WMT Options History — September 2008 In September 2008, WMT traded between $19.47 and $21.06. ATM implied volatility averaged 29.7%, placing in the 36.2% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 4.1% (HV 20d: 25.6%). Max pain ranged from $18.33 to $20.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 1.10.
Notable Days 2008-09-19 : Highest Volume — 448,170 contracts2008-09-09 : Largest IV spike — 26.4% change2008-09-29 : Highest IV Rank — 67.4%2008-09-29 : Largest Expected Move — 11.4%Monthly Statistics Metric Avg Min Max Open Close Price $20.17 $19.47 $21.06 $19.88 $19.96 Max Pain $19.76 $18.33 $20.00 $18.33 $20.00 ATM IV 29.7% 22.5% 39.7% 23.2% 33.9% Expected Move 8.6% 6.6% 11.4% 6.7% 9.7% HV 20d 25.6% 18.9% 32.9% 32.5% 32.9% HV 60d 28.1% 26.6% 30.7% 27.2% 30.7% IV Rank 36.2% 14.0% 67.4% 16.1% 49.2% IV Percentile 74.1% 23.4% 99.2% 31.0% 96.4% Term Structure -0.9% -5.0% 1.5% 1.2% -1.2% VWIV 30.4% 23.3% 37.6% 23.3% 34.1% Skew 25d 6.0% 4.0% 8.7% 5.1% 6.8% Skew 10d 11.8% 8.3% 16.4% 11.2% 14.4% Call IV 25d 27.5% 21.5% 34.9% 21.5% 32.0% Put IV 25d 33.5% 25.8% 43.6% 26.6% 38.7% Bid-Ask Spread % 5.16 1.76 12.38 1.76 8.54 Gamma HHI 0.19 0.14 0.50 0.18 0.16 Net GEX 28.5M 575.2K 79.5M 31.0M 11.7M Net DEX -1.70B -2.54B -895.7M -1.65B -1.20B Net VEX -11.7M -12.7M -10.9M -11.6M -12.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.10 0.34 2.43 1.19 0.66 Total Volume 184,325.714 78,360 448,170 100,098 108,882 Total OI 4,251,920.714 3,713,934 4,752,708 4,224,099 3,974,271
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 2008-09-02 $19.88 $18.33 23.2% 6.7% 32.5% 16.1% 23.3% 5.1% 1.2% 31.0M -1.65B -11.6M 1.19 1.76 45,762 54,336 1,977,129 2,246,970 2008-09-03 $19.93 $18.33 23.2% 6.6% 30.3% 15.9% 24.4% 4.0% 1.5% 30.7M -1.65B -11.5M 2.43 2.42 37,104 90,180 1,984,848 2,270,346 2008-09-04 $19.93 $18.33 24.3% 7.0% 30.2% 19.5% 24.5% 4.2% 1.2% 30.9M -1.68B -11.4M 1.05 2.41 72,249 75,504 1,989,822 2,276,589 2008-09-05 $20.25 $20.00 24.6% 7.4% 19.2% 20.5% 25.8% 4.7% 0.6% 36.1M -1.93B -11.6M 0.83 4.06 59,562 49,446 2,007,813 2,283,849 2008-09-08 $20.67 $20.00 22.5% 7.0% 19.6% 14.0% 24.9% 5.2% 1.1% 42.0M -2.25B -11.0M 1.93 2.38 77,625 149,667 2,023,092 2,296,479 2008-09-09 $20.38 $20.00 28.5% 8.0% 20.3% 32.4% 27.2% 5.0% -0.3% 36.5M -2.04B -11.5M 1.26 2.75 60,081 75,663 2,046,057 2,331,885 2008-09-10 $20.67 $20.00 24.1% 7.4% 20.5% 18.8% 27.0% 5.1% 0.9% 40.3M -2.25B -11.2M 1.05 4.39 52,977 55,725 2,041,653 2,335,089 2008-09-11 $21.06 $20.00 26.2% 7.5% 18.9% 25.3% 26.8% 4.9% 0.9% 42.4M -2.54B -10.9M 0.79 3.72 109,479 86,934 2,046,297 2,346,120 2008-09-12 $20.80 $20.00 27.5% 7.9% 19.8% 29.5% 27.9% 5.2% 0.5% 38.2M -2.38B -11.3M 1.86 4.85 79,773 148,287 2,088,198 2,368,776 2008-09-15 $20.54 $20.00 30.1% 8.6% 19.3% 37.5% 32.0% 6.1% -0.8% 34.7M -2.11B -11.5M 2.22 5.57 78,966 175,215 2,085,804 2,419,209 2008-09-16 $20.71 $20.00 29.6% 8.5% 19.0% 35.8% 31.0% 6.3% -0.6% 36.5M -2.21B -11.5M 1.19 5.11 142,104 168,768 2,082,489 2,460,735 2008-09-17 $19.88 $20.00 37.0% 10.6% 24.2% 59.1% 37.6% 8.1% -5.0% 18.7M -1.38B -12.7M 1.22 7.04 158,877 193,287 2,107,578 2,510,820 2008-09-18 $20.49 $20.00 32.7% 9.4% 26.3% 45.5% 36.7% 7.7% -3.9% 37.4M -2.10B -11.6M 1.19 9.44 156,081 185,142 2,128,395 2,531,733 2008-09-19 $19.90 $20.00 33.2% 9.5% 28.7% 47.2% 32.5% 6.5% -4.5% 79.5M -1.59B -11.9M 0.34 5.75 335,487 112,683 2,153,658 2,599,050 2008-09-22 $19.63 $20.00 32.7% 9.4% 28.5% 45.6% 33.9% 6.0% -1.7% 575.2K -971.1M -12.0M 0.54 5.58 115,668 62,373 1,674,030 2,039,904 2008-09-23 $19.47 $20.00 35.6% 10.2% 28.2% 54.6% 34.3% 6.8% -2.3% 5.3M -895.7M -12.5M 0.64 3.37 63,678 40,545 1,791,078 2,076,996 2008-09-24 $19.64 $20.00 33.3% 9.6% 28.2% 47.5% 35.2% 6.9% -1.7% 7.9M -1.01B -12.4M 0.80 4.60 43,560 34,800 1,814,034 2,083,560 2008-09-25 $20.04 $20.00 30.1% 8.6% 29.1% 37.4% 30.1% 6.3% -0.4% 12.7M -1.28B -11.9M 0.47 5.17 79,755 37,260 1,811,883 2,091,987 2008-09-26 $20.24 $20.00 31.5% 9.0% 29.1% 41.9% 31.2% 6.2% -1.2% 16.0M -1.41B -11.9M 0.63 7.02 65,763 41,724 1,833,972 2,092,833 2008-09-29 $19.48 $20.00 39.7% 11.4% 31.8% 67.4% 37.2% 8.7% -2.5% 10.5M -1.16B -12.1M 0.88 12.38 47,811 42,057 1,851,900 2,113,404 2008-09-30 $19.96 $20.00 33.9% 9.7% 32.9% 49.2% 34.1% 6.8% -1.2% 11.7M -1.20B -12.0M 0.66 8.54 65,421 43,461 1,857,252 2,117,019
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