WMT Options History — April 2010

In April 2010, WMT traded between $17.87 and $18.51. ATM implied volatility averaged 14.7%, placing in the 6.4% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 6.2% (HV 20d: 8.5%). Max pain ranged from $18.33 to $18.33. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.72.

Notable Days

2010-04-27: Highest Volume — 137,724 contracts
2010-04-15: Largest IV spike — 17.4% change
2010-04-30: Highest IV Rank — 15.8%
2010-04-30: Largest Expected Move — 5.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$18.20	$17.87	$18.51	$18.50	$17.88
Max Pain	$18.33	$18.33	$18.33	$18.33	$18.33
ATM IV	14.7%	12.9%	18.0%	13.2%	18.0%
Expected Move	4.4%	3.8%	5.2%	3.8%	5.2%
HV 20d	8.5%	5.8%	12.8%	12.7%	6.3%
HV 60d	12.8%	11.3%	14.0%	14.0%	11.3%
IV Rank	6.4%	1.1%	15.8%	2.1%	15.8%
IV Percentile	15.9%	0.8%	54.8%	1.2%	54.8%
Term Structure	-0.1%	-1.6%	2.8%	2.8%	-1.6%
VWIV	15.7%	13.5%	17.5%	13.5%	17.4%
Skew 25d	2.2%	0.0%	2.6%	0.0%	2.3%
Skew 10d	5.3%	1.2%	6.9%	1.2%	5.5%
Call IV 25d	14.8%	13.1%	16.7%	14.6%	16.7%
Put IV 25d	17.0%	14.6%	19.1%	14.6%	19.0%
Bid-Ask Spread %	3.78	2.23	7.30	3.18	7.30
Gamma HHI	0.24	0.17	0.31	0.28	0.24
Net GEX	15.1M	2.4M	32.7M	31.2M	4.2M
Net DEX	-152.0M	-365.8M	13.0M	-358.1M	7.8M
Net VEX	-6.1M	-6.5M	-5.9M	-6.3M	-6.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.72	0.29	1.10	1.05	0.41
Total Volume	73,865.857	34,638	137,724	58,158	34,638
Total OI	2,050,650.286	1,861,638	2,181,240	2,062,941	2,110,002

Daily Data (21 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
2010-04-01	$18.50	$18.33	13.2%	3.8%	12.7%	2.1%	13.5%	0.0%	2.8%	31.2M	-358.1M	-6.3M	1.05	3.18	28,329	29,829	1,061,766	1,001,175
2010-04-05	$18.50	$18.33	14.2%	4.7%	12.7%	4.9%	16.3%	2.2%	-0.4%	32.7M	-365.8M	-6.3M	0.61	2.90	31,701	19,371	1,068,306	1,011,966
2010-04-06	$18.51	$18.33	14.3%	4.5%	12.7%	5.4%	16.0%	2.5%	-0.3%	31.4M	-334.4M	-6.5M	0.81	3.05	32,379	26,193	1,072,971	1,020,051
2010-04-07	$18.43	$18.33	14.4%	4.6%	12.8%	5.5%	16.2%	2.1%	-0.6%	26.8M	-276.9M	-6.4M	0.45	4.35	42,096	18,744	1,075,017	1,023,621
2010-04-08	$18.46	$18.33	13.8%	4.5%	12.4%	3.7%	15.8%	2.1%	-0.5%	27.9M	-323.2M	-6.2M	0.51	4.12	29,520	15,159	1,075,017	1,023,621
2010-04-09	$18.36	$18.33	12.9%	4.4%	12.5%	1.1%	16.4%	1.9%	-0.3%	23.0M	-222.5M	-6.3M	0.97	4.56	47,088	45,477	1,084,230	1,029,834
2010-04-12	$18.34	$18.33	13.7%	4.5%	12.5%	3.6%	15.8%	2.1%	-0.3%	23.5M	-236.6M	-6.1M	0.79	3.30	28,284	22,233	1,081,008	1,039,533
2010-04-13	$18.24	$18.33	13.5%	4.4%	7.7%	3.0%	15.7%	2.4%	-0.2%	24.4M	-155.7M	-6.0M	0.69	5.46	44,214	30,609	1,088,025	1,039,383
2010-04-14	$18.21	$18.33	13.2%	4.3%	6.5%	2.0%	15.4%	2.0%	-0.0%	27.8M	-159.5M	-5.9M	1.08	3.74	42,282	45,510	1,097,358	1,045,728
2010-04-15	$18.04	$18.33	15.4%	4.4%	7.1%	8.5%	16.2%	2.4%	-0.3%	10.0M	10.2M	-6.0M	1.10	3.27	54,237	59,571	1,100,013	1,048,392
2010-04-16	$18.04	$18.33	15.1%	4.3%	7.1%	7.5%	15.4%	2.4%	-0.2%	2.4M	13.0M	-5.9M	0.96	4.52	62,193	59,907	1,107,318	1,073,922
2010-04-19	$18.13	$18.33	14.4%	4.1%	6.6%	5.5%	14.6%	2.6%	0.1%	4.1M	-101.6M	-6.1M	0.61	3.66	36,996	22,422	889,671	971,967
2010-04-20	$18.17	$18.33	13.8%	3.9%	6.4%	3.7%	14.0%	1.9%	0.4%	4.0M	-93.1M	-6.1M	0.65	2.84	26,190	17,001	905,217	983,673
2010-04-21	$18.16	$18.33	13.6%	3.9%	6.0%	3.4%	14.0%	2.1%	0.5%	4.1M	-114.9M	-5.9M	0.46	2.23	43,434	20,130	912,873	990,609
2010-04-22	$18.16	$18.33	13.8%	4.0%	5.8%	3.9%	13.7%	2.2%	0.8%	5.5M	-141.2M	-6.0M	0.37	2.59	50,964	18,669	934,143	999,981
2010-04-23	$18.18	$18.33	14.5%	4.2%	5.8%	5.9%	14.7%	2.0%	0.5%	9.7M	-128.3M	-6.4M	0.29	4.01	72,936	21,501	966,681	1,006,095
2010-04-26	$18.01	$18.33	15.2%	4.4%	6.5%	7.7%	15.8%	2.6%	0.0%	7.4M	-85.5M	-6.1M	0.80	3.05	23,169	18,624	986,316	1,014,012
2010-04-27	$18.01	$18.33	16.4%	4.7%	6.2%	11.3%	17.1%	2.6%	-0.3%	8.8M	-93.6M	-6.2M	0.75	5.75	78,513	59,211	992,589	1,022,031
2010-04-28	$17.87	$18.33	17.9%	5.1%	6.3%	15.5%	17.5%	2.6%	-1.4%	3.2M	-9.8M	-6.1M	0.74	2.61	72,609	53,919	993,393	1,033,284
2010-04-29	$17.90	$18.33	17.4%	5.0%	6.3%	14.1%	16.9%	2.6%	-1.6%	5.3M	-23.2M	-6.0M	1.10	2.88	31,140	34,191	1,028,577	1,054,287
2010-04-30	$17.88	$18.33	18.0%	5.2%	6.3%	15.8%	17.4%	2.3%	-1.6%	4.2M	7.8M	-6.3M	0.41	7.30	24,564	10,074	1,036,413	1,073,589