WMT Options History — March 2010

In March 2010, WMT traded between $17.86 and $18.66. ATM implied volatility averaged 14.4%, placing in the 5.4% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 2.3% (HV 20d: 12.1%). Max pain ranged from $17.50 to $18.33. Net GEX was positive for 22 of 23 trading days. Term structure was in contango for 21 of 23 days. Put/call ratio averaged 0.71.

Notable Days

2010-03-09: Highest Volume — 4,753,530 contracts
2010-03-09: Largest IV spike — 13.7% change
2010-03-19: Highest IV Rank — 10.6%
2010-03-19: Largest Expected Move — 4.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$18.30	$17.86	$18.66	$17.97	$18.53
Max Pain	$17.97	$17.50	$18.33	$17.50	$18.33
ATM IV	14.4%	12.5%	16.2%	14.3%	14.0%
Expected Move	4.1%	3.7%	4.6%	4.1%	4.0%
HV 20d	12.1%	8.9%	14.3%	14.1%	12.7%
HV 60d	14.5%	13.8%	15.0%	14.4%	14.1%
IV Rank	5.4%	0.0%	10.6%	4.5%	4.2%
IV Percentile	7.3%	0.0%	23.0%	2.8%	4.4%
Term Structure	1.3%	-1.1%	2.8%	0.1%	2.5%
VWIV	14.6%	11.3%	16.2%	15.6%	14.8%
Skew 25d	1.4%	-0.2%	2.6%	1.8%	-0.2%
Skew 10d	3.5%	-0.1%	6.7%	3.5%	-0.1%
Call IV 25d	14.1%	12.6%	15.8%	13.8%	15.2%
Put IV 25d	15.5%	13.8%	17.6%	15.6%	15.1%
Bid-Ask Spread %	3.40	1.97	5.41	3.54	2.31
Gamma HHI	0.36	0.20	0.61	0.37	0.29
Net GEX	28.6M	-4.1M	81.6M	17.8M	31.8M
Net DEX	-313.8M	-649.5M	69.8M	-168.7M	-382.8M
Net VEX	-6.2M	-6.5M	-6.0M	-6.1M	-6.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.71	0.01	2.32	0.99	0.42
Total Volume	298,716.13	39,699	4,753,530	57,021	51,816
Total OI	2,239,679.739	1,860,909	2,508,657	2,353,389	2,036,358

Daily Data (23 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
2010-03-01	$17.97	$17.50	14.3%	4.1%	14.1%	4.5%	15.6%	1.8%	0.1%	17.8M	-168.7M	-6.1M	0.99	3.54	28,644	28,377	1,106,121	1,247,268
2010-03-02	$17.86	$17.50	15.1%	4.3%	14.3%	6.6%	15.2%	1.5%	-1.1%	9.5M	-51.9M	-6.3M	0.47	3.84	27,054	12,645	1,118,970	1,257,411
2010-03-03	$17.89	$17.50	14.8%	4.2%	14.3%	5.7%	14.8%	1.3%	-0.8%	12.5M	-90.3M	-6.2M	0.26	5.25	73,848	19,275	1,125,366	1,262,760
2010-03-04	$17.99	$17.50	13.2%	3.8%	13.4%	1.1%	14.5%	1.1%	0.8%	22.6M	-244.0M	-6.2M	0.57	3.32	48,834	27,891	1,173,468	1,271,949
2010-03-05	$18.05	$18.33	12.5%	3.7%	10.1%	0.0%	13.9%	1.9%	2.1%	28.6M	-279.2M	-6.1M	0.95	3.27	36,063	34,155	1,172,481	1,278,405
2010-03-08	$18.05	$17.50	13.2%	3.7%	9.6%	2.2%	13.7%	2.0%	2.0%	24.9M	-266.8M	-6.0M	0.40	4.24	37,716	14,919	1,177,929	1,282,392
2010-03-09	$18.02	$17.50	15.1%	3.9%	8.9%	7.4%	11.3%	1.4%	1.6%	28.3M	-296.0M	-6.1M	0.01	4.65	4,710,039	43,491	1,186,776	1,287,546
2010-03-10	$17.88	$17.50	15.2%	4.3%	9.2%	7.7%	14.3%	2.4%	1.5%	-4.1M	69.8M	-6.1M	0.53	3.82	62,745	33,006	1,015,173	1,278,162
2010-03-11	$17.99	$17.50	13.3%	3.8%	9.4%	2.5%	14.0%	2.6%	2.2%	18.6M	-62.4M	-6.1M	0.71	2.67	27,510	19,581	1,030,596	1,265,220
2010-03-12	$17.97	$17.50	13.7%	3.9%	9.4%	3.5%	15.0%	2.5%	1.7%	11.3M	-39.8M	-6.1M	1.23	3.44	21,645	26,586	1,022,913	1,269,354
2010-03-15	$18.47	$17.50	14.7%	4.2%	13.3%	6.3%	14.9%	2.0%	1.1%	65.7M	-471.1M	-6.1M	0.28	5.41	250,617	70,797	1,028,529	1,273,914
2010-03-16	$18.66	$18.33	14.7%	4.2%	13.1%	6.5%	14.7%	1.6%	0.9%	59.2M	-649.5M	-6.1M	0.53	4.17	171,246	90,933	1,092,339	1,278,351
2010-03-17	$18.64	$18.33	15.9%	4.5%	12.9%	9.7%	15.9%	1.9%	0.4%	55.2M	-637.1M	-6.4M	2.32	3.59	45,156	104,862	1,141,458	1,311,987
2010-03-18	$18.65	$18.33	15.2%	4.4%	12.0%	7.9%	15.2%	1.9%	0.7%	41.0M	-595.3M	-6.5M	0.56	4.98	46,644	26,268	1,140,423	1,363,419
2010-03-19	$18.45	$18.33	16.2%	4.6%	12.8%	10.6%	16.2%	1.7%	0.1%	81.6M	-479.4M	-6.3M	0.42	3.22	122,949	51,147	1,144,686	1,363,971
2010-03-22	$18.54	$18.33	14.8%	4.2%	12.8%	6.7%	14.9%	1.6%	1.9%	14.2M	-335.2M	-6.4M	1.58	2.60	51,033	80,577	905,415	955,494
2010-03-23	$18.63	$18.33	14.1%	4.0%	12.6%	4.7%	14.3%	1.4%	2.1%	19.7M	-391.7M	-6.2M	1.43	2.60	18,126	25,914	917,502	953,466
2010-03-24	$18.53	$18.33	14.2%	4.1%	12.9%	5.0%	14.4%	0.6%	2.1%	17.2M	-311.6M	-6.5M	0.84	2.30	60,162	50,604	922,986	962,043
2010-03-25	$18.54	$18.33	14.3%	4.1%	12.8%	5.1%	14.5%	0.9%	2.4%	22.0M	-360.6M	-6.4M	0.86	2.63	32,394	27,951	962,181	971,583
2010-03-26	$18.50	$18.33	13.8%	4.0%	12.8%	3.8%	14.0%	0.7%	2.8%	22.0M	-344.6M	-6.5M	0.51	1.99	32,112	16,407	974,916	985,815
2010-03-29	$18.58	$18.33	14.8%	4.2%	12.7%	6.5%	15.4%	0.4%	2.0%	25.2M	-387.7M	-6.3M	0.18	1.97	55,818	9,975	986,145	989,109
2010-03-30	$18.64	$18.33	14.3%	4.1%	12.4%	5.4%	14.5%	0.2%	2.0%	33.6M	-442.3M	-6.3M	0.24	2.37	34,686	8,253	1,027,728	992,556
2010-03-31	$18.53	$18.33	14.0%	4.0%	12.7%	4.2%	14.8%	-0.2%	2.5%	31.8M	-382.8M	-6.4M	0.42	2.31	36,429	15,387	1,044,267	992,091