WMT Options History — March 2009

In March 2009, WMT traded between $15.79 and $17.59. ATM implied volatility averaged 32.9%, placing in the 26.2% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded below realized volatility by 2.8% (HV 20d: 35.7%). Max pain ranged from $15.83 to $16.67. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.73.

Notable Days

2009-03-27: Highest Volume — 376,329 contracts
2009-03-09: Largest IV spike — 14.1% change
2009-03-09: Highest IV Rank — 36.8%
2009-03-02: Largest Expected Move — 11.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$16.61	$15.79	$17.59	$16.01	$17.37
Max Pain	$16.29	$15.83	$16.67	$16.67	$16.67
ATM IV	32.9%	27.5%	38.9%	38.9%	31.9%
Expected Move	9.4%	7.9%	11.2%	11.2%	9.1%
HV 20d	35.7%	31.0%	40.0%	39.9%	31.0%
HV 60d	33.8%	32.0%	35.2%	33.5%	34.9%
IV Rank	26.2%	16.7%	36.8%	36.7%	24.4%
IV Percentile	55.3%	35.7%	77.4%	77.4%	51.2%
Term Structure	1.8%	-1.1%	3.9%	-1.1%	2.6%
VWIV	33.9%	29.5%	42.1%	40.4%	32.6%
Skew 25d	6.6%	2.9%	8.5%	7.3%	4.0%
Skew 10d	14.2%	7.0%	17.6%	16.5%	7.7%
Call IV 25d	30.6%	26.3%	35.7%	35.7%	30.8%
Put IV 25d	37.2%	32.8%	43.3%	42.9%	34.8%
Bid-Ask Spread %	2.98	1.78	6.37	2.73	3.65
Gamma HHI	0.14	0.11	0.17	0.12	0.16
Net GEX	11.0M	386.7K	24.5M	1.9M	24.5M
Net DEX	-52.0M	-509.2M	340.2M	265.7M	-431.0M
Net VEX	-7.7M	-8.6M	-7.1M	-7.4M	-8.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.73	0.16	1.30	1.27	0.61
Total Volume	183,679.227	90,486	376,329	176,349	113,571
Total OI	2,670,264.545	2,034,918	2,946,693	2,698,338	2,516,730

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
2009-03-02	$16.01	$16.67	38.9%	11.2%	39.9%	36.7%	40.4%	7.3%	-1.1%	1.9M	265.7M	-7.4M	1.27	2.73	77,781	98,568	1,403,382	1,294,956
2009-03-03	$15.79	$16.67	37.0%	10.6%	40.0%	33.4%	38.0%	7.2%	-0.3%	386.7K	340.2M	-7.1M	1.30	2.60	87,813	114,525	1,419,732	1,296,408
2009-03-04	$16.16	$16.67	35.2%	10.1%	39.7%	30.2%	35.1%	6.2%	-0.0%	2.2M	222.1M	-7.5M	0.79	2.04	109,665	86,649	1,430,976	1,348,248
2009-03-05	$16.58	$16.67	34.4%	9.8%	39.0%	28.7%	34.7%	8.1%	0.5%	7.7M	40.0M	-7.8M	0.69	3.24	195,813	134,718	1,440,693	1,351,161
2009-03-06	$16.30	$15.83	34.1%	9.8%	36.3%	28.3%	35.7%	8.5%	1.7%	6.5M	142.5M	-7.7M	0.67	6.37	127,797	85,404	1,475,835	1,366,605
2009-03-09	$15.84	$15.83	38.9%	11.0%	36.8%	36.8%	37.8%	8.3%	0.4%	473.5K	313.2M	-7.4M	0.53	2.83	120,129	63,930	1,498,860	1,382,442
2009-03-10	$16.22	$15.83	36.9%	10.5%	37.9%	33.3%	42.1%	8.0%	0.7%	5.0M	175.2M	-7.7M	0.16	2.46	268,518	42,711	1,519,608	1,391,388
2009-03-11	$15.82	$15.83	34.8%	10.1%	37.2%	29.5%	35.6%	7.6%	1.6%	1.2M	317.6M	-7.3M	0.70	2.85	89,694	62,472	1,501,404	1,390,857
2009-03-12	$16.31	$15.83	31.6%	9.1%	38.7%	24.0%	33.7%	7.1%	2.3%	6.5M	91.8M	-7.6M	0.95	3.10	94,551	89,850	1,517,379	1,369,734
2009-03-13	$16.40	$15.83	31.2%	8.9%	38.7%	23.2%	32.8%	7.5%	2.6%	9.3M	45.9M	-7.7M	0.96	2.09	53,910	51,519	1,536,219	1,370,127
2009-03-16	$16.27	$15.83	31.3%	9.0%	36.6%	23.3%	32.7%	7.0%	2.2%	9.2M	83.0M	-7.4M	0.99	3.00	45,366	45,120	1,539,444	1,342,782
2009-03-17	$16.67	$15.83	30.7%	8.8%	35.4%	22.4%	31.7%	6.2%	2.2%	15.4M	-92.3M	-7.6M	0.65	2.33	61,968	40,446	1,545,813	1,353,732
2009-03-18	$16.81	$15.83	31.1%	8.9%	33.2%	23.0%	31.0%	6.2%	2.3%	14.6M	-172.3M	-7.7M	0.66	4.11	91,650	60,777	1,552,374	1,360,527
2009-03-19	$16.65	$15.83	31.8%	9.1%	33.2%	24.2%	32.7%	6.6%	2.2%	15.7M	-99.7M	-7.6M	0.74	2.86	99,144	72,963	1,571,661	1,368,492
2009-03-20	$16.53	$16.67	31.3%	9.0%	33.2%	23.3%	32.7%	6.8%	3.3%	13.9M	-36.2M	-7.6M	0.91	2.14	70,398	64,272	1,568,955	1,377,738
2009-03-23	$17.16	$16.67	27.5%	7.9%	34.6%	16.7%	30.0%	6.9%	3.9%	13.4M	-297.9M	-7.7M	0.58	3.32	119,763	69,495	1,095,198	939,720
2009-03-24	$17.03	$16.67	30.9%	8.8%	33.9%	22.6%	30.0%	6.2%	3.7%	14.6M	-282.2M	-7.9M	0.93	2.50	72,705	67,554	1,148,523	966,396
2009-03-25	$17.23	$16.67	28.6%	8.2%	33.5%	18.6%	29.6%	6.0%	3.6%	16.2M	-364.1M	-8.0M	0.47	1.78	122,547	58,212	1,178,460	989,436
2009-03-26	$17.59	$16.67	29.8%	8.5%	33.0%	20.7%	29.5%	5.4%	2.5%	19.7M	-509.2M	-8.2M	0.61	2.61	124,317	75,738	1,215,234	1,009,296
2009-03-27	$17.52	$16.67	32.5%	9.3%	32.6%	25.4%	32.7%	2.9%	2.1%	19.4M	-494.4M	-8.4M	0.34	3.15	280,068	96,261	1,253,739	1,028,724
2009-03-30	$17.25	$16.67	33.6%	9.6%	31.7%	27.5%	34.5%	4.5%	1.5%	23.3M	-402.7M	-8.5M	0.58	3.83	83,784	48,807	1,445,808	1,071,024
2009-03-31	$17.37	$16.67	31.9%	9.1%	31.0%	24.4%	32.6%	4.0%	2.6%	24.5M	-431.0M	-8.6M	0.61	3.65	70,731	42,840	1,443,444	1,073,286