WMT Options History — January 2010

In January 2010, WMT traded between $17.54 and $18.34. ATM implied volatility averaged 16.7%, placing in the 10.5% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 2.0% (HV 20d: 14.7%). Max pain ranged from $17.50 to $18.33. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 17 of 19 days. Put/call ratio averaged 0.84.

Notable Days

2010-01-26: Highest Volume — 158,622 contracts
2010-01-14: Largest IV spike — 22.0% change
2010-01-29: Highest IV Rank — 20.4%
2010-01-29: Largest Expected Move — 5.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$17.89	$17.54	$18.34	$18.08	$17.81
Max Pain	$17.76	$17.50	$18.33	$17.50	$17.50
ATM IV	16.7%	12.8%	19.9%	15.6%	19.9%
Expected Move	4.9%	4.2%	5.7%	4.7%	5.7%
HV 20d	14.7%	13.1%	17.5%	14.0%	17.5%
HV 60d	13.8%	13.3%	14.0%	13.7%	13.9%
IV Rank	10.5%	0.0%	20.4%	6.1%	20.4%
IV Percentile	21.1%	0.0%	48.8%	8.3%	48.8%
Term Structure	0.3%	-0.3%	0.8%	0.1%	-0.3%
VWIV	17.1%	15.0%	19.5%	17.4%	19.2%
Skew 25d	2.2%	1.5%	2.8%	2.5%	2.8%
Skew 10d	4.6%	3.7%	5.6%	5.6%	4.3%
Call IV 25d	16.3%	14.6%	18.6%	16.1%	18.5%
Put IV 25d	18.4%	16.3%	21.3%	18.5%	21.3%
Bid-Ask Spread %	3.65	1.97	4.93	4.04	4.93
Gamma HHI	0.38	0.25	0.66	0.45	0.31
Net GEX	22.1M	3.5M	73.1M	32.0M	12.5M
Net DEX	-195.7M	-639.1M	72.8M	-356.2M	-109.1M
Net VEX	-6.1M	-6.7M	-5.7M	-6.2M	-6.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.84	0.39	1.82	0.75	0.77
Total Volume	102,260.526	43,254	158,622	149,241	125,196
Total OI	2,581,156.421	1,756,158	3,206,088	3,081,750	2,060,109

Daily Data (19 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
2010-01-04	$18.08	$17.50	15.6%	4.7%	14.0%	6.1%	17.4%	2.5%	0.1%	32.0M	-356.2M	-6.2M	0.75	4.04	85,428	63,813	1,495,464	1,586,286
2010-01-05	$17.90	$18.33	17.6%	5.0%	14.4%	12.0%	17.9%	2.4%	0.3%	24.4M	-206.6M	-6.3M	1.82	4.71	31,200	56,652	1,525,071	1,624,671
2010-01-06	$17.86	$17.50	18.0%	5.0%	13.5%	13.1%	17.0%	2.5%	0.2%	23.4M	-178.4M	-6.1M	0.54	4.19	39,258	21,087	1,519,416	1,631,298
2010-01-07	$17.87	$17.50	17.5%	4.9%	13.2%	11.7%	16.7%	2.3%	0.3%	26.6M	-200.1M	-6.0M	0.85	3.58	27,084	22,989	1,533,864	1,637,676
2010-01-08	$17.78	$17.50	15.4%	4.7%	13.1%	5.3%	16.3%	2.1%	0.4%	18.4M	-114.7M	-5.9M	0.86	3.82	39,681	34,020	1,534,722	1,627,860
2010-01-11	$18.07	$17.50	14.5%	4.5%	13.8%	2.9%	16.2%	1.8%	0.5%	41.6M	-373.5M	-6.0M	0.58	3.79	69,771	40,725	1,530,042	1,631,223
2010-01-12	$18.24	$17.50	15.1%	4.6%	14.3%	4.5%	16.1%	1.5%	0.1%	55.8M	-537.8M	-6.0M	0.39	3.46	106,626	41,949	1,531,890	1,634,472
2010-01-13	$18.34	$17.50	12.8%	4.5%	13.8%	0.0%	15.7%	1.7%	0.3%	73.1M	-639.1M	-6.0M	0.52	2.56	70,350	36,915	1,544,442	1,648,449
2010-01-14	$18.07	$18.33	15.6%	4.5%	14.8%	8.1%	15.8%	1.8%	0.2%	32.8M	-302.9M	-5.9M	0.54	4.48	73,008	39,507	1,533,330	1,660,986
2010-01-15	$17.89	$18.33	16.1%	4.6%	14.6%	9.4%	15.7%	2.0%	0.6%	8.9M	-168.2M	-5.7M	0.66	3.49	54,069	35,658	1,546,938	1,659,150
2010-01-19	$18.01	$18.33	14.5%	4.2%	14.1%	4.9%	15.0%	1.6%	0.5%	11.8M	-182.2M	-5.7M	0.74	3.53	80,823	59,829	834,915	921,243
2010-01-20	$17.95	$18.33	14.9%	4.3%	14.2%	6.2%	15.8%	2.0%	0.3%	14.6M	-167.8M	-5.9M	1.01	3.54	42,495	42,861	888,216	937,311
2010-01-21	$17.64	$18.33	16.7%	4.8%	15.2%	11.2%	16.9%	2.0%	0.7%	5.6M	-9.1M	-6.0M	1.12	1.97	54,603	61,212	897,315	957,042
2010-01-22	$17.65	$17.50	18.4%	5.3%	15.2%	16.2%	18.7%	2.3%	0.7%	6.4M	-42.2M	-6.2M	0.86	3.47	55,152	47,340	916,239	983,541
2010-01-25	$17.63	$17.50	17.8%	5.1%	15.2%	14.3%	17.6%	2.4%	0.8%	5.2M	-22.5M	-6.2M	1.59	3.16	45,426	72,057	927,225	1,002,519
2010-01-26	$17.87	$17.50	19.0%	5.5%	15.9%	17.9%	18.0%	2.4%	0.3%	11.3M	-117.6M	-6.4M	0.48	3.31	107,097	51,525	939,492	1,041,519
2010-01-27	$17.80	$17.50	18.7%	5.4%	15.7%	16.9%	18.6%	2.7%	0.6%	11.3M	-63.7M	-6.7M	1.11	3.75	20,457	22,797	979,587	1,066,932
2010-01-28	$17.54	$17.50	19.2%	5.5%	16.5%	18.4%	19.5%	2.5%	-0.1%	3.5M	72.8M	-6.6M	0.72	3.56	37,419	26,871	976,362	1,075,155
2010-01-29	$17.81	$17.50	19.9%	5.7%	17.5%	20.4%	19.2%	2.8%	-0.3%	12.5M	-109.1M	-6.3M	0.77	4.93	70,689	54,507	987,588	1,072,521