4% 28.1% 4.9% 0.0% 14.2M -1.13B -13.3M 1.13 3.83 56,091 63,222 1,997,970 2,254,152 2008-08-11 $19.52 $18.33 36.7% 8.3% 34.8% 63.3% 27.5% 5.5% -0.9% 20.7M -1.35B -13.1M 0.57 3.63 103,935 58,758 2,009,316 2,250,375 2008-08-12 $19.75 $18.33 39.2% 7.8% 35.0% 71.9% 28.8% 5.7% 0.4% 24.9M -1.57B -13.0M 0.17 3.15 537,936 91,917 2,026,626 2,259,063 2008-08-13 $19.29 $18.33 50.2% 8.5% 35.9% 100.0% 29.6% 5.0% -0.2% 14.0M -1.17B -13.3M 1.22 5.34 139,248 169,269 2,000,826 2,285,457 2008-08-14 $19.37 $18.33 26.6% 7.6% 35.7% 26.7% 25.9% 4.6% 1.6% 16.2M -1.23B -12.8M 0.31 4.53 188,820 58,392 2,002,941 2,316,990 2008-08-15 $19.79 $18.33 23.5% 6.7% 36.5% 17.1% 24.2% 5.1% 3.3% 36.6M -1.66B -12.6M 0.83 3.84 89,724 74,349 2,043,948 2,302,089 2008-08-18 $19.61 $18.33 23.7% 6.8% 36.4% 17.5% 24.4% 5.1% 1.6% 20.7M -1.44B -12.5M 0.64 2.33 55,662 35,892 1,885,572 2,155,500 2008-08-19 $19.40 $18.33 25.8% 7.4% 35.0% 24.2% 25.0% 5.2% 1.2% 18.4M -1.27B -12.7M 1.02 2.53 40,197 41,097 1,913,511 2,170,698 2008-08-20 $19.45 $18.33 25.1% 7.2% 34.5% 22.0% 24.2% 4.8% 1.4% 20.7M -1.32B -12.5M 0.88 1.70 31,569 27,705 1,922,334 2,173,290 2008-08-21 $19.50 $18.33 25.2% 7.2% 33.7% 22.3% 24.1% 5.1% 1.4% 21.8M -1.36B -12.6M 0.63 1.58 47,583 30,189 1,933,194 2,178,219 2008-08-22 $19.81 $18.33 21.2% 6.1% 34.1% 9.8% 22.4% 5.1% 3.0% 28.4M -1.58B -12.2M 1.03 1.83 47,106 48,633 1,937,082 2,184,324 2008-08-25 $19.52 $18.33 24.8% 7.1% 34.1% 20.9% 23.9% 5.1% 1.3% 23.1M -1.36B -12.2M 1.06 2.18 33,234 35,256 1,953,216 2,207,679 2008-08-26 $19.67 $18.33 22.2% 6.4% 33.1% 12.9% 23.8% 5.1% 2.1% 25.9M -1.48B -12.1M 0.70 1.94 32,346 22,539 1,959,651 2,220,885 2008-08-27 $19.76 $18.33 21.8% 6.3% 32.5% 11.8% 23.8% 5.5% 2.4% 27.7M -1.54B -12.0M 1.22 2.25 33,168 40,506 1,966,122 2,228,181 2008-08-28 $19.96 $18.33 21.4% 6.1% 32.6% 10.4% 22.0% 5.1% 2.0% 32.5M -1.70B -12.0M 0.79 1.56 39,882 31,464 1,976,034 2,232,045 2008-08-29 $19.69 $18.33 21.7% 6.2% 32.5% 11.4% 22.7% 5.4% 1.9% 27.1M -1.50B -11.9M 1.86 2.19 15,909 29,670 1,977,138 2,238,285
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