WMT Options History — January 2009

In January 2009, WMT traded between $15.71 and $19.06. ATM implied volatility averaged 35.5%, placing in the 30.8% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded above realized volatility by 5.5% (HV 20d: 30.0%). Max pain ranged from $16.67 to $18.33. Net GEX was positive for 6 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 0.89.

Notable Days

2009-01-08: Highest Volume — 710,730 contracts
2009-01-12: Largest IV spike — 14.9% change
2009-01-20: Highest IV Rank — 36.1%
2009-01-20: Largest Expected Move — 11.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$17.07	$15.71	$19.06	$19.06	$15.71
Max Pain	$17.33	$16.67	$18.33	$16.67	$16.67
ATM IV	35.5%	30.4%	38.5%	30.4%	35.6%
Expected Move	10.2%	8.7%	11.1%	8.7%	10.2%
HV 20d	30.0%	18.0%	32.9%	26.7%	31.7%
HV 60d	43.4%	36.0%	50.6%	50.5%	36.0%
IV Rank	30.8%	21.8%	36.1%	21.8%	31.0%
IV Percentile	72.6%	61.1%	77.0%	61.1%	70.6%
Term Structure	0.8%	-0.8%	2.9%	2.9%	0.6%
VWIV	36.3%	31.6%	40.2%	31.8%	36.2%
Skew 25d	8.1%	6.4%	10.8%	6.4%	7.0%
Skew 10d	17.2%	13.1%	24.5%	13.8%	13.9%
Call IV 25d	32.5%	28.8%	36.1%	28.8%	33.3%
Put IV 25d	40.6%	35.2%	43.8%	35.2%	40.3%
Bid-Ask Spread %	2.90	1.84	4.40	1.84	2.32
Gamma HHI	0.14	0.10	0.19	0.13	0.12
Net GEX	-1.1M	-13.2M	12.2M	9.8M	-4.2M
Net DEX	-14.9M	-949.3M	430.0M	-949.3M	430.0M
Net VEX	-7.1M	-8.0M	-6.5M	-8.0M	-6.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.89	0.51	1.33	0.51	1.24
Total Volume	208,761.6	69,606	710,730	174,984	124,554
Total OI	3,520,897.65	1,938,933	4,746,876	4,355,565	2,419,323

Daily Data (20 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
2009-01-02	$19.06	$16.67	30.4%	8.7%	26.7%	21.8%	31.8%	6.4%	2.9%	9.8M	-949.3M	-8.0M	0.51	1.84	115,530	59,454	2,026,833	2,328,732
2009-01-05	$18.84	$18.33	34.3%	9.8%	26.8%	28.7%	33.9%	8.1%	-0.3%	12.2M	-894.1M	-7.8M	0.76	2.38	109,212	82,719	2,068,842	2,341,353
2009-01-06	$18.67	$18.33	36.3%	10.3%	18.1%	32.1%	36.7%	8.2%	-0.8%	8.1M	-702.4M	-7.7M	1.02	2.56	95,454	97,827	2,093,469	2,361,723
2009-01-07	$18.51	$18.33	36.4%	10.7%	18.0%	32.4%	37.6%	8.8%	-0.4%	5.3M	-644.1M	-7.9M	0.72	2.41	162,198	116,592	2,126,199	2,373,429
2009-01-08	$17.13	$18.33	37.2%	11.0%	31.0%	33.7%	40.2%	7.2%	-0.2%	-13.2M	239.2M	-7.4M	1.12	2.90	334,821	375,909	2,211,147	2,418,390
2009-01-09	$17.19	$17.50	32.7%	10.2%	31.1%	25.8%	35.7%	7.2%	0.7%	-9.7M	166.4M	-7.5M	0.91	2.87	131,238	119,679	2,260,239	2,480,946
2009-01-12	$17.13	$17.50	37.6%	10.5%	31.0%	34.4%	37.3%	7.5%	0.6%	-5.1M	72.3M	-7.3M	0.77	3.47	77,229	59,565	2,293,536	2,453,340
2009-01-13	$17.37	$17.50	34.8%	10.3%	31.6%	29.6%	36.8%	8.1%	0.7%	-4.1M	-35.7M	-7.1M	1.01	3.51	105,546	106,788	2,235,891	2,440,971
2009-01-14	$17.19	$17.50	37.9%	10.8%	31.7%	35.0%	39.2%	8.8%	0.4%	-8.2M	65.2M	-7.1M	1.33	3.17	70,851	94,098	2,252,496	2,450,922
2009-01-15	$17.12	$17.50	37.1%	10.6%	31.4%	33.6%	38.6%	9.1%	0.7%	-8.3M	22.4M	-7.0M	0.75	4.14	128,520	96,792	2,255,637	2,441,622
2009-01-16	$17.19	$17.50	33.6%	9.6%	31.5%	27.4%	35.1%	8.9%	1.8%	-622.2K	-109.1M	-6.9M	0.81	4.40	90,414	73,422	2,281,389	2,432,508
2009-01-20	$16.85	$17.50	38.5%	11.1%	31.9%	36.1%	38.2%	10.8%	0.9%	1.5M	137.1M	-6.7M	1.13	3.18	89,799	101,196	976,899	962,034
2009-01-21	$16.38	$17.50	35.3%	10.1%	32.7%	30.5%	35.6%	9.5%	2.3%	-1.1M	228.6M	-6.5M	0.66	2.95	185,868	122,532	1,020,030	982,278
2009-01-22	$16.29	$16.67	35.7%	10.2%	32.4%	31.1%	37.5%	8.3%	2.1%	313.3K	238.4M	-6.7M	1.00	2.38	104,130	103,782	1,078,845	1,022,172
2009-01-23	$16.12	$16.67	38.3%	11.0%	32.4%	35.8%	37.3%	8.3%	1.6%	-1.1M	284.9M	-6.7M	0.54	2.89	86,829	46,953	1,112,520	1,064,910
2009-01-26	$16.20	$16.67	37.7%	10.8%	32.5%	34.6%	37.6%	8.5%	0.3%	-97.0K	269.1M	-6.7M	1.11	2.94	58,326	64,923	1,146,342	1,072,974
2009-01-27	$16.26	$16.67	32.6%	9.3%	32.7%	25.6%	33.9%	8.1%	1.1%	-143.2K	253.3M	-6.8M	0.55	2.51	44,883	24,723	1,172,469	1,102,689
2009-01-28	$16.24	$16.67	33.4%	9.6%	32.7%	27.0%	31.6%	6.8%	0.8%	-827.0K	277.1M	-6.6M	0.90	2.27	79,272	71,079	1,192,527	1,105,464
2009-01-29	$15.95	$16.67	35.4%	10.2%	32.9%	30.7%	34.6%	6.9%	0.2%	-2.8M	352.4M	-6.5M	0.98	2.83	82,251	80,274	1,221,363	1,135,500
2009-01-30	$15.71	$16.67	35.6%	10.2%	31.7%	31.0%	36.2%	7.0%	0.6%	-4.2M	430.0M	-6.6M	1.24	2.32	55,686	68,868	1,257,675	1,161,648