WMT Options History — July 2009 In July 2009, WMT traded between $15.86 and $16.66. ATM implied volatility averaged 19.8%, placing in the 4.7% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 6.9% (HV 20d: 12.9%). Max pain ranged from $15.83 to $16.67. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.89.
Notable Days 2009-07-30 : Highest Volume — 184,632 contracts2009-07-16 : Largest IV spike — 12.2% change2009-07-07 : Highest IV Rank — 8.2%2009-07-08 : Largest Expected Move — 7.3%Monthly Statistics Metric Avg Min Max Open Close Price $16.20 $15.86 $16.66 $16.12 $16.63 Max Pain $15.87 $15.83 $16.67 $15.83 $16.67 ATM IV 19.8% 17.2% 21.9% 19.5% 19.9% Expected Move 6.1% 5.3% 7.3% 5.6% 5.7% HV 20d 12.9% 9.9% 16.4% 15.4% 9.9% HV 60d 19.9% 17.2% 22.6% 22.6% 17.2% IV Rank 4.7% 0.0% 8.2% 4.1% 4.9% IV Percentile 3.6% 0.4% 8.3% 1.2% 6.3% Term Structure 0.9% -0.2% 3.2% 3.1% 0.7% VWIV 21.4% 18.8% 25.7% 18.8% 20.2% Skew 25d 3.1% 2.1% 4.3% 2.9% 2.1% Skew 10d 5.7% 3.2% 8.6% 4.4% 3.7% Call IV 25d 19.9% 17.9% 22.7% 18.1% 19.4% Put IV 25d 22.9% 20.8% 27.0% 21.0% 21.6% Bid-Ask Spread % 3.33 1.75 4.55 2.62 3.34 Gamma HHI 0.19 0.16 0.22 0.16 0.22 Net GEX 9.1M -4.7M 23.5M 6.5M 22.7M Net DEX 99.9M -141.9M 278.9M 145.6M -124.3M Net VEX -6.9M -7.3M -6.6M -6.8M -7.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.89 0.42 1.70 0.71 0.61 Total Volume 113,556.136 60,666 184,632 85,284 89,511 Total OI 2,714,349.682 2,507,460 2,841,984 2,573,484 2,798,343
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 2009-07-01 $16.12 $15.83 19.5% 5.6% 15.4% 4.1% 18.8% 2.9% 3.1% 6.5M 145.6M -6.8M 0.71 2.62 49,983 35,301 1,396,497 1,176,987 2009-07-02 $15.93 $15.83 19.9% 5.7% 15.8% 4.9% 20.3% 2.7% 3.2% 2.6M 228.9M -6.8M 0.75 4.05 55,854 42,018 1,411,953 1,198,050 2009-07-06 $15.91 $15.83 20.5% 6.8% 15.6% 5.9% 23.8% 3.6% -0.0% 1.2M 240.1M -6.6M 0.86 2.73 79,413 68,154 1,428,879 1,206,024 2009-07-07 $15.95 $15.83 21.9% 7.1% 15.7% 8.2% 25.7% 4.0% -0.0% 3.1M 217.6M -6.8M 0.84 3.19 59,694 50,100 1,464,294 1,240,098 2009-07-08 $16.12 $15.83 21.9% 7.3% 16.4% 8.2% 25.7% 4.3% -0.2% 8.0M 96.3M -7.1M 1.00 3.86 67,404 67,134 1,488,036 1,258,386 2009-07-09 $16.03 $15.83 20.3% 7.0% 16.2% 5.6% 23.8% 3.9% -0.1% 2.2M 174.6M -6.9M 0.72 3.50 65,790 47,427 1,495,530 1,282,560 2009-07-10 $15.86 $15.83 19.9% 6.9% 15.8% 4.8% 24.5% 3.5% 0.1% -2.3M 278.9M -6.8M 0.68 3.68 75,312 51,072 1,507,350 1,294,476 2009-07-13 $15.94 $15.83 19.4% 6.6% 15.4% 4.0% 22.6% 3.7% 0.1% -4.7M 250.3M -6.6M 1.10 3.67 66,399 73,308 1,513,527 1,302,486 2009-07-14 $16.04 $15.83 17.2% 6.4% 12.2% 0.0% 21.8% 3.6% 0.2% -2.5M 176.8M -6.6M 0.96 3.69 42,543 40,899 1,524,138 1,305,177 2009-07-15 $16.18 $15.83 19.2% 6.3% 12.5% 3.6% 21.2% 4.0% 0.3% 6.5M 82.2M -6.7M 0.42 3.51 73,881 30,960 1,530,297 1,306,491 2009-07-16 $16.17 $15.83 21.6% 6.2% 12.3% 7.7% 20.6% 3.5% 0.2% 5.7M 89.1M -6.7M 0.67 3.48 51,273 34,371 1,536,627 1,305,357 2009-07-17 $16.16 $15.83 21.1% 6.0% 12.2% 6.8% 20.7% 3.6% 0.7% 7.9M 115.7M -6.6M 1.40 3.25 48,870 68,196 1,527,756 1,289,778 2009-07-20 $16.27 $15.83 18.7% 5.4% 11.8% 2.7% 19.3% 2.8% 1.5% 12.4M 72.7M -6.6M 0.69 3.56 86,385 59,343 1,368,015 1,139,445 2009-07-21 $16.29 $15.83 18.9% 5.4% 11.4% 3.0% 20.4% 2.9% 1.2% 13.7M 62.0M -6.7M 1.70 1.75 34,449 58,602 1,396,428 1,158,105 2009-07-22 $16.39 $15.83 18.5% 5.3% 11.5% 2.4% 19.7% 2.8% 1.5% 15.3M 12.7M -6.8M 1.09 4.55 68,076 74,223 1,408,311 1,177,170 2009-07-23 $16.25 $15.83 18.7% 5.4% 11.9% 2.8% 19.3% 2.5% 1.9% 13.3M 79.2M -6.8M 0.80 2.49 94,863 76,077 1,438,470 1,204,245 2009-07-24 $16.31 $15.83 19.4% 5.6% 10.9% 4.0% 20.5% 2.1% 1.5% 14.8M 61.0M -7.1M 1.21 3.40 30,990 37,527 1,468,581 1,239,855 2009-07-27 $16.32 $15.83 19.6% 5.6% 10.2% 4.2% 20.5% 2.2% 1.4% 15.2M 57.5M -7.1M 0.97 3.00 32,238 31,143 1,467,429 1,248,678 2009-07-28 $16.31 $15.83 19.5% 5.6% 10.2% 4.2% 20.3% 2.1% 1.5% 15.1M 59.1M -7.0M 0.96 2.79 30,894 29,772 1,476,381 1,246,374 2009-07-29 $16.46 $15.83 20.1% 5.8% 10.4% 5.1% 20.5% 2.1% 1.2% 19.1M -35.4M -7.2M 0.77 3.83 75,909 58,245 1,476,711 1,250,118 2009-07-30 $16.66 $15.83 20.5% 5.9% 11.1% 5.9% 21.1% 2.4% 0.4% 23.5M -141.9M -7.3M 0.73 3.25 106,980 77,652 1,495,935 1,266,345 2009-07-31 $16.63 $16.67 19.9% 5.7% 9.9% 4.9% 20.2% 2.1% 0.7% 22.7M -124.3M -7.2M 0.61 3.34 55,674 33,837 1,512,027 1,286,316
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