WMT Options History — August 2009

In August 2009, WMT traded between $16.33 and $17.29. ATM implied volatility averaged 20.0%, placing in the 5.4% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 7.7% (HV 20d: 12.2%). 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 19 of 21 days. Put/call ratio averaged 0.79.

Notable Days

  • 2009-08-11: Highest Volume — 788,052 contracts
  • 2009-08-13: Largest IV drop — 33.2% change
  • 2009-08-12: Highest IV Rank — 18.7%
  • 2009-08-11: Largest Expected Move — 6.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.94$16.33$17.29$16.61$16.96
Max Pain$16.67$16.67$16.67$16.67$16.67
ATM IV20.0%16.0%28.0%21.1%18.7%
Expected Move5.5%4.6%6.6%6.0%5.4%
HV 20d12.2%9.8%13.8%9.9%13.8%
HV 60d15.2%13.6%17.2%17.1%13.6%
IV Rank5.4%0.0%18.7%6.8%4.6%
IV Percentile8.9%0.0%32.9%9.1%6.3%
Term Structure1.9%-0.5%3.6%0.2%1.9%
VWIV19.9%16.8%25.2%21.9%18.5%
Skew 25d2.0%1.2%2.7%2.3%2.6%
Skew 10d4.2%2.0%5.9%5.1%4.2%
Call IV 25d19.0%16.2%22.6%20.6%17.6%
Put IV 25d21.0%17.8%24.4%22.9%20.2%
Bid-Ask Spread %1.951.412.972.891.86
Gamma HHI0.240.210.280.230.22
Net GEX31.6M15.4M50.7M23.6M25.6M
Net DEX-299.7M-649.8M60.0M-113.7M-175.3M
Net VEX-7.3M-7.6M-7.1M-7.2M-7.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.790.201.270.980.66
Total Volume184,857.71467,035788,05268,817125,190
Total OI2,949,452.5712,743,8543,150,2852,826,0542,891,235

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-08-03$16.61$16.6721.1%6.0%9.9%6.8%21.9%2.3%0.2%23.6M-113.7M-7.2M0.982.8934,78534,0321,529,7151,296,339
2009-08-04$16.62$16.6720.8%6.0%9.9%6.4%21.7%1.8%0.5%24.3M-125.7M-7.2M1.272.9763,72380,9851,538,8111,305,213
2009-08-05$16.40$16.6721.6%6.2%10.7%7.7%22.1%1.2%-0.5%16.8M18.6M-7.1M1.042.0152,65054,7411,556,3371,334,046
2009-08-06$16.33$16.6722.1%6.4%10.6%8.7%22.8%1.4%-0.5%15.4M60.0M-7.1M0.751.7453,71540,4341,566,7591,346,913
2009-08-07$16.43$16.6723.3%6.2%9.8%10.7%22.2%2.5%2.4%19.1M-17.9M-7.2M0.591.6874,14243,9081,578,0691,354,491
2009-08-10$16.57$16.6725.1%6.3%10.0%13.8%22.5%2.4%1.8%23.2M-108.0M-7.2M0.762.0273,93556,4271,591,2781,359,726
2009-08-11$16.68$16.6727.8%6.6%10.0%18.5%25.2%1.9%0.8%25.8M-200.4M-7.2M0.201.87659,280128,7721,612,0801,379,046
2009-08-12$16.84$16.6728.0%6.6%10.1%18.7%22.8%2.1%0.4%29.6M-272.6M-7.4M0.611.61257,139156,5881,573,7071,404,972
2009-08-13$17.29$16.6718.7%5.4%13.3%2.7%19.2%2.2%2.9%50.7M-649.8M-7.4M0.551.93275,829152,1871,642,0741,431,774
2009-08-14$17.26$16.6717.5%5.0%13.4%0.7%18.2%2.1%3.6%48.6M-634.8M-7.4M0.902.04118,419106,0351,637,2831,437,654
2009-08-17$17.19$16.6718.9%5.4%13.6%3.1%20.0%2.7%3.1%43.0M-534.6M-7.5M0.631.9897,15860,9931,625,7301,452,321
2009-08-18$17.12$16.6718.4%5.3%13.8%2.2%19.4%2.7%3.3%42.5M-473.3M-7.3M0.961.7759,51757,2191,633,0561,454,757
2009-08-19$17.22$16.6718.2%5.2%13.8%1.8%19.1%2.3%3.4%45.4M-529.3M-7.3M0.852.3898,73384,3091,636,2451,456,401
2009-08-20$17.24$16.6718.0%5.2%13.2%1.5%19.2%2.1%3.5%41.4M-537.3M-7.4M0.612.2255,80633,9001,655,8261,478,703
2009-08-21$17.12$16.6717.2%4.9%13.6%0.0%18.2%1.8%3.5%41.3M-414.0M-7.4M0.642.0575,35148,2821,659,1261,491,159
2009-08-24$17.18$16.6716.9%4.8%13.6%0.0%18.1%2.2%1.4%28.7M-324.1M-7.3M1.041.9156,79659,3521,473,6631,270,191
2009-08-25$17.22$16.6716.6%4.8%13.5%0.0%17.0%2.0%1.6%30.4M-355.1M-7.4M0.301.60108,14132,7241,486,5871,286,178
2009-08-26$17.27$16.6716.0%4.6%13.3%0.0%16.8%1.6%2.2%34.1M-393.8M-7.5M1.041.4232,83234,2031,523,5231,296,237
2009-08-27$17.08$16.6717.3%5.0%13.6%2.3%16.8%1.4%2.0%27.5M-265.5M-7.5M1.161.4154,74163,6931,513,0951,310,064
2009-08-28$17.04$16.6717.3%5.0%13.6%2.2%16.9%1.4%1.9%27.8M-247.0M-7.6M1.001.5862,77562,5711,535,5021,332,618
2009-08-31$16.96$16.6718.7%5.4%13.8%4.6%18.5%2.6%1.9%25.6M-175.3M-7.6M0.661.8675,19849,9921,546,9561,344,279