WMT Options History — December 2009

In December 2009, WMT traded between $17.59 and $18.31. ATM implied volatility averaged 15.6%, placing in the 5.2% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 4.6% (HV 20d: 11.0%). Max pain ranged from $16.67 to $18.33. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.92.

Notable Days

  • 2009-12-08: Highest Volume — 2,497,974 contracts
  • 2009-12-31: Largest IV spike — 22.4% change
  • 2009-12-17: Highest IV Rank — 10.7%
  • 2009-12-17: Largest Expected Move — 5.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.99$17.59$18.31$18.25$17.82
Max Pain$17.31$16.67$18.33$16.67$17.50
ATM IV15.6%13.6%17.5%15.6%16.6%
Expected Move4.5%3.9%5.0%4.5%4.8%
HV 20d11.0%9.4%12.9%10.9%12.9%
HV 60d13.6%13.0%14.1%13.7%13.5%
IV Rank5.2%0.0%10.7%4.3%8.9%
IV Percentile6.9%0.0%20.2%4.0%14.3%
Term Structure1.7%1.2%2.7%1.4%1.2%
VWIV17.0%14.5%30.1%17.0%16.1%
Skew 25d2.2%0.9%2.9%1.4%2.2%
Skew 10d4.8%3.2%6.4%4.0%3.7%
Call IV 25d15.6%14.2%16.8%16.0%15.6%
Put IV 25d17.8%15.6%19.7%17.4%17.8%
Bid-Ask Spread %1.831.222.692.471.22
Gamma HHI0.390.230.560.340.38
Net GEX38.0M-11.7M71.8M60.4M19.7M
Net DEX-451.2M-1.09B26.9M-1.09B-155.6M
Net VEX-6.6M-7.5M-6.2M-7.5M-6.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.920.022.510.600.62
Total Volume201,304.63627,4142,497,97480,46075,513
Total OI3,369,003.4092,901,9663,754,7973,754,7973,058,728

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-12-01$18.25$16.6715.6%4.5%10.9%4.3%17.0%1.4%1.4%60.4M-1.09B-7.5M0.602.4750,32530,1351,960,0981,794,699
2009-12-02$18.19$16.6715.0%4.3%10.4%3.0%15.1%1.9%2.7%59.6M-1.05B-7.3M0.682.6963,48043,2241,925,2861,772,121
2009-12-03$18.15$16.6715.4%4.4%10.5%4.3%16.7%2.0%2.4%61.2M-1.01B-7.1M0.402.4761,14924,4141,952,2711,787,229
2009-12-04$18.08$16.6714.9%4.8%9.4%2.7%17.7%2.8%1.8%58.9M-870.7M-7.2M1.051.8946,46448,8881,943,4241,786,038
2009-12-07$18.31$16.6715.3%4.7%9.9%3.9%17.2%2.3%1.8%67.1M-1.09B-7.0M0.811.8652,50042,4051,947,3151,794,822
2009-12-08$18.14$16.6716.2%4.8%10.0%6.3%30.1%2.9%1.6%59.2M-908.2M-7.0M0.022.042,450,21147,7631,931,7781,803,954
2009-12-09$18.02$18.3314.6%4.7%10.4%2.1%17.4%2.3%1.9%46.0M-336.7M-6.7M1.042.2574,69477,9401,620,0241,811,508
2009-12-10$18.23$17.5015.7%4.5%10.2%5.5%16.2%2.1%2.3%67.3M-553.9M-6.9M0.712.0147,22033,6031,642,9591,818,312
2009-12-11$18.22$17.5015.7%4.5%10.2%5.4%16.2%2.1%2.2%71.8M-534.9M-6.7M0.891.5737,81233,6601,639,1581,817,205
2009-12-14$18.02$17.5016.4%4.7%11.0%7.4%17.0%2.3%1.4%48.8M-286.1M-6.5M1.091.5641,13944,7661,639,9171,825,968
2009-12-15$17.99$17.5015.8%4.5%11.0%5.6%17.3%2.6%1.9%47.4M-320.3M-6.4M1.112.0729,29832,5471,647,8131,818,324
2009-12-16$17.77$17.5017.1%4.9%11.5%9.5%16.9%2.9%1.6%11.5M-131.3M-6.3M2.021.8648,22297,4521,641,2791,805,349
2009-12-17$17.59$17.5017.5%5.0%11.5%10.7%18.0%2.4%1.3%-11.7M26.9M-6.5M1.411.8546,89966,3091,643,7541,846,329
2009-12-18$17.62$17.5017.1%4.9%11.1%9.7%17.5%2.2%1.4%4.2M-31.0M-6.3M0.931.4680,42174,9071,651,6351,818,138
2009-12-21$17.80$17.5016.2%4.7%11.8%7.1%16.8%2.4%1.2%19.0M-155.0M-6.3M1.101.9276,98384,7981,414,8421,487,124
2009-12-22$17.78$17.5015.8%4.5%11.4%5.7%15.5%2.6%1.3%17.5M-144.4M-6.3M0.751.6338,86829,1751,432,3621,533,168
2009-12-23$17.77$17.5015.3%4.4%11.3%4.4%15.6%2.2%1.8%18.7M-133.2M-6.3M2.511.8435,83889,9641,451,4271,517,439
2009-12-24$17.87$17.5015.3%4.4%11.5%4.4%14.6%1.7%1.6%21.6M-171.4M-6.4M0.281.7421,4385,9761,460,9881,558,497
2009-12-28$17.99$17.5014.5%4.2%11.7%2.0%15.7%1.8%1.4%24.9M-284.6M-6.4M0.511.2731,52416,1311,459,2991,560,354
2009-12-29$18.04$17.5014.4%4.1%11.7%1.7%14.7%0.9%1.3%28.5M-326.4M-6.5M0.661.2536,78324,3331,475,9431,564,815
2009-12-30$18.10$17.5013.6%3.9%11.7%0.0%14.5%1.5%2.2%34.3M-373.5M-6.2M1.071.4316,17017,3611,486,6951,569,687
2009-12-31$17.82$17.5016.6%4.8%12.9%8.9%16.1%2.2%1.2%19.7M-155.6M-6.3M0.621.2246,62028,8931,482,1321,576,596