WMT Options History — September 2009

In September 2009, WMT traded between $16.36 and $17.25. ATM implied volatility averaged 17.4%, placing in the 3.1% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 5.3% (HV 20d: 12.0%). 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 21 of 21 days. Put/call ratio averaged 0.78.

Notable Days

  • 2009-09-18: Highest Volume — 376,677 contracts
  • 2009-09-03: Largest IV drop — 11.7% change
  • 2009-09-10: Highest IV Rank — 6.1%
  • 2009-09-01: Largest Expected Move — 5.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.83$16.36$17.25$16.99$16.36
Max Pain$16.67$16.67$16.67$16.67$16.67
ATM IV17.4%15.5%19.2%19.2%17.1%
Expected Move5.1%4.6%5.5%5.5%4.9%
HV 20d12.0%9.2%14.1%13.8%14.1%
HV 60d12.4%11.7%13.7%13.6%12.8%
IV Rank3.1%0.0%6.1%5.5%2.7%
IV Percentile4.5%0.0%10.3%8.3%5.2%
Term Structure2.7%1.4%4.0%1.9%1.5%
VWIV17.8%16.1%19.4%18.8%17.2%
Skew 25d1.5%-0.1%2.9%2.3%-0.1%
Skew 10d3.3%0.1%6.5%3.9%0.5%
Call IV 25d17.4%16.1%18.4%18.1%17.7%
Put IV 25d18.8%16.9%20.7%20.3%17.6%
Bid-Ask Spread %2.661.353.652.032.93
Gamma HHI0.230.170.430.240.17
Net GEX23.2M7.1M58.6M26.8M8.2M
Net DEX-95.3M-386.8M211.5M-200.1M211.5M
Net VEX-7.6M-8.1M-7.2M-7.6M-7.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.780.271.420.950.93
Total Volume161,189.28655,224376,67795,805164,997
Total OI3,071,130.5712,772,2613,396,9272,926,7673,214,020

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-09-01$16.99$16.6719.2%5.5%13.8%5.5%18.8%2.3%1.9%26.8M-200.1M-7.6M0.952.0349,13446,6711,564,9591,361,808
2009-09-02$16.97$16.6718.9%5.4%12.7%5.0%18.7%2.4%2.1%26.6M-190.2M-7.7M1.421.3522,82132,4031,573,1851,370,643
2009-09-03$17.25$16.6716.7%4.8%13.5%1.2%17.5%1.5%2.4%34.1M-386.8M-7.8M0.771.5961,14647,1481,578,8761,379,091
2009-09-04$17.23$16.6715.5%5.2%13.5%0.0%19.4%2.9%3.1%36.0M-373.6M-7.6M0.863.4036,07831,0321,585,6621,383,588
2009-09-08$17.13$16.6716.7%5.2%13.5%2.0%19.3%2.8%3.4%34.0M-290.9M-7.5M1.393.5128,95040,0981,594,5511,394,649
2009-09-09$17.04$16.6717.6%5.4%13.6%3.5%18.4%2.7%3.1%30.1M-208.6M-7.3M1.063.5363,98467,8931,600,5091,413,153
2009-09-10$17.01$16.6719.1%5.5%13.3%6.1%18.5%2.2%2.6%29.0M-189.2M-7.4M0.603.51115,92969,5461,620,9691,439,136
2009-09-11$16.91$16.6718.8%5.4%9.2%5.6%18.5%2.3%2.5%25.4M-109.7M-7.3M0.911.9682,63575,1861,657,9021,452,036
2009-09-14$16.79$16.6718.0%5.2%9.4%4.3%18.5%1.9%3.1%21.6M-23.2M-7.2M1.251.6167,69884,3121,687,8511,487,187
2009-09-15$16.64$16.6717.7%5.1%9.7%3.7%18.1%1.7%2.8%17.0M112.4M-7.2M0.532.19150,53480,2921,703,4691,516,983
2009-09-16$16.68$16.6717.3%4.9%9.7%3.0%17.3%1.6%2.9%20.9M21.6M-7.4M0.542.42129,33070,0741,776,9811,533,723
2009-09-17$16.65$16.6717.1%4.9%9.4%2.7%17.2%1.5%3.2%32.9M35.9M-7.5M0.483.15135,71765,6641,802,3461,545,381
2009-09-18$16.70$16.6717.0%4.9%9.5%2.6%17.1%1.3%2.7%58.6M-197.0M-7.5M0.462.69257,460119,2171,841,6281,555,299
2009-09-21$16.97$16.6717.0%4.9%11.1%2.4%16.9%1.8%3.1%13.9M-175.4M-7.8M0.743.64139,941103,7581,462,9231,309,338
2009-09-22$17.00$16.6716.5%4.7%11.0%1.7%16.2%1.1%3.6%16.6M-217.3M-7.9M0.272.28126,94533,9451,519,9111,356,069
2009-09-23$16.80$16.6716.0%4.6%11.6%0.9%16.1%0.6%4.0%15.1M-104.6M-7.9M1.232.9364,94479,9321,575,5101,365,426
2009-09-24$16.90$16.6717.0%4.9%11.8%2.5%17.1%0.4%3.0%15.9M-156.9M-8.1M0.612.3185,47952,5091,586,6971,393,149
2009-09-25$16.49$16.6717.3%5.0%14.1%3.0%17.7%0.5%2.7%7.1M131.5M-7.8M0.563.65153,95485,6981,626,4021,403,361
2009-09-28$16.50$16.6716.8%4.8%14.1%2.2%17.2%0.2%2.5%9.5M133.6M-7.8M0.543.0953,42728,8451,677,3481,437,135
2009-09-29$16.41$16.6717.6%5.0%14.1%3.5%17.8%-0.0%1.4%8.1M175.9M-7.8M0.302.02138,36041,2891,697,7691,447,119
2009-09-30$16.36$16.6717.1%4.9%14.1%2.7%17.2%-0.1%1.5%8.2M211.5M-7.8M0.932.9385,66579,3321,744,6231,469,397