WMT Options History — June 2010

In June 2010, WMT traded between $16.02 and $17.24. ATM implied volatility averaged 17.9%, placing in the 35.3% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded below realized volatility by 1.5% (HV 20d: 19.4%). Max pain ranged from $16.67 to $17.50. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.84.

Notable Days

2010-06-07: Highest Volume — 170,355 contracts
2010-06-04: Largest IV spike — 43.5% change
2010-06-04: Highest IV Rank — 64.7%
2010-06-04: Largest Expected Move — 6.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$16.88	$16.02	$17.24	$16.97	$16.02
Max Pain	$16.78	$16.67	$17.50	$17.50	$16.67
ATM IV	17.9%	13.6%	22.5%	21.3%	21.6%
Expected Move	5.1%	3.9%	6.3%	6.1%	6.2%
HV 20d	19.4%	15.6%	22.2%	21.4%	18.7%
HV 60d	15.4%	14.7%	17.0%	14.8%	17.0%
IV Rank	35.3%	7.1%	64.7%	56.9%	59.0%
IV Percentile	51.8%	4.0%	92.9%	82.1%	90.1%
Term Structure	1.7%	-0.7%	3.3%	-0.7%	2.0%
VWIV	18.2%	14.1%	22.3%	22.3%	20.4%
Skew 25d	4.0%	1.9%	6.0%	4.8%	4.5%
Skew 10d	8.5%	4.8%	13.1%	8.8%	7.5%
Call IV 25d	16.7%	13.7%	19.7%	19.0%	19.7%
Put IV 25d	20.7%	16.2%	25.2%	23.8%	24.2%
Bid-Ask Spread %	4.21	1.90	7.23	4.68	3.05
Gamma HHI	0.21	0.17	0.27	0.17	0.17
Net GEX	-7.0M	-11.7M	-1.7M	-5.7M	-10.8M
Net DEX	190.6M	51.2M	419.9M	170.0M	419.9M
Net VEX	-5.8M	-6.3M	-5.3M	-6.2M	-5.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.84	0.42	1.55	0.45	0.57
Total Volume	78,457.227	37,815	170,355	62,691	88,533
Total OI	2,226,550.909	1,795,287	2,509,125	2,331,099	1,966,392

Daily Data (22 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
2010-06-01	$16.97	$17.50	21.3%	6.1%	21.4%	56.9%	22.3%	4.8%	-0.7%	-5.7M	170.0M	-6.2M	0.45	4.68	43,182	19,509	1,196,397	1,134,702
2010-06-02	$17.24	$17.50	16.5%	4.7%	22.2%	26.0%	18.8%	2.7%	0.7%	-1.7M	53.1M	-6.3M	0.95	1.90	26,664	25,233	1,194,945	1,129,824
2010-06-03	$17.24	$17.50	15.7%	4.5%	21.4%	20.7%	17.4%	2.2%	1.1%	-1.8M	51.2M	-6.2M	0.45	2.63	33,123	14,742	1,201,101	1,136,478
2010-06-04	$16.80	$16.67	22.5%	6.3%	21.0%	64.7%	22.1%	5.3%	0.2%	-7.5M	242.0M	-6.1M	0.68	7.23	96,183	65,328	1,206,618	1,140,921
2010-06-07	$16.91	$16.67	22.4%	6.3%	20.6%	64.0%	22.0%	6.0%	0.2%	-6.3M	198.8M	-6.2M	1.06	5.43	82,851	87,504	1,220,427	1,174,548
2010-06-08	$16.93	$16.67	20.5%	6.0%	20.6%	52.1%	20.7%	5.7%	0.5%	-9.9M	219.1M	-6.2M	1.31	4.99	24,021	31,455	1,226,943	1,203,117
2010-06-09	$17.00	$16.67	20.8%	5.8%	20.7%	54.2%	20.0%	5.3%	1.0%	-7.5M	182.8M	-6.2M	1.55	5.91	24,657	38,127	1,223,946	1,208,262
2010-06-10	$17.07	$16.67	19.4%	5.6%	20.8%	45.1%	18.6%	5.0%	1.0%	-7.9M	164.0M	-6.0M	0.85	4.58	23,463	20,037	1,228,380	1,220,394
2010-06-11	$16.95	$16.67	18.7%	5.4%	20.9%	40.0%	17.9%	4.9%	1.5%	-11.4M	232.9M	-6.0M	0.70	6.02	44,022	30,888	1,231,803	1,222,644
2010-06-14	$17.08	$16.67	18.3%	5.2%	21.1%	37.4%	17.1%	4.7%	1.6%	-9.1M	169.1M	-5.9M	0.80	4.35	26,466	21,078	1,242,300	1,236,027
2010-06-15	$17.21	$16.67	14.8%	4.2%	20.8%	15.3%	16.7%	4.1%	2.6%	-5.4M	112.0M	-5.9M	1.06	3.45	29,745	31,443	1,248,639	1,237,416
2010-06-16	$16.99	$16.67	17.3%	5.0%	19.9%	31.5%	16.8%	4.2%	1.8%	-10.9M	219.1M	-5.7M	0.46	3.07	53,973	24,993	1,249,827	1,240,512
2010-06-17	$17.14	$16.67	13.7%	3.9%	19.9%	7.9%	15.4%	3.8%	3.0%	-3.9M	141.2M	-5.8M	0.83	5.42	20,613	17,202	1,261,104	1,243,038
2010-06-18	$17.18	$16.67	13.6%	3.9%	16.0%	7.1%	14.1%	2.3%	2.6%	-2.5M	112.5M	-5.6M	0.62	3.90	55,614	34,287	1,264,053	1,245,072
2010-06-21	$17.01	$16.67	16.0%	4.6%	16.4%	23.1%	15.5%	2.9%	2.3%	-2.3M	100.7M	-5.5M	0.87	3.77	53,148	46,359	892,917	902,370
2010-06-22	$16.89	$16.67	16.9%	4.9%	16.4%	28.9%	16.8%	3.1%	2.1%	-4.5M	144.7M	-5.5M	0.87	3.72	36,735	31,797	903,234	916,440
2010-06-23	$16.94	$16.67	16.7%	4.8%	15.6%	27.6%	16.5%	3.3%	2.5%	-3.6M	121.6M	-5.6M	0.82	3.91	37,596	30,912	912,768	925,128
2010-06-24	$16.68	$16.67	16.6%	4.8%	16.5%	26.6%	16.8%	3.7%	2.6%	-9.1M	228.9M	-5.5M	1.19	3.06	31,359	37,437	925,020	940,128
2010-06-25	$16.27	$16.67	15.7%	4.5%	17.9%	20.7%	16.4%	3.4%	3.3%	-11.7M	320.1M	-5.4M	0.82	3.92	54,336	44,577	932,787	948,012
2010-06-28	$16.52	$16.67	16.4%	4.7%	18.9%	25.6%	17.3%	1.9%	3.0%	-10.2M	267.5M	-5.5M	0.42	3.49	33,321	13,956	957,609	960,507
2010-06-29	$16.30	$16.67	18.9%	5.4%	19.2%	41.4%	20.5%	4.3%	2.1%	-9.5M	322.1M	-5.5M	1.13	4.10	65,460	74,130	967,173	964,197
2010-06-30	$16.02	$16.67	21.6%	6.2%	18.7%	59.0%	20.4%	4.5%	2.0%	-10.8M	419.9M	-5.3M	0.57	3.05	56,268	32,265	980,610	985,782