WMT Options History — November 2009

In November 2009, WMT traded between $16.63 and $18.32. ATM implied volatility averaged 18.6%, placing in the 9.4% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 3.6% (HV 20d: 15.1%). Max pain ranged from $16.67 to $16.67. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.91.

Notable Days

2009-11-11: Highest Volume — 518,523 contracts
2009-11-12: Largest IV drop — 31.3% change
2009-11-11: Highest IV Rank — 24.0%
2009-11-03: Largest Expected Move — 6.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$17.67	$16.63	$18.32	$16.76	$18.18
Max Pain	$16.67	$16.67	$16.67	$16.67	$16.67
ATM IV	18.6%	14.3%	26.3%	20.6%	16.1%
Expected Move	5.2%	4.1%	6.2%	5.9%	4.6%
HV 20d	15.1%	11.2%	17.3%	15.6%	11.2%
HV 60d	14.0%	13.4%	14.5%	14.1%	13.7%
IV Rank	9.4%	1.2%	24.0%	13.0%	5.5%
IV Percentile	18.3%	0.4%	48.4%	31.3%	6.0%
Term Structure	0.9%	-1.1%	2.5%	0.4%	2.0%
VWIV	18.7%	15.3%	22.0%	20.9%	17.4%
Skew 25d	2.2%	0.9%	2.9%	1.7%	2.2%
Skew 10d	4.7%	2.0%	6.3%	3.0%	5.2%
Call IV 25d	17.4%	13.9%	22.1%	20.5%	16.3%
Put IV 25d	19.6%	16.5%	23.2%	22.2%	18.4%
Bid-Ask Spread %	2.71	1.84	4.00	2.83	1.84
Gamma HHI	0.29	0.21	0.43	0.22	0.33
Net GEX	48.6M	8.0M	79.7M	12.0M	55.2M
Net DEX	-796.0M	-1.30B	62.9M	-39.9M	-984.1M
Net VEX	-8.0M	-8.6M	-7.4M	-8.4M	-7.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.91	0.36	1.80	0.61	0.89
Total Volume	187,099.8	68,928	518,523	106,461	197,835
Total OI	3,834,145.35	3,585,357	4,039,245	3,681,867	3,679,761

Daily Data (20 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
2009-11-02	$16.76	$16.67	20.6%	5.9%	15.6%	13.0%	20.9%	1.7%	0.4%	12.0M	-39.9M	-8.4M	0.61	2.83	66,201	40,260	1,946,481	1,735,386
2009-11-03	$16.63	$16.67	21.7%	6.2%	15.7%	15.1%	22.0%	1.1%	-0.4%	8.0M	62.9M	-8.4M	0.99	2.60	67,632	67,077	1,967,376	1,742,127
2009-11-04	$16.79	$16.67	21.6%	6.2%	16.0%	14.9%	21.8%	1.1%	-0.4%	16.3M	-97.0M	-8.5M	0.49	3.45	74,715	36,528	1,998,087	1,755,174
2009-11-05	$17.09	$16.67	21.0%	6.0%	17.0%	13.8%	21.5%	0.9%	-1.1%	31.7M	-392.4M	-8.6M	1.80	2.28	74,532	133,914	2,028,774	1,760,775
2009-11-06	$17.08	$16.67	21.3%	6.1%	17.0%	14.3%	20.9%	2.6%	0.2%	27.9M	-339.6M	-8.6M	1.28	2.66	49,404	63,165	2,019,075	1,807,515
2009-11-09	$17.33	$16.67	23.9%	6.1%	17.3%	19.2%	21.6%	2.6%	-0.4%	39.5M	-579.5M	-8.5M	1.08	2.11	111,885	120,363	2,022,669	1,791,573
2009-11-10	$17.44	$16.67	24.8%	6.0%	16.8%	21.0%	21.4%	2.1%	-0.2%	44.1M	-696.2M	-8.4M	0.46	3.41	170,346	77,565	2,045,994	1,824,804
2009-11-11	$17.66	$16.67	26.3%	6.1%	17.1%	24.0%	21.3%	1.5%	-0.7%	56.9M	-953.3M	-8.4M	0.37	2.75	379,299	139,224	2,107,527	1,821,753
2009-11-12	$17.75	$16.67	18.1%	5.2%	16.5%	8.2%	18.2%	2.7%	1.1%	76.1M	-1.09B	-8.3M	0.68	3.56	281,574	191,760	2,194,506	1,841,157
2009-11-13	$17.73	$16.67	17.1%	4.9%	16.5%	6.2%	17.3%	2.9%	1.6%	65.9M	-982.1M	-7.9M	0.86	2.72	87,570	75,537	2,117,247	1,873,491
2009-11-16	$17.72	$16.67	16.8%	4.8%	16.0%	5.7%	17.5%	2.6%	1.4%	63.3M	-955.2M	-7.8M	1.59	3.03	63,201	100,269	2,111,397	1,874,973
2009-11-17	$17.89	$16.67	16.8%	4.8%	16.1%	5.7%	17.3%	2.3%	0.8%	63.9M	-1.04B	-7.9M	0.53	3.34	109,758	58,539	2,100,024	1,911,033
2009-11-18	$18.05	$16.67	15.0%	4.3%	13.8%	2.2%	16.7%	2.4%	1.9%	66.8M	-1.18B	-7.7M	0.36	2.50	92,883	33,714	2,080,098	1,912,509
2009-11-19	$18.18	$16.67	15.9%	4.6%	13.7%	4.0%	16.6%	2.4%	1.6%	79.7M	-1.30B	-7.9M	0.64	4.00	115,536	73,581	2,100,249	1,909,128
2009-11-20	$18.09	$16.67	16.0%	4.6%	13.9%	4.2%	17.9%	2.8%	1.6%	46.7M	-1.16B	-7.9M	0.83	2.52	94,596	78,423	2,104,575	1,934,670
2009-11-23	$18.23	$16.67	15.2%	4.4%	12.7%	3.3%	15.6%	2.1%	1.9%	51.3M	-1.02B	-7.6M	0.92	1.93	85,677	78,720	1,871,130	1,714,227
2009-11-24	$18.28	$16.67	14.3%	4.1%	12.6%	1.2%	15.7%	2.6%	2.5%	56.9M	-1.08B	-7.7M	1.67	2.26	34,374	57,297	1,908,276	1,741,359
2009-11-25	$18.32	$16.67	14.8%	4.2%	12.6%	2.3%	15.3%	2.2%	2.4%	55.7M	-1.11B	-7.4M	1.33	2.24	38,679	51,435	1,908,039	1,746,618
2009-11-27	$18.21	$16.67	15.6%	4.5%	13.0%	4.2%	16.3%	2.3%	2.0%	53.7M	-992.5M	-7.6M	0.88	2.15	36,732	32,196	1,915,875	1,757,475
2009-11-30	$18.18	$16.67	16.1%	4.6%	11.2%	5.5%	17.4%	2.2%	2.0%	55.2M	-984.1M	-7.5M	0.89	1.84	104,685	93,150	1,924,194	1,755,567