WMT Options History — May 2010

In May 2010, WMT traded between $16.67 and $18.26. ATM implied volatility averaged 20.8%, placing in the 40.3% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 5.4% (HV 20d: 15.4%). Max pain ranged from $17.50 to $18.33. Net GEX was positive for 7 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 0.63.

Notable Days

2010-05-11: Highest Volume — 430,404 contracts
2010-05-07: Largest IV spike — 21.0% change
2010-05-20: Highest IV Rank — 74.3%
2010-05-20: Largest Expected Move — 6.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$17.41	$16.67	$18.26	$17.91	$16.85
Max Pain	$17.79	$17.50	$18.33	$18.33	$17.50
ATM IV	20.8%	17.5%	26.3%	18.8%	19.4%
Expected Move	5.8%	4.9%	6.9%	5.4%	5.6%
HV 20d	15.4%	6.4%	21.1%	6.4%	21.1%
HV 60d	12.6%	10.0%	14.8%	10.1%	14.7%
IV Rank	40.3%	14.2%	74.3%	18.1%	44.7%
IV Percentile	75.8%	47.6%	96.8%	62.3%	69.0%
Term Structure	-0.1%	-2.6%	1.5%	-2.4%	0.4%
VWIV	21.0%	17.6%	28.2%	17.8%	20.1%
Skew 25d	4.6%	2.4%	9.8%	2.4%	4.7%
Skew 10d	10.8%	4.4%	23.2%	4.4%	10.3%
Call IV 25d	18.9%	16.2%	22.9%	17.2%	17.8%
Put IV 25d	23.6%	19.6%	32.7%	19.6%	22.5%
Bid-Ask Spread %	4.24	2.07	12.16	3.33	3.30
Gamma HHI	0.19	0.15	0.29	0.25	0.17
Net GEX	-809.4K	-11.8M	22.0M	6.4M	-8.8M
Net DEX	118.1M	-233.2M	311.2M	-36.5M	252.5M
Net VEX	-6.5M	-6.8M	-6.1M	-6.1M	-6.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.63	0.12	1.18	0.64	0.47
Total Volume	152,706.15	64,806	430,404	72,030	118,833
Total OI	2,271,498.15	2,110,587	2,439,741	2,110,587	2,291,994

Daily Data (20 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
2010-05-03	$17.91	$18.33	18.8%	5.4%	6.4%	18.1%	17.8%	2.4%	-2.4%	6.4M	-36.5M	-6.1M	0.64	3.33	43,794	28,236	1,040,814	1,069,773
2010-05-04	$18.01	$18.33	18.6%	5.3%	6.8%	17.4%	19.2%	3.0%	-1.5%	11.4M	-73.7M	-6.5M	0.37	3.60	73,383	27,480	1,052,685	1,082,085
2010-05-05	$18.26	$18.33	18.7%	5.4%	8.6%	17.8%	19.5%	2.7%	-1.9%	17.9M	-233.2M	-6.5M	0.64	3.41	88,407	56,946	1,057,635	1,083,789
2010-05-06	$17.74	$18.33	21.7%	6.2%	13.1%	26.4%	21.6%	3.5%	-2.6%	2.1M	50.1M	-6.6M	0.67	12.16	65,058	43,362	1,054,779	1,073,376
2010-05-07	$17.47	$18.33	26.3%	6.6%	13.9%	39.4%	23.9%	5.1%	-0.3%	-717.9K	136.7M	-6.7M	0.86	7.34	126,285	109,110	1,069,221	1,080,123
2010-05-10	$17.53	$18.33	24.2%	5.9%	14.1%	33.5%	20.7%	4.2%	0.6%	-1.2M	119.7M	-6.7M	0.49	3.93	90,687	44,538	1,113,489	1,125,936
2010-05-11	$17.49	$18.33	21.6%	5.4%	14.0%	26.2%	24.4%	3.8%	1.5%	-6.4M	191.5M	-6.6M	0.12	5.11	383,538	46,866	1,131,873	1,139,124
2010-05-12	$17.49	$17.50	19.4%	4.9%	14.0%	19.9%	17.6%	3.6%	1.5%	-4.4M	155.6M	-6.4M	0.44	3.12	63,540	27,789	1,149,843	1,160,400
2010-05-13	$17.47	$17.50	17.5%	5.0%	13.8%	14.2%	17.9%	3.3%	1.0%	-4.1M	146.3M	-6.4M	1.18	3.53	29,685	35,121	1,176,927	1,149,117
2010-05-14	$17.37	$17.50	19.4%	5.6%	13.8%	44.9%	20.4%	4.9%	0.6%	-2.3M	160.8M	-6.7M	0.79	3.47	50,790	39,906	1,175,127	1,165,206
2010-05-17	$17.58	$17.50	20.3%	5.8%	14.4%	50.4%	19.7%	4.7%	0.1%	3.0M	51.4M	-6.6M	0.56	3.05	113,748	63,924	1,186,704	1,168,644
2010-05-18	$17.90	$17.50	20.5%	5.9%	16.0%	52.2%	18.5%	5.0%	0.4%	22.0M	-194.2M	-6.8M	0.31	3.62	264,282	81,432	1,206,834	1,179,618
2010-05-19	$17.68	$17.50	21.0%	6.0%	16.5%	55.2%	21.4%	5.6%	0.7%	4.9M	-30.3M	-6.8M	0.61	3.22	95,733	58,827	1,256,637	1,175,148
2010-05-20	$17.10	$17.50	24.0%	6.9%	20.0%	74.3%	28.2%	9.8%	-1.2%	-9.2M	295.9M	-6.7M	0.88	5.30	88,500	78,285	1,235,448	1,178,862
2010-05-21	$17.12	$17.50	21.8%	6.2%	20.1%	60.0%	23.7%	7.5%	0.4%	-4.9M	311.2M	-6.6M	0.75	4.10	113,667	85,587	1,244,211	1,195,530
2010-05-24	$17.00	$17.50	22.4%	6.4%	20.0%	64.2%	22.4%	5.8%	-0.3%	-9.3M	219.4M	-6.4M	0.86	3.06	67,944	58,239	1,102,779	1,107,639
2010-05-25	$16.76	$17.50	21.8%	6.3%	20.4%	60.3%	23.4%	4.9%	0.3%	-11.0M	282.5M	-6.3M	0.72	3.84	73,962	53,586	1,132,185	1,105,965
2010-05-26	$16.67	$17.50	20.0%	5.7%	20.3%	48.8%	21.2%	4.4%	0.0%	-11.8M	309.9M	-6.1M	0.56	4.28	55,398	31,170	1,133,829	1,109,610
2010-05-27	$16.90	$17.50	18.3%	5.2%	21.1%	37.4%	18.4%	4.1%	0.6%	-9.8M	246.1M	-6.1M	0.58	2.07	48,405	28,080	1,151,613	1,115,391
2010-05-28	$16.85	$17.50	19.4%	5.6%	21.1%	44.7%	20.1%	4.7%	0.4%	-8.8M	252.5M	-6.1M	0.47	3.30	80,928	37,905	1,172,748	1,119,246