WMT Options History — April 2009 In April 2009, WMT traded between $15.96 and $17.93. ATM implied volatility averaged 32.6%, placing in the 25.7% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded above realized volatility by 6.4% (HV 20d: 26.3%). Max pain ranged from $16.67 to $16.67. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.71.
Notable Days 2009-04-09 : Highest Volume — 337,263 contracts2009-04-03 : Largest IV drop — 10.6% change2009-04-14 : Highest IV Rank — 31.1%2009-04-14 : Largest Expected Move — 10.2%Monthly Statistics Metric Avg Min Max Open Close Price $16.93 $15.96 $17.93 $17.61 $16.80 Max Pain $16.67 $16.67 $16.67 $16.67 $16.67 ATM IV 32.6% 28.8% 35.7% 31.9% 31.4% Expected Move 9.5% 8.9% 10.2% 9.1% 9.0% HV 20d 26.3% 22.9% 30.5% 30.5% 27.3% HV 60d 32.5% 31.1% 35.1% 34.9% 32.6% IV Rank 25.7% 19.0% 31.1% 24.4% 23.6% IV Percentile 51.9% 34.9% 67.5% 50.8% 41.3% Term Structure -1.2% -2.8% 2.7% 2.7% -1.7% VWIV 33.1% 31.4% 35.3% 32.5% 31.7% Skew 25d 4.5% 2.7% 7.7% 3.4% 3.6% Skew 10d 8.6% 5.7% 15.3% 8.1% 6.2% Call IV 25d 31.1% 28.9% 32.9% 30.8% 29.7% Put IV 25d 35.6% 33.1% 38.1% 34.2% 33.3% Bid-Ask Spread % 3.36 2.57 4.60 2.57 4.34 Gamma HHI 0.15 0.11 0.19 0.17 0.13 Net GEX 18.9M 3.3M 33.2M 25.9M 16.2M Net DEX -198.7M -693.7M 245.3M -510.8M -102.0M Net VEX -8.2M -9.2M -7.2M -8.6M -8.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.71 0.38 1.43 0.61 0.43 Total Volume 139,262.143 55,371 337,263 202,713 77,253 Total OI 2,672,753.286 2,406,762 2,921,889 2,520,243 2,671,812
Daily Data (21 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 2009-04-01 $17.61 $16.67 31.9% 9.1% 30.5% 24.4% 32.5% 3.4% 2.7% 25.9M -510.8M -8.6M 0.61 2.57 126,126 76,587 1,442,178 1,078,065 2009-04-02 $17.88 $16.67 32.2% 9.2% 29.7% 25.0% 31.4% 3.6% 2.4% 31.3M -664.6M -8.9M 0.51 3.02 153,066 78,018 1,503,579 1,101,081 2009-04-03 $17.93 $16.67 28.8% 8.9% 28.7% 19.0% 31.4% 7.7% -0.9% 33.2M -693.7M -9.2M 0.60 3.52 80,691 48,486 1,545,930 1,131,873 2009-04-06 $17.81 $16.67 31.0% 9.7% 26.2% 22.9% 33.4% 7.4% -1.6% 33.2M -633.7M -9.1M 1.43 3.26 22,800 32,571 1,584,642 1,153,374 2009-04-07 $17.46 $16.67 31.2% 9.7% 26.8% 23.1% 34.5% 7.1% -1.2% 28.6M -455.8M -8.9M 0.44 2.63 85,398 37,308 1,576,791 1,148,211 2009-04-08 $17.54 $16.67 32.6% 9.7% 24.5% 25.7% 32.9% 6.6% -1.5% 31.4M -511.3M -9.0M 0.38 3.55 139,230 53,307 1,588,080 1,154,271 2009-04-09 $16.89 $16.67 35.1% 10.1% 27.0% 30.1% 34.6% 4.5% -1.3% 22.1M -183.2M -8.6M 0.63 4.60 207,390 129,873 1,663,761 1,174,275 2009-04-13 $17.18 $16.67 33.8% 9.7% 27.5% 27.7% 34.6% 4.8% -1.6% 30.4M -349.0M -8.7M 0.80 2.92 50,874 40,746 1,697,799 1,205,448 2009-04-14 $17.04 $16.67 35.7% 10.2% 27.5% 31.1% 35.3% 4.6% -2.2% 23.4M -247.3M -8.4M 0.76 3.61 56,835 43,398 1,686,273 1,210,236 2009-04-15 $17.10 $16.67 33.4% 9.6% 26.2% 27.0% 34.2% 4.3% -1.6% 24.7M -267.4M -8.5M 0.79 2.79 59,502 46,854 1,701,015 1,220,874 2009-04-16 $16.93 $16.67 32.8% 9.4% 26.4% 26.0% 32.3% 3.7% -1.1% 15.7M -170.2M -8.1M 0.51 2.78 95,019 48,240 1,670,937 1,198,200 2009-04-17 $16.73 $16.67 31.9% 9.1% 26.5% 24.4% 31.4% 4.7% -0.1% 15.1M -106.3M -8.0M 0.60 2.94 73,584 44,220 1,676,436 1,207,053 2009-04-20 $16.42 $16.67 34.4% 9.9% 27.2% 28.8% 35.0% 4.2% -1.8% 10.1M 30.1M -7.7M 0.97 2.68 69,357 67,050 1,340,541 1,066,221 2009-04-21 $16.61 $16.67 32.5% 9.3% 23.8% 25.4% 32.7% 3.8% -1.6% 11.1M -15.5M -7.7M 0.78 2.92 49,296 38,421 1,360,596 1,094,901 2009-04-22 $16.32 $16.67 33.1% 9.5% 24.3% 26.6% 33.9% 3.6% -1.2% 8.0M 91.0M -7.5M 0.85 3.88 48,429 41,205 1,371,663 1,105,800 2009-04-23 $16.29 $16.67 31.5% 9.0% 23.8% 23.7% 32.5% 3.6% -1.0% 7.2M 122.7M -7.4M 0.63 4.23 71,316 44,592 1,376,874 1,118,274 2009-04-24 $15.96 $16.67 31.7% 9.1% 22.9% 24.1% 31.5% 2.7% -1.3% 3.3M 245.3M -7.2M 0.93 3.23 75,852 70,860 1,396,797 1,136,502 2009-04-27 $16.17 $16.67 33.9% 9.7% 23.8% 27.9% 33.2% 3.5% -2.6% 5.5M 163.6M -7.3M 0.93 3.15 52,191 48,777 1,410,978 1,156,209 2009-04-28 $16.16 $16.67 34.6% 9.9% 23.4% 29.1% 33.9% 3.6% -2.8% 6.1M 175.6M -7.3M 0.92 3.44 76,011 70,008 1,421,886 1,161,726 2009-04-29 $16.82 $16.67 32.1% 9.2% 27.9% 24.7% 32.5% 3.4% -2.6% 14.5M -90.0M -7.9M 0.50 4.40 129,111 64,653 1,436,754 1,179,903 2009-04-30 $16.80 $16.67 31.4% 9.0% 27.3% 23.6% 31.7% 3.6% -1.7% 16.2M -102.0M -8.0M 0.43 4.34 54,015 23,238 1,479,312 1,192,500
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