WMT Options History — February 2010

In February 2010, WMT traded between $17.63 and $18.09. ATM implied volatility averaged 18.6%, placing in the 16.7% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 1.6% (HV 20d: 17.0%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 0.84.

Notable Days

2010-02-17: Highest Volume — 278,430 contracts
2010-02-04: Largest IV spike — 19.8% change
2010-02-08: Highest IV Rank — 30.1%
2010-02-04: Largest Expected Move — 6.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$17.85	$17.63	$18.09	$17.83	$18.02
Max Pain	$17.50	$17.50	$17.50	$17.50	$17.50
ATM IV	18.6%	13.5%	23.3%	19.4%	13.5%
Expected Move	5.2%	3.9%	6.2%	5.6%	3.9%
HV 20d	17.0%	15.0%	18.9%	16.6%	15.0%
HV 60d	14.3%	13.6%	14.5%	13.8%	14.4%
IV Rank	16.7%	2.0%	30.1%	19.0%	2.0%
IV Percentile	36.4%	0.4%	66.3%	45.6%	0.4%
Term Structure	-0.1%	-0.9%	1.1%	-0.2%	0.5%
VWIV	18.3%	14.6%	21.6%	19.2%	15.1%
Skew 25d	3.0%	1.8%	3.9%	3.0%	2.1%
Skew 10d	6.1%	3.8%	8.7%	4.9%	4.8%
Call IV 25d	17.0%	12.9%	20.7%	17.8%	12.9%
Put IV 25d	19.9%	15.0%	23.7%	20.8%	15.0%
Bid-Ask Spread %	3.49	1.89	5.20	4.76	5.20
Gamma HHI	0.32	0.26	0.42	0.31	0.37
Net GEX	13.0M	636.1K	34.3M	13.3M	17.3M
Net DEX	-84.8M	-234.0M	65.6M	-110.5M	-149.8M
Net VEX	-6.5M	-6.7M	-6.2M	-6.2M	-6.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.84	0.29	1.92	1.76	1.16
Total Volume	98,003.211	32,832	278,430	64,047	57,729
Total OI	2,233,782	2,076,519	2,447,373	2,076,519	2,338,452

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
2010-02-01	$17.83	$17.50	19.4%	5.6%	16.6%	19.0%	19.2%	3.0%	-0.2%	13.3M	-110.5M	-6.2M	1.76	4.76	23,169	40,878	992,178	1,084,341
2010-02-02	$17.83	$17.50	18.8%	5.4%	15.7%	17.2%	18.0%	2.7%	-0.1%	12.6M	-87.4M	-6.2M	0.68	3.02	19,491	13,341	996,402	1,112,241
2010-02-03	$18.09	$17.50	17.9%	5.1%	16.1%	14.8%	18.3%	1.8%	-0.9%	20.0M	-234.0M	-6.7M	0.33	2.51	56,100	18,420	1,000,269	1,114,548
2010-02-04	$17.66	$17.50	21.5%	6.2%	18.4%	25.1%	21.6%	3.1%	-0.9%	7.5M	10.4M	-6.6M	0.81	3.99	59,352	48,120	1,018,398	1,119,792
2010-02-05	$17.82	$17.50	22.8%	6.1%	18.7%	28.8%	21.5%	3.7%	-0.9%	14.2M	-92.6M	-6.7M	0.41	4.35	47,541	19,467	1,034,871	1,130,553
2010-02-08	$17.64	$17.50	23.3%	6.1%	18.9%	30.1%	20.8%	3.6%	-0.8%	9.1M	-313.2K	-6.6M	1.92	3.74	23,685	45,549	1,045,245	1,136,130
2010-02-09	$17.75	$17.50	22.6%	6.0%	18.0%	28.3%	20.4%	3.8%	-0.4%	12.7M	-35.4M	-6.7M	1.32	4.28	31,131	41,133	1,053,102	1,151,598
2010-02-10	$17.75	$17.50	22.3%	6.0%	17.6%	27.4%	20.8%	3.9%	-0.4%	11.4M	-31.3M	-6.7M	1.52	4.26	13,353	20,241	1,046,061	1,171,023
2010-02-11	$17.69	$17.50	20.3%	5.8%	17.5%	21.6%	19.9%	3.7%	-0.2%	9.5M	-10.3M	-6.7M	0.66	3.20	23,301	15,339	1,053,375	1,181,607
2010-02-12	$17.63	$17.50	19.7%	5.7%	16.8%	20.0%	19.7%	3.6%	0.1%	5.2M	65.6M	-6.5M	0.54	2.87	43,617	23,544	1,058,640	1,186,935
2010-02-16	$17.85	$17.50	20.1%	5.8%	17.1%	21.0%	19.1%	3.3%	-0.3%	19.9M	-98.5M	-6.4M	0.29	3.78	99,555	28,722	1,073,991	1,193,937
2010-02-17	$18.02	$17.50	18.6%	5.3%	17.3%	16.7%	19.2%	3.0%	0.0%	34.3M	-228.8M	-6.5M	0.66	3.76	167,604	110,826	1,122,672	1,203,120
2010-02-18	$17.82	$17.50	17.4%	5.0%	17.7%	13.2%	17.3%	2.6%	0.6%	636.1K	-53.9M	-6.2M	0.76	1.89	152,736	116,295	1,148,763	1,236,504
2010-02-19	$17.83	$17.50	16.6%	4.8%	16.5%	11.0%	16.4%	2.3%	1.1%	2.3M	-53.8M	-6.2M	0.56	3.38	88,557	49,461	1,163,154	1,284,219
2010-02-22	$17.94	$17.50	14.3%	4.1%	16.6%	4.2%	15.1%	2.5%	0.2%	9.9M	-90.0M	-6.3M	0.52	2.79	95,322	49,563	1,003,125	1,172,862
2010-02-23	$17.87	$17.50	16.2%	4.7%	16.7%	9.9%	15.8%	2.8%	-0.9%	10.2M	-69.2M	-6.4M	0.87	4.00	40,467	35,235	1,048,131	1,195,683
2010-02-24	$17.97	$17.50	14.0%	4.0%	16.1%	3.4%	15.3%	2.7%	0.4%	14.5M	-122.3M	-6.4M	0.53	2.28	35,556	18,960	1,064,451	1,211,796
2010-02-25	$18.05	$17.50	13.7%	3.9%	16.1%	2.7%	14.6%	1.9%	0.6%	22.0M	-219.2M	-6.3M	0.61	2.20	55,089	33,612	1,075,650	1,218,039
2010-02-26	$18.02	$17.50	13.5%	3.9%	15.0%	2.0%	15.1%	2.1%	0.5%	17.3M	-149.8M	-6.4M	1.16	5.20	26,694	31,035	1,094,574	1,243,878