WMT Options History — February 2009 In February 2009, WMT traded between $15.47 and $16.82. ATM implied volatility averaged 34.9%, placing in the 29.6% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded above realized volatility by 0.3% (HV 20d: 34.6%). Max pain ranged from $16.67 to $17.50. Net GEX was positive for 15 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 0.79.
Notable Days 2009-02-20 : Highest Volume — 315,777 contracts2009-02-26 : Largest IV spike — 10.2% change2009-02-10 : Highest IV Rank — 35.5%2009-02-02 : Largest Expected Move — 10.8%Monthly Statistics Metric Avg Min Max Open Close Price $16.20 $15.47 $16.82 $15.52 $16.41 Max Pain $17.11 $16.67 $17.50 $16.67 $16.67 ATM IV 34.9% 30.4% 38.2% 37.7% 32.1% Expected Move 9.9% 8.7% 10.8% 10.8% 9.2% HV 20d 34.6% 29.3% 39.2% 29.8% 39.2% HV 60d 35.9% 33.2% 37.5% 36.1% 33.2% IV Rank 29.6% 21.9% 35.5% 34.7% 24.8% IV Percentile 66.5% 50.8% 76.2% 75.8% 56.0% Term Structure -0.2% -1.9% 1.0% -0.7% -0.1% VWIV 35.3% 32.1% 38.6% 38.6% 34.3% Skew 25d 7.8% 6.3% 9.3% 6.7% 7.4% Skew 10d 16.0% 12.9% 20.4% 12.9% 15.5% Call IV 25d 31.6% 28.5% 35.9% 35.9% 30.5% Put IV 25d 39.5% 36.7% 42.6% 42.6% 38.0% Bid-Ask Spread % 2.91 2.11 4.39 2.56 2.73 Gamma HHI 0.15 0.12 0.49 0.13 0.13 Net GEX 5.2M -5.4M 46.6M -5.4M 5.0M Net DEX 221.2M -56.8M 480.6M 480.6M 155.5M Net VEX -7.0M -7.5M -6.3M -6.3M -7.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.79 0.46 1.06 0.84 0.80 Total Volume 174,031.105 58,308 315,777 126,912 166,383 Total OI 2,622,024.474 2,412,066 2,866,806 2,412,066 2,651,790
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 2009-02-02 $15.52 $16.67 37.7% 10.8% 29.8% 34.7% 38.6% 6.7% -0.7% -5.4M 480.6M -6.3M 0.84 2.56 69,108 57,804 1,245,270 1,166,796 2009-02-03 $15.94 $16.67 36.1% 10.4% 32.5% 31.9% 35.7% 6.6% -0.7% -2.8M 384.1M -6.6M 0.65 3.36 83,613 54,666 1,272,198 1,178,148 2009-02-04 $15.47 $16.67 37.6% 10.8% 33.4% 34.4% 37.8% 6.7% -1.9% -4.4M 479.6M -6.4M 0.64 2.20 119,988 77,292 1,301,364 1,180,584 2009-02-05 $16.19 $16.67 34.3% 9.8% 38.6% 28.7% 33.9% 6.3% 0.3% 3.7M 237.1M -7.0M 0.77 2.61 132,771 101,838 1,360,617 1,186,281 2009-02-06 $16.54 $17.50 32.9% 9.4% 29.3% 26.2% 32.1% 8.0% 0.4% 6.1M 117.9M -7.3M 0.46 3.51 110,481 51,087 1,366,539 1,216,782 2009-02-09 $16.43 $17.50 34.7% 9.6% 29.3% 29.3% 34.8% 8.4% 0.2% 7.0M 134.6M -7.2M 0.86 2.73 31,422 26,886 1,405,059 1,210,926 2009-02-10 $15.91 $17.50 38.2% 10.5% 31.1% 35.5% 36.4% 8.7% -0.9% 84.4K 333.2M -6.9M 0.68 2.88 78,528 53,025 1,407,636 1,211,499 2009-02-11 $16.08 $17.50 36.9% 10.4% 30.9% 33.3% 35.2% 8.2% -0.9% 2.0M 272.5M -6.9M 0.68 2.95 48,237 32,643 1,428,198 1,219,512 2009-02-12 $16.04 $17.50 35.6% 10.2% 30.8% 30.9% 37.5% 7.9% -0.3% 2.0M 282.3M -6.9M 0.95 4.39 73,455 70,137 1,441,965 1,227,402 2009-02-13 $15.51 $17.50 35.6% 10.2% 32.6% 31.0% 37.2% 7.6% -0.5% -4.2M 471.8M -6.5M 0.87 3.72 103,998 90,756 1,458,357 1,250,841 2009-02-17 $16.08 $17.50 36.6% 10.5% 35.6% 32.6% 36.0% 8.2% -0.6% 1.6M 263.2M -6.9M 0.82 3.58 112,722 92,046 1,480,848 1,278,786 2009-02-18 $16.67 $17.50 34.4% 9.8% 37.7% 28.7% 35.4% 8.0% 0.2% 11.2M 30.3M -7.2M 0.69 2.30 149,619 103,980 1,483,833 1,283,763 2009-02-19 $16.82 $17.50 34.0% 9.7% 36.3% 28.1% 34.1% 8.1% 0.5% 12.2M -56.8M -7.5M 0.81 3.15 116,397 94,842 1,517,379 1,304,364 2009-02-20 $16.67 $16.67 34.4% 9.9% 36.4% 28.8% 35.9% 8.8% 0.6% 46.6M -27.8M -7.4M 1.04 3.03 154,839 160,938 1,542,399 1,324,407 2009-02-23 $16.29 $17.50 35.5% 10.2% 37.2% 30.7% 38.0% 9.3% -0.2% 4.4M 156.5M -7.3M 0.93 2.11 95,568 88,431 1,282,935 1,168,785 2009-02-24 $16.67 $16.67 32.0% 9.2% 38.0% 24.5% 33.5% 8.3% 0.6% 6.9M 67.7M -7.5M 0.66 2.48 138,021 91,230 1,315,452 1,203,198 2009-02-25 $16.40 $16.67 30.4% 8.7% 38.5% 21.9% 32.7% 8.2% 1.0% 4.8M 156.2M -7.4M 1.06 2.41 71,208 75,198 1,353,276 1,250,595 2009-02-26 $16.08 $16.67 33.6% 9.6% 39.1% 27.3% 32.2% 6.9% 0.0% 2.3M 265.2M -7.2M 0.82 2.64 69,945 57,489 1,372,128 1,268,553 2009-02-27 $16.41 $16.67 32.1% 9.2% 39.2% 24.8% 34.3% 7.4% -0.1% 5.0M 155.5M -7.5M 0.80 2.73 92,370 74,013 1,373,031 1,278,759
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