WMT Options History — October 2009 In October 2009, WMT traded between $16.33 and $17.30. ATM implied volatility averaged 17.4%, placing in the 5.8% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 3.4% (HV 20d: 14.0%). Max pain ranged from $16.67 to $16.67. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.75.
Notable Days 2009-10-19 : Highest Volume — 289,749 contracts2009-10-15 : Largest IV spike — 22.3% change2009-10-30 : Highest IV Rank — 11.2%2009-10-30 : Largest Expected Move — 5.6%Monthly Statistics Metric Avg Min Max Open Close Price $16.71 $16.33 $17.30 $16.33 $16.56 Max Pain $16.67 $16.67 $16.67 $16.67 $16.67 ATM IV 17.4% 13.9% 19.7% 17.9% 19.7% Expected Move 5.3% 4.8% 5.6% 5.1% 5.6% HV 20d 14.0% 12.5% 16.1% 14.1% 15.1% HV 60d 13.0% 12.3% 13.9% 12.6% 13.9% IV Rank 5.8% 0.0% 11.2% 4.0% 11.2% IV Percentile 11.9% 0.0% 27.8% 10.3% 27.8% Term Structure 0.8% 0.1% 1.9% 1.8% 0.6% VWIV 18.6% 17.1% 20.1% 18.2% 20.1% Skew 25d 1.4% 0.4% 2.4% 0.4% 1.4% Skew 10d 3.3% 0.7% 5.2% 1.8% 3.8% Call IV 25d 18.2% 16.4% 19.8% 18.6% 19.8% Put IV 25d 19.6% 17.8% 21.7% 18.9% 21.2% Bid-Ask Spread % 2.95 2.09 4.35 3.21 3.09 Gamma HHI 0.20 0.16 0.26 0.16 0.20 Net GEX 18.0M 4.2M 31.1M 9.9M 4.2M Net DEX -73.5M -509.4M 205.9M 176.9M 116.2M Net VEX -8.0M -8.3M -7.6M -7.9M -8.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.75 0.29 1.54 0.68 1.05 Total Volume 144,879.682 70,002 289,749 147,750 99,279 Total OI 3,411,077.864 3,164,559 3,647,976 3,274,914 3,647,976
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 2009-10-01 $16.33 $16.67 17.9% 5.1% 14.1% 4.0% 18.2% 0.4% 1.8% 9.9M 176.9M -7.9M 0.68 3.21 87,945 59,805 1,781,328 1,493,586 2009-10-02 $16.36 $16.67 17.7% 5.1% 12.5% 3.8% 18.0% 0.5% 1.9% 10.2M 187.8M -8.0M 1.21 2.85 31,635 38,367 1,792,548 1,505,052 2009-10-05 $16.35 $16.67 17.6% 5.6% 12.5% 3.5% 20.0% 2.4% 0.6% 8.9M 205.9M -7.9M 0.49 4.31 51,321 25,197 1,798,377 1,516,950 2009-10-06 $16.49 $16.67 17.5% 5.6% 13.1% 3.4% 19.8% 2.3% 0.2% 13.4M 78.0M -8.0M 0.56 2.14 83,862 46,800 1,809,621 1,525,818 2009-10-07 $16.50 $16.67 17.0% 5.4% 13.0% 2.5% 19.2% 2.2% 0.6% 16.9M 78.4M -8.1M 0.29 2.09 81,213 23,829 1,837,056 1,537,380 2009-10-08 $16.58 $16.67 15.5% 5.3% 13.2% 0.0% 18.8% 2.2% 0.4% 21.6M 22.8M -8.1M 0.54 2.45 86,382 46,572 1,838,073 1,547,223 2009-10-09 $16.66 $16.67 13.9% 5.2% 13.2% 0.0% 18.1% 1.8% 0.5% 29.1M -74.2M -8.0M 0.62 2.68 68,292 42,591 1,829,463 1,544,286 2009-10-12 $16.54 $16.67 15.8% 5.1% 13.3% 3.3% 17.9% 1.8% 0.8% 20.6M 72.8M -7.6M 0.52 3.24 87,846 46,089 1,823,364 1,545,087 2009-10-13 $16.78 $16.67 14.7% 5.1% 14.0% 1.6% 17.8% 2.1% 0.8% 31.1M -199.5M -7.7M 0.54 4.35 80,241 43,371 1,880,376 1,551,348 2009-10-14 $16.73 $16.67 14.4% 5.0% 14.0% 1.0% 18.0% 1.9% 0.7% 24.7M -134.2M -7.6M 0.75 3.17 55,065 41,346 1,842,753 1,554,708 2009-10-15 $16.98 $16.67 17.6% 5.0% 14.9% 7.2% 17.4% 1.9% 0.7% 25.0M -369.2M -7.7M 0.64 2.93 113,661 72,324 1,848,936 1,563,918 2009-10-16 $17.07 $16.67 17.6% 5.0% 15.0% 7.2% 17.1% 1.8% 0.6% 22.3M -467.8M -7.8M 0.43 4.33 102,738 43,803 1,861,785 1,600,722 2009-10-19 $17.30 $16.67 16.6% 4.8% 14.7% 5.4% 17.2% 1.1% 0.6% 31.0M -509.4M -7.7M 0.86 3.68 155,460 134,289 1,695,240 1,469,319 2009-10-20 $17.23 $16.67 17.6% 5.0% 14.7% 7.2% 18.1% 1.1% 0.1% 31.0M -452.2M -8.0M 0.95 3.14 63,846 60,891 1,772,862 1,518,597 2009-10-21 $16.88 $16.67 18.6% 5.3% 16.1% 9.2% 18.7% 0.8% 0.6% 21.1M -170.7M -8.0M 0.71 2.44 111,342 79,332 1,799,250 1,532,019 2009-10-22 $16.83 $16.67 18.4% 5.3% 16.0% 8.8% 18.6% 0.4% 0.9% 18.4M -132.8M -7.9M 0.63 2.19 161,655 101,106 1,815,576 1,562,919 2009-10-23 $16.81 $16.67 18.8% 5.4% 13.1% 9.5% 19.1% 0.9% 1.0% 17.4M -119.5M -8.3M 0.75 2.46 113,250 84,804 1,869,498 1,595,829 2009-10-26 $16.61 $16.67 19.2% 5.5% 13.9% 10.2% 19.6% 0.8% 0.5% 10.3M 38.2M -8.0M 1.54 2.46 65,142 100,632 1,911,192 1,623,573 2009-10-27 $16.62 $16.67 19.0% 5.4% 13.8% 9.9% 19.5% 1.1% 0.5% 8.9M 44.1M -8.2M 0.57 2.33 66,936 37,887 1,910,973 1,665,186 2009-10-28 $16.63 $16.67 19.5% 5.6% 13.7% 10.9% 19.9% 1.0% 0.8% 9.1M 37.8M -8.3M 1.23 2.95 88,476 108,696 1,928,538 1,679,208 2009-10-29 $16.80 $16.67 18.4% 5.3% 14.0% 8.7% 18.8% 1.2% 1.1% 11.6M -45.8M -8.2M 0.94 2.35 48,531 45,504 1,913,331 1,702,869 2009-10-30 $16.56 $16.67 19.7% 5.6% 15.1% 11.2% 20.1% 1.4% 0.6% 4.2M 116.2M -8.3M 1.05 3.09 48,474 50,805 1,932,024 1,715,952
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