WMT Options History — November 2008

In November 2008, WMT traded between $16.89 and $18.90. ATM implied volatility averaged 51.3%, placing in the 58.5% IV rank vs the trailing year. The 30-day expected move averaged 14.6%. IV traded below realized volatility by 6.5% (HV 20d: 57.7%). Max pain ranged from $18.33 to $18.33. Net GEX was positive for 9 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 1.16.

Notable Days

2008-11-20: Highest Volume — 375,366 contracts
2008-11-13: Largest IV drop — 22.6% change
2008-11-20: Highest IV Rank — 84.1%
2008-11-20: Largest Expected Move — 18.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$17.95	$16.89	$18.90	$18.66	$18.63
Max Pain	$18.33	$18.33	$18.33	$18.33	$18.33
ATM IV	51.3%	41.6%	65.8%	52.0%	44.6%
Expected Move	14.6%	11.9%	18.9%	14.9%	12.8%
HV 20d	57.7%	40.7%	73.3%	73.3%	43.0%
HV 60d	49.3%	47.3%	52.1%	47.4%	52.1%
IV Rank	58.5%	41.5%	84.1%	59.8%	46.7%
IV Percentile	91.6%	84.9%	99.2%	93.7%	84.9%
Term Structure	-0.1%	-5.0%	5.0%	-2.8%	3.3%
VWIV	52.3%	43.8%	64.9%	54.9%	46.0%
Skew 25d	14.4%	10.4%	18.0%	12.4%	10.5%
Skew 10d	30.8%	19.3%	39.4%	26.4%	19.3%
Call IV 25d	44.7%	38.1%	56.6%	46.1%	39.3%
Put IV 25d	59.1%	48.5%	74.6%	58.4%	49.8%
Bid-Ask Spread %	4.88	3.03	7.63	5.18	4.54
Gamma HHI	0.13	0.11	0.18	0.11	0.13
Net GEX	-2.5M	-15.8M	8.9M	8.6M	3.2M
Net DEX	-124.0M	-792.5M	502.8M	-621.7M	-615.7M
Net VEX	-12.5M	-13.5M	-11.9M	-13.5M	-12.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.16	0.56	2.52	1.86	1.64
Total Volume	221,760	73,332	375,366	135,243	73,332
Total OI	4,959,084.158	4,698,279	5,258,679	4,801,536	4,861,890

Daily Data (19 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
2008-11-03	$18.66	$18.33	52.0%	14.9%	73.3%	59.8%	54.9%	12.4%	-2.8%	8.6M	-621.7M	-13.5M	1.86	5.18	47,298	87,945	2,244,582	2,556,954
2008-11-04	$18.71	$18.33	48.9%	14.0%	70.6%	54.4%	48.0%	10.5%	-3.0%	8.9M	-670.3M	-13.1M	1.31	4.35	60,195	79,011	2,249,232	2,582,289
2008-11-05	$18.04	$18.33	47.3%	13.6%	71.8%	51.6%	50.3%	12.6%	-1.1%	663.0K	-153.1M	-12.9M	0.84	4.58	105,345	88,983	2,246,349	2,589,846
2008-11-06	$17.83	$18.33	53.5%	15.3%	68.5%	62.4%	51.4%	17.0%	-1.4%	-1.1M	-27.1M	-13.0M	0.61	3.03	217,521	132,243	2,244,495	2,604,186
2008-11-07	$18.13	$18.33	46.8%	13.5%	68.6%	50.6%	48.7%	16.9%	0.2%	4.9M	-241.8M	-13.3M	0.67	4.98	70,035	46,857	2,362,449	2,608,455
2008-11-10	$18.39	$18.33	48.8%	13.6%	64.5%	54.2%	55.6%	15.4%	-0.0%	6.3M	-405.9M	-12.7M	2.52	4.34	54,369	136,968	2,260,071	2,599,023
2008-11-11	$18.25	$18.33	49.1%	13.8%	64.5%	54.8%	50.9%	15.5%	-0.7%	3.1M	-285.9M	-12.6M	1.15	4.20	137,151	157,839	2,271,384	2,655,915
2008-11-12	$17.54	$18.33	59.3%	15.6%	58.5%	72.6%	53.6%	16.1%	-5.0%	-3.7M	160.6M	-12.4M	1.15	5.02	127,674	147,042	2,330,904	2,703,246
2008-11-13	$18.31	$18.33	45.9%	13.2%	51.6%	49.1%	47.8%	13.8%	0.2%	2.7M	-303.8M	-12.6M	1.34	4.94	104,010	139,569	2,328,786	2,722,875
2008-11-14	$17.57	$18.33	49.7%	14.2%	53.4%	55.7%	52.8%	14.0%	-1.8%	-8.5M	170.7M	-12.0M	1.59	3.98	85,518	135,777	2,331,810	2,723,808
2008-11-17	$17.27	$18.33	56.3%	16.1%	53.5%	67.3%	58.9%	16.6%	1.2%	-13.3M	405.4M	-11.9M	1.53	4.93	85,161	130,668	2,329,968	2,763,960
2008-11-18	$17.57	$18.33	56.3%	16.1%	53.8%	67.4%	59.8%	17.4%	-3.1%	-12.3M	285.9M	-12.0M	0.70	4.53	148,365	103,173	2,332,947	2,784,963
2008-11-19	$17.00	$18.33	60.8%	17.4%	54.2%	75.3%	60.7%	15.6%	0.3%	-15.7M	502.8M	-12.0M	1.41	4.27	96,339	135,633	2,389,161	2,776,548
2008-11-20	$16.89	$18.33	65.8%	18.9%	54.1%	84.1%	64.9%	18.0%	-0.9%	-15.8M	488.3M	-11.9M	0.68	6.86	223,644	151,722	2,422,995	2,790,336
2008-11-21	$17.64	$18.33	55.0%	15.8%	55.7%	65.0%	55.3%	15.5%	0.9%	-6.0M	23.7M	-12.3M	1.07	7.63	171,051	183,507	2,480,367	2,778,312
2008-11-24	$17.59	$18.33	47.1%	13.5%	54.1%	51.2%	45.1%	12.8%	5.0%	-11.1M	62.8M	-11.9M	0.57	5.54	125,829	71,631	2,091,699	2,606,580
2008-11-25	$18.23	$18.33	45.3%	13.0%	40.7%	47.9%	44.4%	12.0%	3.3%	-4.1M	-337.4M	-12.2M	0.56	5.25	149,010	83,601	2,129,802	2,620,284
2008-11-26	$18.90	$18.33	41.6%	11.9%	42.7%	41.5%	43.8%	10.4%	3.8%	5.6M	-792.5M	-12.4M	0.75	4.54	68,121	51,303	2,190,714	2,655,414
2008-11-28	$18.63	$18.33	44.6%	12.8%	43.0%	46.7%	46.0%	10.5%	3.3%	3.2M	-615.7M	-12.0M	1.64	4.54	27,822	45,510	2,203,806	2,658,084