WMT Options History — December 2008

In December 2008, WMT traded between $17.67 and $19.40. ATM implied volatility averaged 41.8%, placing in the 41.9% IV rank vs the trailing year. The 30-day expected move averaged 12.0%. IV traded above realized volatility by 0.3% (HV 20d: 41.5%). Max pain ranged from $16.67 to $18.33. Net GEX was positive for 15 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 1.00.

Notable Days

2008-12-16: Highest Volume — 288,969 contracts
2008-12-03: Largest IV drop — 12.9% change
2008-12-01: Highest IV Rank — 64.5%
2008-12-01: Largest Expected Move — 15.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$18.44	$17.67	$19.40	$17.67	$18.69
Max Pain	$16.97	$16.67	$18.33	$18.33	$16.67
ATM IV	41.8%	31.7%	54.7%	54.7%	31.7%
Expected Move	12.0%	9.1%	15.7%	15.7%	9.1%
HV 20d	41.5%	26.0%	50.3%	46.4%	26.5%
HV 60d	52.9%	51.6%	54.3%	53.0%	51.6%
IV Rank	41.9%	24.1%	64.5%	64.5%	24.1%
IV Percentile	79.7%	67.1%	91.7%	91.7%	67.1%
Term Structure	1.7%	-0.5%	4.6%	0.2%	3.2%
VWIV	43.1%	31.1%	53.1%	53.1%	32.2%
Skew 25d	8.7%	6.2%	12.0%	11.9%	6.3%
Skew 10d	18.0%	12.0%	25.6%	25.6%	14.5%
Call IV 25d	38.0%	28.3%	48.9%	48.9%	28.3%
Put IV 25d	46.7%	34.7%	60.8%	60.8%	34.7%
Bid-Ask Spread %	3.83	2.05	5.30	4.94	2.22
Gamma HHI	0.13	0.11	0.16	0.13	0.12
Net GEX	2.9M	-8.0M	19.2M	-8.0M	5.0M
Net DEX	-572.1M	-1.35B	16.1M	16.1M	-654.0M
Net VEX	-10.0M	-11.6M	-8.0M	-11.6M	-8.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.00	0.47	2.03	1.04	1.04
Total Volume	169,778.727	40,827	288,969	210,525	102,933
Total OI	4,821,747.273	4,162,833	5,290,416	4,880,334	4,346,001

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
2008-12-01	$17.67	$18.33	54.7%	15.7%	46.4%	64.5%	53.1%	11.9%	0.2%	-8.0M	16.1M	-11.6M	1.04	4.94	103,440	107,085	2,205,270	2,675,064
2008-12-02	$17.82	$18.33	51.9%	14.9%	46.5%	59.6%	50.1%	12.0%	-0.2%	-7.0M	-58.0M	-11.5M	0.79	4.98	92,187	72,969	2,240,715	2,670,180
2008-12-03	$18.13	$18.33	45.2%	13.0%	47.0%	47.8%	45.6%	10.2%	2.4%	-4.0M	-288.7M	-11.6M	0.54	3.61	91,191	49,143	2,263,686	2,687,307
2008-12-04	$18.37	$18.33	45.9%	13.2%	45.4%	49.0%	46.0%	10.2%	1.0%	646.1K	-488.3M	-11.2M	0.83	4.80	95,190	79,311	2,270,469	2,688,882
2008-12-05	$19.40	$16.67	44.9%	13.0%	48.9%	47.3%	46.4%	11.9%	0.2%	19.2M	-1.35B	-11.4M	1.12	5.27	118,488	133,209	2,300,805	2,703,033
2008-12-08	$19.19	$16.67	46.5%	13.1%	49.0%	50.2%	47.8%	8.7%	0.1%	13.4M	-1.15B	-11.4M	0.85	4.69	86,397	73,455	2,330,310	2,758,602
2008-12-09	$18.60	$16.67	50.7%	14.1%	50.2%	57.5%	50.2%	9.6%	-0.5%	5.8M	-726.6M	-11.1M	1.22	5.30	91,836	111,723	2,332,791	2,745,774
2008-12-10	$18.42	$16.67	45.2%	13.6%	50.3%	47.8%	50.6%	8.8%	0.5%	1.0M	-596.7M	-10.8M	0.68	4.40	95,088	64,614	2,347,725	2,785,110
2008-12-11	$18.26	$16.67	47.4%	13.6%	48.1%	51.7%	51.6%	8.7%	0.2%	-5.1M	-372.2M	-10.7M	1.06	4.23	102,705	108,702	2,316,447	2,780,097
2008-12-12	$18.21	$16.67	45.3%	13.0%	45.6%	47.9%	48.2%	9.0%	1.6%	-4.6M	-372.8M	-10.5M	0.57	3.72	113,616	64,809	2,359,854	2,822,721
2008-12-15	$18.24	$16.67	45.7%	13.1%	43.0%	48.7%	52.5%	10.3%	1.1%	-174.2K	-440.9M	-10.1M	2.03	4.62	57,939	117,651	2,375,061	2,783,166
2008-12-16	$18.41	$16.67	44.4%	12.7%	42.5%	46.4%	48.1%	10.2%	0.2%	5.2M	-670.2M	-9.9M	1.93	4.37	98,739	190,230	2,374,071	2,806,101
2008-12-17	$18.40	$16.67	43.1%	12.3%	42.2%	44.1%	44.2%	9.5%	1.3%	5.2M	-588.8M	-9.9M	1.15	5.14	72,909	83,487	2,383,761	2,906,655
2008-12-18	$18.47	$16.67	40.4%	11.6%	40.0%	39.4%	42.0%	7.7%	1.7%	9.7M	-674.1M	-9.6M	1.05	3.77	94,191	98,718	2,403,723	2,696,631
2008-12-19	$18.58	$16.67	36.9%	10.6%	39.8%	33.2%	35.8%	7.3%	2.3%	8.7M	-822.4M	-9.0M	0.55	2.79	158,922	87,354	2,436,024	2,684,799
2008-12-22	$18.66	$16.67	37.0%	10.6%	37.1%	33.4%	36.2%	6.9%	1.9%	6.6M	-751.2M	-8.9M	0.54	3.36	168,219	90,750	1,932,858	2,229,975
2008-12-23	$18.43	$16.67	33.5%	9.6%	37.4%	27.2%	35.0%	7.5%	3.6%	1.6M	-478.5M	-8.8M	0.89	2.74	93,666	83,313	1,974,582	2,263,938
2008-12-24	$18.48	$16.67	32.8%	9.4%	35.3%	26.0%	31.1%	6.8%	4.0%	5.1M	-628.0M	-8.5M	0.47	2.12	27,864	12,963	1,989,840	2,291,331
2008-12-26	$18.45	$16.67	31.8%	9.1%	32.8%	24.3%	34.2%	6.3%	4.6%	4.6M	-604.9M	-8.3M	2.01	2.99	15,882	31,971	1,994,256	2,292,297
2008-12-29	$18.37	$16.67	33.2%	9.5%	32.4%	26.8%	35.4%	6.3%	3.9%	1.7M	-479.1M	-8.2M	1.01	2.23	50,865	51,258	1,997,214	2,302,317
2008-12-30	$18.35	$16.67	31.7%	9.1%	26.0%	24.1%	32.7%	6.2%	3.7%	-94.7K	-411.6M	-8.0M	0.62	2.05	55,617	34,533	2,009,895	2,319,102
2008-12-31	$18.69	$16.67	31.7%	9.1%	26.5%	24.1%	32.2%	6.3%	3.2%	5.0M	-654.0M	-8.0M	1.04	2.22	50,394	52,539	2,019,783	2,326,218