WMT Options History — May 2009

In May 2009, WMT traded between $16.05 and $16.97. ATM implied volatility averaged 28.9%, placing in the 18.3% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 3.1% (HV 20d: 25.8%). Max pain ranged from $16.67 to $16.67. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 0.68.

Notable Days

  • 2009-05-12: Highest Volume — 842,526 contracts
  • 2009-05-14: Largest IV drop — 43.9% change
  • 2009-05-13: Highest IV Rank — 52.0%
  • 2009-05-01: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.58$16.05$16.97$16.68$16.58
Max Pain$16.67$16.67$16.67$16.67$16.67
ATM IV28.9%22.4%47.6%31.3%22.4%
Expected Move7.6%6.4%9.0%9.0%6.4%
HV 20d25.8%22.7%27.9%26.5%22.8%
HV 60d29.0%26.9%32.1%32.1%26.9%
IV Rank18.3%5.7%52.0%23.4%5.7%
IV Percentile32.5%5.2%85.7%40.5%5.2%
Term Structure0.7%-1.3%2.1%-1.3%1.9%
VWIV26.6%22.6%31.6%31.6%22.6%
Skew 25d2.9%1.5%4.8%2.8%1.5%
Skew 10d5.6%3.8%9.4%4.5%4.4%
Call IV 25d25.5%21.6%30.1%30.1%22.4%
Put IV 25d28.4%24.0%33.5%32.9%24.0%
Bid-Ask Spread %2.421.434.724.722.11
Gamma HHI0.150.130.210.130.16
Net GEX12.4M-7.8M20.5M15.1M17.4M
Net DEX51.9M-181.4M406.5M-44.4M23.4M
Net VEX-7.5M-7.9M-7.0M-7.7M-7.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.680.121.000.620.42
Total Volume195,698.762,748842,52671,73962,748
Total OI2,790,8582,559,9933,008,4182,698,4642,792,634

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-05-01$16.68$16.6731.3%9.0%26.5%23.4%31.6%2.8%-1.3%15.1M-44.4M-7.7M0.624.7244,26527,4741,499,9161,198,548
2009-05-04$16.95$16.6733.5%8.4%27.3%27.2%28.8%4.8%-0.1%20.5M-181.4M-7.9M0.651.8673,68647,6461,506,7291,204,923
2009-05-05$16.82$16.6732.6%8.4%27.3%25.6%29.3%4.1%0.3%16.0M-70.4M-7.6M0.722.5357,83441,7871,509,7321,218,075
2009-05-06$16.50$16.6736.0%8.8%27.2%31.7%31.6%4.0%-0.5%12.4M50.0M-7.5M1.002.90136,041136,1071,526,8381,223,904
2009-05-07$16.63$16.6733.7%8.6%27.4%27.6%30.2%3.7%-0.7%13.3M13.1M-7.7M0.732.55119,24486,4631,567,5001,286,034
2009-05-08$16.71$16.6730.6%8.3%24.1%22.2%28.9%3.2%-0.1%14.8M-20.3M-7.6M0.803.2657,26145,7651,578,4201,301,670
2009-05-11$16.88$16.6735.0%8.3%23.5%30.0%28.8%3.2%-0.2%17.3M-95.1M-7.5M0.692.50102,17170,3441,593,4681,321,260
2009-05-12$16.97$16.6737.8%8.3%23.5%34.8%30.0%3.5%0.2%19.9M-145.3M-7.6M0.122.42755,53286,9941,610,0791,326,720
2009-05-13$16.68$16.6747.6%8.4%24.2%52.0%29.8%2.8%-0.3%13.3M52.2M-7.7M0.822.12181,476149,4001,581,2251,353,618
2009-05-14$16.37$16.6726.7%7.6%24.8%15.3%26.9%2.2%1.6%1.4M273.0M-7.4M0.521.82188,29298,1991,624,8391,383,579
2009-05-15$16.05$16.6727.1%7.8%25.4%14.2%26.8%2.0%2.1%-7.8M406.5M-7.0M0.881.67100,45588,4551,636,0501,364,448
2009-05-18$16.64$16.6723.7%6.8%27.9%8.1%24.2%2.6%0.9%11.7M55.4M-7.4M0.742.16137,736102,1321,359,8821,200,111
2009-05-19$16.45$16.6723.0%6.6%27.9%6.9%23.5%2.6%1.0%8.8M122.3M-7.4M0.631.4375,28247,6281,399,6471,242,291
2009-05-20$16.31$16.6723.3%6.7%27.4%7.5%24.0%2.6%0.8%6.0M203.4M-7.2M0.682.72133,24890,6901,422,7771,246,056
2009-05-21$16.37$16.6723.7%6.8%27.4%8.1%24.1%2.9%1.5%10.9M121.6M-7.5M0.692.5581,04256,0641,484,9221,259,220
2009-05-22$16.42$16.6722.4%6.4%26.3%5.8%22.8%2.6%1.8%12.6M106.3M-7.5M0.791.5141,55932,9101,474,9711,251,192
2009-05-26$16.67$16.6722.4%6.4%26.4%5.8%22.7%2.9%1.4%17.6M-5.6M-7.4M0.872.2857,13849,7431,478,2171,257,225
2009-05-27$16.44$16.6722.7%6.5%27.0%6.3%22.9%2.4%1.4%12.3M111.6M-7.3M0.723.4673,33252,9081,481,4421,267,464
2009-05-28$16.52$16.6723.0%6.6%22.7%6.8%23.5%2.0%1.8%15.0M61.7M-7.5M0.541.9281,36643,5571,504,2871,277,247
2009-05-29$16.58$16.6722.4%6.4%22.8%5.7%22.6%1.5%1.9%17.4M23.4M-7.5M0.422.1144,24418,5041,512,8191,279,815