WMT Options History — October 2008

In October 2008, WMT traded between $16.56 and $19.91. ATM implied volatility averaged 55.1%, placing in the 73.5% IV rank vs the trailing year. The 30-day expected move averaged 14.8%. IV traded above realized volatility by 1.0% (HV 20d: 54.1%). Max pain ranged from $18.33 to $20.00. Net GEX was positive for 8 of 23 trading days. Term structure was in contango for 0 of 23 days. Put/call ratio averaged 1.12.

Notable Days

2008-10-10: Highest Volume — 511,725 contracts
2008-10-06: Largest IV spike — 26.8% change
2008-10-07: Highest IV Rank — 100.0%
2008-10-27: Largest Expected Move — 17.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$18.12	$16.56	$19.91	$19.89	$18.60
Max Pain	$18.73	$18.33	$20.00	$20.00	$18.33
ATM IV	55.1%	36.3%	74.9%	36.3%	54.4%
Expected Move	14.8%	10.4%	17.7%	10.4%	15.6%
HV 20d	54.1%	32.9%	74.0%	32.9%	74.0%
HV 60d	39.6%	29.4%	49.6%	29.7%	47.5%
IV Rank	73.5%	52.4%	100.0%	56.8%	64.1%
IV Percentile	97.7%	94.0%	100.0%	96.8%	94.0%
Term Structure	-4.5%	-8.2%	-1.3%	-1.3%	-4.2%
VWIV	51.2%	36.6%	63.7%	36.6%	54.8%
Skew 25d	14.4%	7.2%	20.6%	7.2%	15.3%
Skew 10d	27.9%	10.7%	42.7%	14.6%	32.0%
Call IV 25d	45.4%	34.3%	53.3%	34.3%	47.0%
Put IV 25d	59.8%	41.4%	73.6%	41.4%	62.3%
Bid-Ask Spread %	6.15	2.56	13.11	5.37	5.40
Gamma HHI	0.13	0.11	0.17	0.16	0.11
Net GEX	-80.2K	-11.9M	14.1M	11.6M	8.5M
Net DEX	-171.2M	-1.23B	735.0M	-1.23B	-605.7M
Net VEX	-12.9M	-13.9M	-11.8M	-11.8M	-13.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.12	0.42	2.55	0.42	1.10
Total Volume	236,920.696	96,933	511,725	189,492	99,900
Total OI	4,401,406.304	3,987,483	4,790,496	3,987,483	4,790,496

Daily Data (23 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
2008-10-01	$19.89	$20.00	36.3%	10.4%	32.9%	56.8%	36.6%	7.2%	-1.3%	11.6M	-1.23B	-11.8M	0.42	5.37	133,392	56,100	1,866,195	2,121,288
2008-10-02	$19.62	$20.00	40.4%	11.6%	33.2%	69.4%	41.5%	8.5%	-1.9%	9.5M	-1.04B	-12.9M	0.79	4.42	54,165	42,768	1,948,749	2,148,477
2008-10-03	$19.91	$20.00	38.7%	11.1%	33.2%	64.1%	39.1%	9.0%	-1.4%	14.1M	-1.21B	-12.8M	0.87	6.61	101,655	88,299	1,955,820	2,153,304
2008-10-06	$19.30	$20.00	49.0%	12.4%	33.8%	96.2%	41.9%	11.5%	-4.7%	6.2M	-803.6M	-13.2M	0.98	5.69	136,080	134,004	1,977,084	2,203,983
2008-10-07	$18.28	$19.17	58.7%	13.6%	38.2%	100.0%	45.4%	9.9%	-4.3%	-1.9M	-188.0M	-13.0M	1.07	5.61	111,672	119,169	2,021,259	2,199,570
2008-10-08	$18.18	$19.17	57.5%	13.9%	37.5%	97.1%	46.2%	10.9%	-4.8%	-3.2M	-117.3M	-12.9M	0.44	6.07	177,060	77,382	2,023,056	2,239,227
2008-10-09	$17.13	$19.17	68.7%	15.7%	40.7%	100.0%	52.0%	10.0%	-4.9%	-6.0M	349.7M	-12.6M	0.95	13.11	152,433	144,636	2,078,253	2,222,016
2008-10-10	$16.98	$18.33	74.9%	16.9%	40.7%	100.0%	55.5%	11.5%	-5.3%	-6.4M	461.9M	-12.5M	1.87	11.55	178,302	333,423	2,109,075	2,248,689
2008-10-13	$18.17	$18.33	61.0%	13.8%	49.1%	75.7%	46.7%	12.1%	-3.8%	-2.0M	-104.0M	-12.8M	0.74	9.76	116,775	86,247	2,137,299	2,294,163
2008-10-14	$18.15	$18.33	55.6%	13.4%	48.9%	66.1%	48.1%	12.4%	-4.4%	-2.9M	-41.8M	-12.9M	1.99	6.19	104,097	207,630	2,182,833	2,377,374
2008-10-15	$16.68	$18.33	63.6%	17.3%	54.9%	80.1%	59.3%	14.8%	-6.8%	-11.9M	735.0M	-12.2M	2.55	6.71	64,248	163,818	2,196,615	2,416,368
2008-10-16	$18.21	$18.33	60.7%	17.4%	63.4%	75.1%	63.7%	20.6%	-8.2%	-643.7K	-101.9M	-13.5M	0.99	9.29	213,426	211,203	2,204,883	2,395,569
2008-10-17	$17.92	$18.33	54.8%	15.7%	62.9%	64.8%	57.8%	17.4%	-5.3%	-1.4M	54.4M	-13.2M	1.47	6.14	108,468	159,636	2,248,836	2,444,106
2008-10-20	$18.14	$18.33	47.8%	13.7%	63.1%	52.4%	48.2%	15.6%	-4.4%	-2.4M	-155.4M	-12.8M	0.67	4.95	96,255	64,323	1,939,725	2,271,810
2008-10-21	$17.89	$18.33	50.7%	14.5%	63.2%	57.5%	47.6%	14.4%	-4.8%	-3.5M	-46.1M	-12.5M	1.89	4.18	47,778	90,102	1,974,735	2,285,502
2008-10-22	$17.42	$18.33	55.4%	15.9%	63.4%	65.8%	54.9%	17.8%	-4.5%	-5.5M	165.6M	-12.5M	1.20	5.07	95,916	115,515	1,985,292	2,312,625
2008-10-23	$17.59	$18.33	56.8%	16.3%	63.0%	68.3%	57.8%	18.7%	-5.2%	-3.2M	96.1M	-12.9M	1.33	5.55	100,803	133,701	2,027,421	2,341,839
2008-10-24	$17.13	$18.33	57.5%	16.5%	63.0%	69.4%	59.6%	20.6%	-5.3%	-6.0M	345.4M	-12.6M	0.83	2.78	93,837	77,799	2,032,653	2,362,188
2008-10-27	$16.56	$18.33	61.7%	17.7%	62.8%	76.8%	57.8%	20.3%	-5.5%	-8.8M	609.4M	-11.8M	1.17	3.83	106,593	124,524	2,065,809	2,384,955
2008-10-28	$18.39	$18.33	50.8%	14.6%	73.9%	57.8%	51.8%	19.5%	-3.9%	4.0M	-345.6M	-13.4M	0.83	2.56	206,994	172,683	2,120,547	2,429,823
2008-10-29	$18.34	$18.33	56.4%	16.2%	73.9%	67.6%	55.6%	14.8%	-4.5%	4.6M	-370.9M	-13.8M	0.64	6.80	130,452	83,298	2,218,221	2,514,573
2008-10-30	$18.25	$18.33	55.9%	16.0%	73.8%	66.6%	57.0%	17.6%	-4.4%	5.3M	-391.1M	-13.8M	1.08	3.89	63,795	68,820	2,232,465	2,527,575
2008-10-31	$18.60	$18.33	54.4%	15.6%	74.0%	64.1%	54.8%	15.3%	-4.2%	8.5M	-605.7M	-13.9M	1.10	5.40	47,631	52,269	2,247,456	2,543,040