WMT Options History — June 2009

In June 2009, WMT traded between $16.06 and $17.02. ATM implied volatility averaged 21.8%, placing in the 3.9% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 1.0% (HV 20d: 20.8%). Max pain ranged from $15.83 to $16.67. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.71.

Notable Days

  • 2009-06-08: Highest Volume — 255,807 contracts
  • 2009-06-25: Largest IV drop — 18.3% change
  • 2009-06-01: Highest IV Rank — 8.6%
  • 2009-06-16: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.46$16.06$17.02$16.86$16.15
Max Pain$16.63$15.83$16.67$16.67$15.83
ATM IV21.8%17.1%24.3%23.9%19.5%
Expected Move6.3%4.9%7.0%6.9%5.6%
HV 20d20.8%17.2%24.1%23.5%17.2%
HV 60d24.1%22.6%26.6%26.6%22.6%
IV Rank3.9%0.0%8.6%8.6%4.1%
IV Percentile5.6%0.0%16.3%13.9%1.2%
Term Structure2.9%0.5%4.0%0.5%3.2%
VWIV22.1%18.1%24.0%23.9%19.0%
Skew 25d2.7%1.8%3.8%1.8%2.6%
Skew 10d5.6%3.2%8.3%5.2%3.7%
Call IV 25d21.0%17.3%23.3%23.3%18.3%
Put IV 25d23.6%19.5%26.0%25.1%20.9%
Bid-Ask Spread %2.711.764.052.202.53
Gamma HHI0.170.130.260.170.16
Net GEX14.4M-136.6K29.0M23.4M8.1M
Net DEX38.8M-245.5M306.5M-132.0M122.1M
Net VEX-7.4M-8.1M-6.9M-7.6M-6.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.710.401.400.530.98
Total Volume134,824.22774,619255,807150,54096,822
Total OI2,826,117.9552,363,9883,130,9022,804,4902,537,469

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-06-01$16.86$16.6723.9%6.9%23.5%8.6%23.9%1.8%0.5%23.4M-132.0M-7.6M0.532.2098,43652,1041,520,5861,283,904
2009-06-02$16.64$16.6723.3%6.7%23.2%7.1%23.8%2.0%0.9%18.1M-3.9M-7.5M0.801.8341,42733,1921,539,0241,303,515
2009-06-03$16.96$16.6723.6%6.8%24.1%7.6%23.8%2.2%1.1%26.7M-208.7M-7.7M1.111.8161,76468,2561,541,3431,299,414
2009-06-04$16.96$16.6722.4%6.4%23.0%5.5%22.6%2.0%1.3%27.4M-197.1M-7.8M1.402.5665,37391,7101,554,4831,324,986
2009-06-05$17.02$16.6721.4%6.6%22.9%3.7%22.7%3.2%3.0%28.7M-245.5M-7.9M0.983.14105,411103,5991,577,5261,368,552
2009-06-08$16.94$16.6722.4%6.7%23.0%2.3%23.7%3.2%2.9%25.7M-183.4M-7.8M0.952.91131,139124,6681,580,2741,376,565
2009-06-09$16.87$16.6721.9%6.7%22.8%1.4%23.1%3.0%3.0%25.8M-144.6M-8.1M0.442.5383,19036,7621,652,2951,413,819
2009-06-10$16.69$16.6720.4%6.4%23.0%0.0%22.7%2.5%3.4%25.1M-47.3M-7.9M0.643.4079,11950,4931,650,2731,409,652
2009-06-11$16.44$16.6721.8%6.2%22.8%2.6%22.5%2.3%3.7%16.7M132.9M-7.5M0.402.6772,41729,0401,599,6001,430,082
2009-06-12$16.61$16.6721.3%6.1%22.1%1.7%21.9%2.1%4.0%29.0M-17.2M-7.4M0.653.6574,51748,4291,617,9721,388,667
2009-06-15$16.15$16.6724.0%6.9%23.3%6.6%23.7%2.5%3.2%4.8M267.4M-7.1M0.403.70123,75649,6531,624,2781,395,801
2009-06-16$16.08$16.6724.3%7.0%19.1%7.3%24.0%3.0%2.8%555.5K306.5M-7.0M0.702.8763,49244,7271,665,4081,410,966
2009-06-17$16.19$16.6723.6%6.8%18.9%5.9%23.8%2.7%3.5%4.3M239.3M-7.2M0.642.9787,42955,6381,660,2301,408,302
2009-06-18$16.23$16.6723.2%6.7%18.7%5.2%22.7%2.6%3.6%2.5M222.1M-7.2M0.583.5586,88650,6011,675,4671,423,917
2009-06-19$16.06$16.6722.5%6.4%19.0%3.8%22.9%3.7%3.4%-136.6K298.0M-6.9M0.614.05110,13966,9691,691,2411,439,661
2009-06-22$16.20$16.6722.8%6.5%19.3%4.5%22.0%3.8%3.4%6.2M86.7M-7.1M0.443.48112,84249,7131,278,2761,085,712
2009-06-23$16.12$16.6722.5%6.4%18.4%3.9%21.9%3.5%2.7%6.5M107.7M-7.1M0.662.1177,24450,7091,330,0531,109,649
2009-06-24$16.17$16.6721.4%6.1%17.9%1.9%20.8%3.0%3.4%9.1M80.1M-7.2M0.711.8060,02742,6631,368,7531,124,151
2009-06-25$16.38$16.6717.5%5.0%18.5%0.0%18.1%2.3%4.0%12.1M-4.6M-7.2M0.621.7662,64938,8621,365,0241,136,484
2009-06-26$16.21$16.6718.8%5.4%18.8%2.2%18.1%2.3%3.8%7.6M103.3M-6.9M0.662.2654,14735,5081,358,7661,135,401
2009-06-29$16.25$16.6717.1%4.9%17.6%0.0%18.3%2.2%3.2%9.5M72.3M-6.9M0.761.8253,81440,7971,372,2031,144,851
2009-06-30$16.15$15.8319.5%5.6%17.2%4.1%19.0%2.6%3.2%8.1M122.1M-6.9M0.982.5349,00847,8141,386,8131,150,656