WMT Options History — July 2010

In July 2010, WMT traded between $16.00 and $17.22. ATM implied volatility averaged 17.6%, placing in the 33.2% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded below realized volatility by 0.9% (HV 20d: 18.5%). Max pain ranged from $16.67 to $16.67. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.88.

Notable Days

2010-07-19: Highest Volume — 151,128 contracts
2010-07-15: Largest IV spike — 23.7% change
2010-07-06: Highest IV Rank — 57.2%
2010-07-06: Largest Expected Move — 6.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$16.70	$16.00	$17.22	$16.11	$17.06
Max Pain	$16.67	$16.67	$16.67	$16.67	$16.67
ATM IV	17.6%	14.0%	21.3%	21.1%	18.4%
Expected Move	5.3%	4.5%	6.3%	6.0%	5.3%
HV 20d	18.5%	16.2%	21.1%	18.9%	16.2%
HV 60d	18.3%	17.0%	19.4%	17.0%	19.2%
IV Rank	33.2%	9.8%	57.2%	55.6%	38.6%
IV Percentile	54.4%	9.5%	88.1%	87.3%	67.9%
Term Structure	-0.2%	-1.6%	2.6%	2.4%	-1.5%
VWIV	18.8%	16.8%	21.0%	21.0%	18.4%
Skew 25d	3.6%	2.1%	5.0%	4.1%	2.3%
Skew 10d	7.9%	4.0%	12.5%	6.1%	5.2%
Call IV 25d	16.7%	14.9%	19.0%	19.0%	16.5%
Put IV 25d	20.3%	18.2%	23.7%	23.1%	18.7%
Bid-Ask Spread %	3.59	2.38	6.01	3.90	5.18
Gamma HHI	0.19	0.16	0.24	0.16	0.22
Net GEX	-2.9M	-12.4M	9.2M	-9.0M	6.8M
Net DEX	127.6M	-114.9M	436.5M	382.3M	-29.1M
Net VEX	-5.6M	-5.9M	-5.4M	-5.6M	-5.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.88	0.48	1.93	0.93	0.98
Total Volume	79,582.714	27,333	151,128	72,294	32,052
Total OI	2,133,650.714	1,991,847	2,252,253	2,020,317	2,252,253

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
2010-07-01	$16.11	$16.67	21.1%	6.0%	18.9%	55.6%	21.0%	4.1%	2.4%	-9.0M	382.3M	-5.6M	0.93	3.90	37,407	34,887	1,014,147	1,006,170
2010-07-02	$16.00	$16.67	19.6%	5.6%	17.1%	46.1%	19.4%	3.5%	2.6%	-10.0M	436.5M	-5.4M	0.79	3.98	28,668	22,773	1,022,589	1,018,275
2010-07-06	$16.19	$16.67	21.3%	6.3%	17.5%	57.2%	20.6%	4.8%	-0.8%	-10.0M	363.9M	-5.4M	0.84	6.01	52,170	43,713	1,025,397	1,021,371
2010-07-07	$16.31	$16.67	17.5%	5.5%	17.8%	32.6%	20.6%	4.5%	-0.1%	-10.1M	317.1M	-5.4M	0.71	2.49	36,495	25,983	1,033,056	1,019,268
2010-07-08	$16.39	$16.67	15.9%	5.2%	17.9%	22.1%	19.3%	4.7%	0.1%	-9.9M	282.8M	-5.4M	1.43	3.70	26,562	37,962	1,043,688	1,025,232
2010-07-09	$16.48	$16.67	14.2%	5.1%	17.9%	11.4%	18.6%	4.3%	-0.1%	-10.4M	242.2M	-5.4M	0.65	2.38	22,992	14,913	1,059,312	1,043,772
2010-07-12	$16.71	$16.67	16.6%	5.2%	18.6%	26.9%	18.6%	3.6%	0.0%	-8.9M	119.1M	-5.6M	0.66	2.43	56,805	37,731	1,063,458	1,044,522
2010-07-13	$16.85	$16.67	15.1%	5.1%	18.7%	17.2%	19.5%	4.1%	-0.3%	-5.8M	27.0M	-5.5M	0.75	3.35	38,790	29,028	1,082,553	1,056,681
2010-07-14	$16.78	$16.67	14.0%	5.1%	18.4%	9.8%	17.8%	4.3%	-0.2%	-9.2M	59.3M	-5.7M	0.94	3.32	39,348	37,002	1,094,775	1,055,823
2010-07-15	$16.80	$16.67	17.3%	5.0%	17.9%	31.2%	19.6%	4.1%	-0.1%	-12.4M	35.2M	-5.7M	0.93	4.53	71,652	66,495	1,098,375	1,070,079
2010-07-16	$16.56	$16.67	18.0%	5.2%	18.2%	35.6%	19.1%	5.0%	0.1%	-7.8M	246.4M	-5.7M	0.72	3.19	63,834	45,834	1,130,577	1,098,816
2010-07-19	$16.51	$16.67	15.8%	4.5%	18.2%	21.7%	17.7%	3.5%	0.8%	-2.1M	213.6M	-5.4M	1.11	3.87	71,505	79,623	998,736	993,111
2010-07-20	$16.96	$16.67	17.2%	4.9%	20.6%	30.4%	16.8%	3.0%	-0.8%	5.1M	8.2M	-5.7M	0.60	2.71	94,311	56,571	1,023,783	1,046,709
2010-07-21	$16.78	$16.67	18.3%	5.2%	20.8%	37.5%	18.5%	3.0%	-0.3%	1.1M	81.4M	-5.9M	1.93	3.32	32,913	63,579	1,045,731	1,075,578
2010-07-22	$16.95	$16.67	18.2%	5.2%	21.1%	36.9%	17.9%	3.0%	-0.9%	2.7M	25.0M	-5.9M	0.48	2.62	37,398	17,937	1,050,393	1,105,623
2010-07-23	$17.22	$16.67	16.2%	4.6%	21.0%	24.0%	18.6%	3.3%	-0.3%	9.2M	-114.9M	-5.9M	0.50	4.50	58,137	29,262	1,061,520	1,113,492
2010-07-26	$17.04	$16.67	18.8%	5.4%	19.1%	41.0%	18.2%	2.9%	-1.5%	5.2M	-9.0M	-5.9M	0.92	3.39	44,937	41,553	1,075,410	1,128,009
2010-07-27	$16.99	$16.67	18.8%	5.4%	18.5%	40.8%	18.8%	2.6%	-1.3%	3.2M	26.4M	-5.8M	0.76	3.45	32,217	24,408	1,085,004	1,141,626
2010-07-28	$17.04	$16.67	19.0%	5.4%	17.7%	42.3%	18.4%	2.9%	-1.6%	5.6M	-23.8M	-5.6M	0.91	3.64	14,328	13,005	1,094,808	1,144,098
2010-07-29	$17.02	$16.67	18.5%	5.3%	16.2%	38.9%	18.0%	2.1%	-1.1%	4.8M	-10.6M	-5.7M	0.87	3.47	30,240	26,217	1,099,482	1,143,363
2010-07-30	$17.06	$16.67	18.4%	5.3%	16.2%	38.6%	18.4%	2.3%	-1.5%	6.8M	-29.1M	-5.8M	0.98	5.18	16,167	15,885	1,104,957	1,147,296